PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FDEM vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDEM and FXAIX is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

FDEM vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Emerging Markets Multifactor ETF (FDEM) and Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

20.00%40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
25.48%
133.09%
FDEM
FXAIX

Key characteristics

Sharpe Ratio

FDEM:

1.08

FXAIX:

2.20

Sortino Ratio

FDEM:

1.59

FXAIX:

2.93

Omega Ratio

FDEM:

1.19

FXAIX:

1.41

Calmar Ratio

FDEM:

1.23

FXAIX:

3.26

Martin Ratio

FDEM:

4.70

FXAIX:

14.39

Ulcer Index

FDEM:

3.16%

FXAIX:

1.91%

Daily Std Dev

FDEM:

13.71%

FXAIX:

12.50%

Max Drawdown

FDEM:

-33.65%

FXAIX:

-33.79%

Current Drawdown

FDEM:

-5.86%

FXAIX:

-2.91%

Returns By Period

In the year-to-date period, FDEM achieves a 10.90% return, which is significantly lower than FXAIX's 25.57% return.


FDEM

YTD

10.90%

1M

0.34%

6M

1.94%

1Y

12.56%

5Y*

3.52%

10Y*

N/A

FXAIX

YTD

25.57%

1M

0.00%

6M

8.86%

1Y

26.21%

5Y*

14.72%

10Y*

12.86%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FDEM vs. FXAIX - Expense Ratio Comparison

FDEM has a 0.45% expense ratio, which is higher than FXAIX's 0.02% expense ratio.


FDEM
Fidelity Emerging Markets Multifactor ETF
Expense ratio chart for FDEM: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

FDEM vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Emerging Markets Multifactor ETF (FDEM) and Fidelity 500 Index Fund (FXAIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for FDEM, currently valued at 1.08, compared to the broader market0.002.004.001.082.20
The chart of Sortino ratio for FDEM, currently valued at 1.59, compared to the broader market-2.000.002.004.006.008.0010.001.592.93
The chart of Omega ratio for FDEM, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.41
The chart of Calmar ratio for FDEM, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.233.26
The chart of Martin ratio for FDEM, currently valued at 4.70, compared to the broader market0.0020.0040.0060.0080.00100.004.7014.39
FDEM
FXAIX

The current FDEM Sharpe Ratio is 1.08, which is lower than the FXAIX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FDEM and FXAIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.08
2.20
FDEM
FXAIX

Dividends

FDEM vs. FXAIX - Dividend Comparison

FDEM's dividend yield for the trailing twelve months is around 4.06%, more than FXAIX's 0.88% yield.


TTM20232022202120202019201820172016201520142013
FDEM
Fidelity Emerging Markets Multifactor ETF
4.06%4.41%3.95%2.71%1.84%2.39%0.00%0.00%0.00%0.00%0.00%0.00%
FXAIX
Fidelity 500 Index Fund
0.88%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

FDEM vs. FXAIX - Drawdown Comparison

The maximum FDEM drawdown since its inception was -33.65%, roughly equal to the maximum FXAIX drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for FDEM and FXAIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.86%
-2.91%
FDEM
FXAIX

Volatility

FDEM vs. FXAIX - Volatility Comparison

Fidelity Emerging Markets Multifactor ETF (FDEM) has a higher volatility of 3.90% compared to Fidelity 500 Index Fund (FXAIX) at 3.70%. This indicates that FDEM's price experiences larger fluctuations and is considered to be riskier than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.90%
3.70%
FDEM
FXAIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab