FICS vs. QEFA
Compare and contrast key facts about First Trust International Developed Capital Strength ETF (FICS) and SPDR MSCI EAFE StrategicFactors ETF (QEFA).
FICS and QEFA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FICS is a passively managed fund by First Trust that tracks the performance of the The International Developed Capital Strength Index. It was launched on Dec 15, 2020. QEFA is a passively managed fund by State Street that tracks the performance of the MSCI EAFE Factor Mix A-Series (USD). It was launched on Jun 4, 2014. Both FICS and QEFA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FICS or QEFA.
Key characteristics
| FICS | QEFA | |
|---|---|---|
| YTD Return | 6.75% | 6.19% |
| 1Y Return | 18.91% | 17.28% |
| 3Y Return (Ann) | 0.84% | 1.99% |
| Sharpe Ratio | 1.68 | 1.48 |
| Sortino Ratio | 2.41 | 2.11 |
| Omega Ratio | 1.28 | 1.26 |
| Calmar Ratio | 1.29 | 1.64 |
| Martin Ratio | 8.35 | 8.11 |
| Ulcer Index | 2.32% | 2.14% |
| Daily Std Dev | 11.57% | 11.74% |
| Max Drawdown | -29.16% | -31.71% |
| Current Drawdown | -5.98% | -6.24% |
Correlation
The correlation between FICS and QEFA is 0.85, 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
FICS vs. QEFA - Performance Comparison
In the year-to-date period, FICS achieves a 6.75% return, which is significantly higher than QEFA's 6.19% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
FICS vs. QEFA - Expense Ratio Comparison
FICS has a 0.70% expense ratio, which is higher than QEFA's 0.30% expense ratio.
Risk-Adjusted Performance
FICS vs. QEFA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust International Developed Capital Strength ETF (FICS) and SPDR MSCI EAFE StrategicFactors ETF (QEFA). 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.
Dividends
FICS vs. QEFA - Dividend Comparison
FICS's dividend yield for the trailing twelve months is around 1.57%, less than QEFA's 2.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FICS First Trust International Developed Capital Strength ETF | 1.57% | 1.02% | 1.89% | 1.27% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QEFA SPDR MSCI EAFE StrategicFactors ETF | 2.85% | 2.79% | 3.02% | 2.37% | 1.82% | 2.95% | 3.22% | 2.34% | 2.01% | 2.94% | 1.14% |
Drawdowns
FICS vs. QEFA - Drawdown Comparison
The maximum FICS drawdown since its inception was -29.16%, smaller than the maximum QEFA drawdown of -31.71%. Use the drawdown chart below to compare losses from any high point for FICS and QEFA. For additional features, visit the drawdowns tool.
Volatility
FICS vs. QEFA - Volatility Comparison
First Trust International Developed Capital Strength ETF (FICS) has a higher volatility of 4.31% compared to SPDR MSCI EAFE StrategicFactors ETF (QEFA) at 3.88%. This indicates that FICS's price experiences larger fluctuations and is considered to be riskier than QEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.