PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FDT vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDT and VEA is 0.91, 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

FDT vs. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
50.08%
95.49%
FDT
VEA

Key characteristics

Sharpe Ratio

FDT:

0.56

VEA:

0.42

Sortino Ratio

FDT:

0.82

VEA:

0.66

Omega Ratio

FDT:

1.11

VEA:

1.08

Calmar Ratio

FDT:

0.59

VEA:

0.58

Martin Ratio

FDT:

2.79

VEA:

1.65

Ulcer Index

FDT:

3.07%

VEA:

3.31%

Daily Std Dev

FDT:

15.27%

VEA:

12.88%

Max Drawdown

FDT:

-46.10%

VEA:

-60.69%

Current Drawdown

FDT:

-7.81%

VEA:

-9.43%

Returns By Period

In the year-to-date period, FDT achieves a 5.64% return, which is significantly higher than VEA's 2.61% return. Over the past 10 years, FDT has underperformed VEA with an annualized return of 3.93%, while VEA has yielded a comparatively higher 5.25% annualized return.


FDT

YTD

5.64%

1M

-2.80%

6M

0.34%

1Y

6.94%

5Y*

2.74%

10Y*

3.93%

VEA

YTD

2.61%

1M

-2.02%

6M

-1.37%

1Y

3.45%

5Y*

4.76%

10Y*

5.25%

Compare stocks, funds, or ETFs

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


FDT vs. VEA - Expense Ratio Comparison

FDT has a 0.80% expense ratio, which is higher than VEA's 0.05% expense ratio.


FDT
First Trust Developed Markets ex-US AlphaDEX Fund
Expense ratio chart for FDT: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

FDT vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Vanguard FTSE Developed Markets ETF (VEA). 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 FDT, currently valued at 0.56, compared to the broader market0.002.004.000.560.42
The chart of Sortino ratio for FDT, currently valued at 0.82, compared to the broader market-2.000.002.004.006.008.0010.000.820.66
The chart of Omega ratio for FDT, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.08
The chart of Calmar ratio for FDT, currently valued at 0.59, compared to the broader market0.005.0010.0015.000.590.58
The chart of Martin ratio for FDT, currently valued at 2.79, compared to the broader market0.0020.0040.0060.0080.00100.002.791.65
FDT
VEA

The current FDT Sharpe Ratio is 0.56, which is higher than the VEA Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of FDT and VEA, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.56
0.42
FDT
VEA

Dividends

FDT vs. VEA - Dividend Comparison

FDT's dividend yield for the trailing twelve months is around 5.67%, more than VEA's 3.37% yield.


TTM20232022202120202019201820172016201520142013
FDT
First Trust Developed Markets ex-US AlphaDEX Fund
3.94%4.36%2.29%3.80%2.42%2.78%2.13%1.57%1.76%1.83%1.74%1.88%
VEA
Vanguard FTSE Developed Markets ETF
3.37%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

FDT vs. VEA - Drawdown Comparison

The maximum FDT drawdown since its inception was -46.10%, smaller than the maximum VEA drawdown of -60.69%. Use the drawdown chart below to compare losses from any high point for FDT and VEA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.81%
-9.43%
FDT
VEA

Volatility

FDT vs. VEA - Volatility Comparison

The current volatility for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) is 2.99%, while Vanguard FTSE Developed Markets ETF (VEA) has a volatility of 3.48%. This indicates that FDT experiences smaller price fluctuations and is considered to be less risky than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
2.99%
3.48%
FDT
VEA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab