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FDEM vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDEM and VOO 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. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Emerging Markets Multifactor ETF (FDEM) and Vanguard S&P 500 ETF (VOO). 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%
134.03%
FDEM
VOO

Key characteristics

Sharpe Ratio

FDEM:

1.08

VOO:

2.25

Sortino Ratio

FDEM:

1.59

VOO:

2.98

Omega Ratio

FDEM:

1.19

VOO:

1.42

Calmar Ratio

FDEM:

1.23

VOO:

3.31

Martin Ratio

FDEM:

4.70

VOO:

14.77

Ulcer Index

FDEM:

3.16%

VOO:

1.90%

Daily Std Dev

FDEM:

13.71%

VOO:

12.46%

Max Drawdown

FDEM:

-33.65%

VOO:

-33.99%

Current Drawdown

FDEM:

-5.86%

VOO:

-2.47%

Returns By Period

In the year-to-date period, FDEM achieves a 10.90% return, which is significantly lower than VOO's 26.02% return.


FDEM

YTD

10.90%

1M

0.34%

6M

1.94%

1Y

12.56%

5Y*

3.52%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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. VOO - Expense Ratio Comparison

FDEM has a 0.45% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FDEM vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Emerging Markets Multifactor ETF (FDEM) and Vanguard S&P 500 ETF (VOO). 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 market0.002.004.001.082.25
The chart of Sortino ratio for FDEM, currently valued at 1.59, compared to the broader market-2.000.002.004.006.008.0010.001.592.98
The chart of Omega ratio for FDEM, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.42
The chart of Calmar ratio for FDEM, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.233.31
The chart of Martin ratio for FDEM, currently valued at 4.70, compared to the broader market0.0020.0040.0060.0080.00100.004.7014.77
FDEM
VOO

The current FDEM Sharpe Ratio is 1.08, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of FDEM and VOO, 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
2.25
FDEM
VOO

Dividends

FDEM vs. VOO - Dividend Comparison

FDEM's dividend yield for the trailing twelve months is around 4.06%, more than VOO's 0.91% 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%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FDEM vs. VOO - Drawdown Comparison

The maximum FDEM drawdown since its inception was -33.65%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FDEM and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.86%
-2.47%
FDEM
VOO

Volatility

FDEM vs. VOO - Volatility Comparison

Fidelity Emerging Markets Multifactor ETF (FDEM) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.90% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
3.75%
FDEM
VOO
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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.

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