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

Correlation

The correlation between FID and VXUS is 0.64, 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.


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Performance

FID vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust S&P International Dividend Aristocrats ETF (FID) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember
4.14%
-2.21%
FID
VXUS

Key characteristics

Sharpe Ratio

FID:

0.48

VXUS:

0.42

Sortino Ratio

FID:

0.73

VXUS:

0.65

Omega Ratio

FID:

1.09

VXUS:

1.08

Calmar Ratio

FID:

0.37

VXUS:

0.56

Martin Ratio

FID:

1.84

VXUS:

1.62

Ulcer Index

FID:

2.95%

VXUS:

3.25%

Daily Std Dev

FID:

11.37%

VXUS:

12.69%

Max Drawdown

FID:

-39.78%

VXUS:

-35.97%

Current Drawdown

FID:

-7.04%

VXUS:

-8.20%

Returns By Period

Over the past 10 years, FID has underperformed VXUS with an annualized return of 2.86%, while VXUS has yielded a comparatively higher 5.14% annualized return.


FID

YTD

0.00%

1M

-3.54%

6M

4.93%

1Y

5.42%

5Y*

1.80%

10Y*

2.86%

VXUS

YTD

5.20%

1M

-2.76%

6M

-0.17%

1Y

5.20%

5Y*

4.31%

10Y*

5.14%

*Annualized

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FID vs. VXUS - Expense Ratio Comparison

FID has a 0.60% expense ratio, which is higher than VXUS's 0.07% expense ratio.


Expense ratio chart for FID: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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

FID vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust S&P International Dividend Aristocrats ETF (FID) 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.


The chart of Sharpe ratio for FID, currently valued at 0.48, compared to the broader market0.002.004.000.480.41
The chart of Sortino ratio for FID, currently valued at 0.73, compared to the broader market-2.000.002.004.006.008.0010.000.730.65
The chart of Omega ratio for FID, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.08
The chart of Calmar ratio for FID, currently valued at 0.37, compared to the broader market0.005.0010.0015.000.370.55
The chart of Martin ratio for FID, currently valued at 1.84, compared to the broader market0.0020.0040.0060.0080.00100.001.841.60
FID
VXUS

The current FID Sharpe Ratio is 0.48, which is comparable to the VXUS Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of FID 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 Ratio0.501.001.502.002.50AugustSeptemberOctoberNovemberDecember
0.48
0.41
FID
VXUS

Dividends

FID vs. VXUS - Dividend Comparison

FID's dividend yield for the trailing twelve months is around 4.31%, more than VXUS's 3.36% yield.


TTM2023202220212020201920182017201620152014
FID
First Trust S&P International Dividend Aristocrats ETF
4.31%4.19%4.22%3.76%3.91%3.70%5.46%4.84%4.82%4.20%5.08%
VXUS
Vanguard Total International Stock ETF
3.36%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%

Drawdowns

FID vs. VXUS - Drawdown Comparison

The maximum FID drawdown since its inception was -39.78%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for FID and VXUS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember
-7.04%
-8.20%
FID
VXUS

Volatility

FID vs. VXUS - Volatility Comparison

First Trust S&P International Dividend Aristocrats ETF (FID) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.13% and 3.25%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember
3.13%
3.25%
FID
VXUS