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FDS vs. MSCI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between FDS and MSCI is 0.57, 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

FDS vs. MSCI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FactSet Research Systems Inc. (FDS) and MSCI Inc. (MSCI). The values are adjusted to include any dividend payments, if applicable.

1,000.00%1,500.00%2,000.00%2,500.00%JulyAugustSeptemberOctoberNovemberDecember
797.10%
2,581.20%
FDS
MSCI

Key characteristics

Sharpe Ratio

FDS:

0.19

MSCI:

0.49

Sortino Ratio

FDS:

0.40

MSCI:

0.84

Omega Ratio

FDS:

1.05

MSCI:

1.12

Calmar Ratio

FDS:

0.22

MSCI:

0.42

Martin Ratio

FDS:

0.42

MSCI:

1.23

Ulcer Index

FDS:

9.79%

MSCI:

10.99%

Daily Std Dev

FDS:

21.38%

MSCI:

27.39%

Max Drawdown

FDS:

-58.96%

MSCI:

-69.06%

Current Drawdown

FDS:

-4.37%

MSCI:

-8.57%

Fundamentals

Market Cap

FDS:

$18.57B

MSCI:

$47.92B

EPS

FDS:

$13.90

MSCI:

$15.21

PE Ratio

FDS:

35.17

MSCI:

40.20

PEG Ratio

FDS:

2.68

MSCI:

3.19

Total Revenue (TTM)

FDS:

$1.66B

MSCI:

$2.80B

Gross Profit (TTM)

FDS:

$900.52M

MSCI:

$2.21B

EBITDA (TTM)

FDS:

$647.44M

MSCI:

$1.85B

Returns By Period

In the year-to-date period, FDS achieves a 0.09% return, which is significantly lower than MSCI's 6.93% return. Over the past 10 years, FDS has underperformed MSCI with an annualized return of 13.97%, while MSCI has yielded a comparatively higher 30.20% annualized return.


FDS

YTD

0.09%

1M

-2.44%

6M

16.72%

1Y

6.42%

5Y*

13.36%

10Y*

13.97%

MSCI

YTD

6.93%

1M

0.81%

6M

26.16%

1Y

11.49%

5Y*

19.37%

10Y*

30.20%

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Risk-Adjusted Performance

FDS vs. MSCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FactSet Research Systems Inc. (FDS) and MSCI Inc. (MSCI). 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 FDS, currently valued at 0.19, compared to the broader market-4.00-2.000.002.000.190.49
The chart of Sortino ratio for FDS, currently valued at 0.40, compared to the broader market-4.00-2.000.002.004.000.400.84
The chart of Omega ratio for FDS, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.12
The chart of Calmar ratio for FDS, currently valued at 0.22, compared to the broader market0.002.004.006.000.220.42
The chart of Martin ratio for FDS, currently valued at 0.42, compared to the broader market0.0010.0020.000.421.23
FDS
MSCI

The current FDS Sharpe Ratio is 0.19, which is lower than the MSCI Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of FDS and MSCI, 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 Ratio-0.40-0.200.000.200.400.600.801.00JulyAugustSeptemberOctoberNovemberDecember
0.19
0.49
FDS
MSCI

Dividends

FDS vs. MSCI - Dividend Comparison

FDS's dividend yield for the trailing twelve months is around 0.87%, less than MSCI's 1.07% yield.


TTM20232022202120202019201820172016201520142013
FDS
FactSet Research Systems Inc.
0.87%0.80%0.87%0.66%0.91%1.04%1.24%1.13%1.19%1.05%1.08%1.25%
MSCI
MSCI Inc.
1.07%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%0.00%

Drawdowns

FDS vs. MSCI - Drawdown Comparison

The maximum FDS drawdown since its inception was -58.96%, smaller than the maximum MSCI drawdown of -69.06%. Use the drawdown chart below to compare losses from any high point for FDS and MSCI. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.37%
-8.57%
FDS
MSCI

Volatility

FDS vs. MSCI - Volatility Comparison

The current volatility for FactSet Research Systems Inc. (FDS) is 5.20%, while MSCI Inc. (MSCI) has a volatility of 5.70%. This indicates that FDS experiences smaller price fluctuations and is considered to be less risky than MSCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.20%
5.70%
FDS
MSCI

Financials

FDS vs. MSCI - Financials Comparison

This section allows you to compare key financial metrics between FactSet Research Systems Inc. and MSCI Inc.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items
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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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