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FDIVX vs. SPYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDIVXSPYG
YTD Return9.54%35.11%
1Y Return20.08%43.90%
3Y Return (Ann)-1.30%8.15%
5Y Return (Ann)6.80%18.10%
10Y Return (Ann)6.23%15.26%
Sharpe Ratio1.372.59
Sortino Ratio1.973.32
Omega Ratio1.251.48
Calmar Ratio1.012.93
Martin Ratio8.0113.72
Ulcer Index2.50%3.20%
Daily Std Dev14.60%16.94%
Max Drawdown-59.98%-67.79%
Current Drawdown-5.94%-0.10%

Correlation

-0.50.00.51.00.7

The correlation between FDIVX and SPYG is 0.71, 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

FDIVX vs. SPYG - Performance Comparison

In the year-to-date period, FDIVX achieves a 9.54% return, which is significantly lower than SPYG's 35.11% return. Over the past 10 years, FDIVX has underperformed SPYG with an annualized return of 6.23%, while SPYG has yielded a comparatively higher 15.26% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.13%
16.88%
FDIVX
SPYG

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FDIVX vs. SPYG - Expense Ratio Comparison

FDIVX has a 1.01% expense ratio, which is higher than SPYG's 0.04% expense ratio.


FDIVX
Fidelity Diversified International Fund
Expense ratio chart for FDIVX: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
Expense ratio chart for SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

FDIVX vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Diversified International Fund (FDIVX) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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.


FDIVX
Sharpe ratio
The chart of Sharpe ratio for FDIVX, currently valued at 1.37, compared to the broader market0.002.004.001.37
Sortino ratio
The chart of Sortino ratio for FDIVX, currently valued at 1.97, compared to the broader market0.005.0010.001.97
Omega ratio
The chart of Omega ratio for FDIVX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for FDIVX, currently valued at 1.01, compared to the broader market0.005.0010.0015.0020.001.01
Martin ratio
The chart of Martin ratio for FDIVX, currently valued at 8.01, compared to the broader market0.0020.0040.0060.0080.00100.008.01
SPYG
Sharpe ratio
The chart of Sharpe ratio for SPYG, currently valued at 2.59, compared to the broader market0.002.004.002.59
Sortino ratio
The chart of Sortino ratio for SPYG, currently valued at 3.32, compared to the broader market0.005.0010.003.32
Omega ratio
The chart of Omega ratio for SPYG, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for SPYG, currently valued at 2.93, compared to the broader market0.005.0010.0015.0020.002.93
Martin ratio
The chart of Martin ratio for SPYG, currently valued at 13.72, compared to the broader market0.0020.0040.0060.0080.00100.0013.72

FDIVX vs. SPYG - Sharpe Ratio Comparison

The current FDIVX Sharpe Ratio is 1.37, which is lower than the SPYG Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of FDIVX and SPYG, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.37
2.59
FDIVX
SPYG

Dividends

FDIVX vs. SPYG - Dividend Comparison

FDIVX's dividend yield for the trailing twelve months is around 1.56%, more than SPYG's 0.65% yield.


TTM20232022202120202019201820172016201520142013
FDIVX
Fidelity Diversified International Fund
1.56%1.71%0.38%1.17%0.04%1.32%1.35%1.08%1.15%2.23%4.97%2.36%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.65%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

FDIVX vs. SPYG - Drawdown Comparison

The maximum FDIVX drawdown since its inception was -59.98%, smaller than the maximum SPYG drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for FDIVX and SPYG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.94%
-0.10%
FDIVX
SPYG

Volatility

FDIVX vs. SPYG - Volatility Comparison

The current volatility for Fidelity Diversified International Fund (FDIVX) is 3.79%, while SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 5.17%. This indicates that FDIVX experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.79%
5.17%
FDIVX
SPYG