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

Key characteristics


FDIVXVXUS
YTD Return9.54%6.85%
1Y Return20.08%16.98%
3Y Return (Ann)-1.30%0.52%
5Y Return (Ann)6.80%5.59%
10Y Return (Ann)6.23%4.93%
Sharpe Ratio1.371.33
Sortino Ratio1.971.90
Omega Ratio1.251.24
Calmar Ratio1.011.23
Martin Ratio8.017.70
Ulcer Index2.50%2.24%
Daily Std Dev14.60%12.95%
Max Drawdown-59.98%-35.97%
Current Drawdown-5.94%-6.76%

Correlation

-0.50.00.51.00.9

The correlation between FDIVX and VXUS is 0.93, 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. VXUS - Performance Comparison

In the year-to-date period, FDIVX achieves a 9.54% return, which is significantly higher than VXUS's 6.85% return. Over the past 10 years, FDIVX has outperformed VXUS with an annualized return of 6.23%, while VXUS has yielded a comparatively lower 4.93% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.14%
-0.72%
FDIVX
VXUS

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FDIVX vs. VXUS - Expense Ratio Comparison

FDIVX has a 1.01% expense ratio, which is higher than VXUS's 0.07% 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 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

FDIVX vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Diversified International Fund (FDIVX) 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.


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
VXUS
Sharpe ratio
The chart of Sharpe ratio for VXUS, currently valued at 1.33, compared to the broader market0.002.004.001.33
Sortino ratio
The chart of Sortino ratio for VXUS, currently valued at 1.90, compared to the broader market0.005.0010.001.90
Omega ratio
The chart of Omega ratio for VXUS, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for VXUS, currently valued at 1.23, compared to the broader market0.005.0010.0015.0020.001.23
Martin ratio
The chart of Martin ratio for VXUS, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.007.70

FDIVX vs. VXUS - Sharpe Ratio Comparison

The current FDIVX Sharpe Ratio is 1.37, which is comparable to the VXUS Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of FDIVX 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.37
1.33
FDIVX
VXUS

Dividends

FDIVX vs. VXUS - Dividend Comparison

FDIVX's dividend yield for the trailing twelve months is around 1.56%, less than VXUS's 3.00% 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%
VXUS
Vanguard Total International Stock ETF
3.00%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

FDIVX vs. VXUS - Drawdown Comparison

The maximum FDIVX drawdown since its inception was -59.98%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for FDIVX and VXUS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.94%
-6.76%
FDIVX
VXUS

Volatility

FDIVX vs. VXUS - Volatility Comparison

The current volatility for Fidelity Diversified International Fund (FDIVX) is 3.79%, while Vanguard Total International Stock ETF (VXUS) has a volatility of 4.21%. This indicates that FDIVX experiences smaller price fluctuations and is considered to be less risky than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.79%
4.21%
FDIVX
VXUS