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FDEV vs. VXUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDEV and VXUS is 0.90, 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.


-0.50.00.51.00.9

Performance

FDEV vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity International Multifactor ETF (FDEV) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
28.11%
37.01%
FDEV
VXUS

Key characteristics

Sharpe Ratio

FDEV:

0.68

VXUS:

0.64

Sortino Ratio

FDEV:

1.03

VXUS:

0.96

Omega Ratio

FDEV:

1.12

VXUS:

1.12

Calmar Ratio

FDEV:

0.89

VXUS:

0.87

Martin Ratio

FDEV:

2.80

VXUS:

2.67

Ulcer Index

FDEV:

2.68%

VXUS:

3.06%

Daily Std Dev

FDEV:

10.96%

VXUS:

12.77%

Max Drawdown

FDEV:

-30.11%

VXUS:

-35.97%

Current Drawdown

FDEV:

-8.42%

VXUS:

-8.39%

Returns By Period

The year-to-date returns for both stocks are quite close, with FDEV having a 5.07% return and VXUS slightly lower at 4.99%.


FDEV

YTD

5.07%

1M

-2.13%

6M

1.38%

1Y

5.81%

5Y*

3.10%

10Y*

N/A

VXUS

YTD

4.99%

1M

-1.34%

6M

0.14%

1Y

6.27%

5Y*

4.38%

10Y*

4.99%

Compare stocks, funds, or ETFs

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


FDEV vs. VXUS - Expense Ratio Comparison

FDEV has a 0.39% expense ratio, which is higher than VXUS's 0.07% expense ratio.


FDEV
Fidelity International Multifactor ETF
Expense ratio chart for FDEV: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

FDEV vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Multifactor ETF (FDEV) and Vanguard Total International Stock ETF (VXUS). 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 FDEV, currently valued at 0.68, compared to the broader market0.002.004.000.680.64
The chart of Sortino ratio for FDEV, currently valued at 1.03, compared to the broader market-2.000.002.004.006.008.0010.001.030.96
The chart of Omega ratio for FDEV, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.12
The chart of Calmar ratio for FDEV, currently valued at 0.89, compared to the broader market0.005.0010.0015.000.890.87
The chart of Martin ratio for FDEV, currently valued at 2.80, compared to the broader market0.0020.0040.0060.0080.00100.002.802.67
FDEV
VXUS

The current FDEV Sharpe Ratio is 0.68, which is comparable to the VXUS Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of FDEV and VXUS, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.68
0.64
FDEV
VXUS

Dividends

FDEV vs. VXUS - Dividend Comparison

FDEV's dividend yield for the trailing twelve months is around 3.01%, less than VXUS's 3.37% yield.


TTM20232022202120202019201820172016201520142013
FDEV
Fidelity International Multifactor ETF
3.01%2.80%2.65%2.81%1.88%2.73%0.00%0.00%0.00%0.00%0.00%0.00%
VXUS
Vanguard Total International Stock ETF
3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

FDEV vs. VXUS - Drawdown Comparison

The maximum FDEV drawdown since its inception was -30.11%, smaller than the maximum VXUS drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for FDEV and VXUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.42%
-8.39%
FDEV
VXUS

Volatility

FDEV vs. VXUS - Volatility Comparison

Fidelity International Multifactor ETF (FDEV) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.38% and 3.42%, 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
3.38%
3.42%
FDEV
VXUS
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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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