FDEV vs. NSRIX
Compare and contrast key facts about Fidelity International Multifactor ETF (FDEV) and Northern Global Sustainability Index Fund (NSRIX).
FDEV is a passively managed fund by Fidelity that tracks the performance of the Fidelity Targeted International Factor Index. It was launched on Feb 26, 2019. NSRIX is managed by Northern Funds. It was launched on Mar 4, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FDEV or NSRIX.
Key characteristics
| FDEV | NSRIX | |
|---|---|---|
| YTD Return | 7.55% | 20.21% |
| 1Y Return | 14.02% | 28.68% |
| 3Y Return (Ann) | 0.61% | 6.78% |
| 5Y Return (Ann) | 4.12% | 12.64% |
| Sharpe Ratio | 1.48 | 2.42 |
| Sortino Ratio | 2.18 | 3.19 |
| Omega Ratio | 1.26 | 1.48 |
| Calmar Ratio | 1.29 | 3.52 |
| Martin Ratio | 8.32 | 15.38 |
| Ulcer Index | 1.99% | 2.05% |
| Daily Std Dev | 11.22% | 13.03% |
| Max Drawdown | -30.11% | -55.30% |
| Current Drawdown | -6.25% | -0.85% |
Correlation
The correlation between FDEV and NSRIX is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
FDEV vs. NSRIX - Performance Comparison
In the year-to-date period, FDEV achieves a 7.55% return, which is significantly lower than NSRIX's 20.21% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FDEV vs. NSRIX - Expense Ratio Comparison
FDEV has a 0.39% expense ratio, which is higher than NSRIX's 0.29% expense ratio.
Risk-Adjusted Performance
FDEV vs. NSRIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity International Multifactor ETF (FDEV) and Northern Global Sustainability Index Fund (NSRIX). 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.
Dividends
FDEV vs. NSRIX - Dividend Comparison
FDEV's dividend yield for the trailing twelve months is around 2.89%, more than NSRIX's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDEV Fidelity International Multifactor ETF | 2.89% | 2.80% | 2.65% | 2.81% | 1.88% | 2.73% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NSRIX Northern Global Sustainability Index Fund | 1.31% | 1.57% | 1.55% | 1.32% | 1.62% | 1.90% | 2.10% | 1.88% | 2.27% | 1.95% | 2.22% | 1.78% |
Drawdowns
FDEV vs. NSRIX - Drawdown Comparison
The maximum FDEV drawdown since its inception was -30.11%, smaller than the maximum NSRIX drawdown of -55.30%. Use the drawdown chart below to compare losses from any high point for FDEV and NSRIX. For additional features, visit the drawdowns tool.
Volatility
FDEV vs. NSRIX - Volatility Comparison
Fidelity International Multifactor ETF (FDEV) and Northern Global Sustainability Index Fund (NSRIX) have volatilities of 3.50% and 3.35%, 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.