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FIEUX vs. FZILX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FIEUX and FZILX is 0.70, 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.


Performance

FIEUX vs. FZILX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Europe Fund (FIEUX) and Fidelity ZERO International Index Fund (FZILX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FIEUX:

0.79

FZILX:

0.67

Sortino Ratio

FIEUX:

1.30

FZILX:

1.16

Omega Ratio

FIEUX:

1.18

FZILX:

1.16

Calmar Ratio

FIEUX:

0.66

FZILX:

0.93

Martin Ratio

FIEUX:

3.27

FZILX:

2.89

Ulcer Index

FIEUX:

4.67%

FZILX:

4.34%

Daily Std Dev

FIEUX:

17.24%

FZILX:

16.23%

Max Drawdown

FIEUX:

-59.38%

FZILX:

-34.37%

Current Drawdown

FIEUX:

-6.76%

FZILX:

0.00%

Returns By Period

In the year-to-date period, FIEUX achieves a 20.24% return, which is significantly higher than FZILX's 13.42% return.


FIEUX

YTD

20.24%

1M

8.06%

6M

19.82%

1Y

13.56%

5Y*

8.87%

10Y*

2.26%

FZILX

YTD

13.42%

1M

8.71%

6M

12.16%

1Y

10.84%

5Y*

11.94%

10Y*

N/A

*Annualized

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FIEUX vs. FZILX - Expense Ratio Comparison

FIEUX has a 1.06% expense ratio, which is higher than FZILX's 0.00% expense ratio.


Risk-Adjusted Performance

FIEUX vs. FZILX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FIEUX
The Risk-Adjusted Performance Rank of FIEUX is 7575
Overall Rank
The Sharpe Ratio Rank of FIEUX is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of FIEUX is 7777
Sortino Ratio Rank
The Omega Ratio Rank of FIEUX is 7676
Omega Ratio Rank
The Calmar Ratio Rank of FIEUX is 7171
Calmar Ratio Rank
The Martin Ratio Rank of FIEUX is 7676
Martin Ratio Rank

FZILX
The Risk-Adjusted Performance Rank of FZILX is 7272
Overall Rank
The Sharpe Ratio Rank of FZILX is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of FZILX is 7171
Sortino Ratio Rank
The Omega Ratio Rank of FZILX is 7171
Omega Ratio Rank
The Calmar Ratio Rank of FZILX is 8383
Calmar Ratio Rank
The Martin Ratio Rank of FZILX is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FIEUX vs. FZILX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Europe Fund (FIEUX) and Fidelity ZERO International Index Fund (FZILX). 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 current FIEUX Sharpe Ratio is 0.79, which is comparable to the FZILX Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of FIEUX and FZILX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FIEUX vs. FZILX - Dividend Comparison

FIEUX's dividend yield for the trailing twelve months is around 2.73%, more than FZILX's 2.65% yield.


TTM20242023202220212020201920182017201620152014
FIEUX
Fidelity Europe Fund
2.73%3.28%1.62%0.00%2.87%1.15%4.44%1.01%0.97%1.14%2.78%2.59%
FZILX
Fidelity ZERO International Index Fund
2.65%3.00%2.98%2.71%2.61%1.64%2.83%0.66%0.00%0.00%0.00%0.00%

Drawdowns

FIEUX vs. FZILX - Drawdown Comparison

The maximum FIEUX drawdown since its inception was -59.38%, which is greater than FZILX's maximum drawdown of -34.37%. Use the drawdown chart below to compare losses from any high point for FIEUX and FZILX. For additional features, visit the drawdowns tool.


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Volatility

FIEUX vs. FZILX - Volatility Comparison

Fidelity Europe Fund (FIEUX) has a higher volatility of 3.36% compared to Fidelity ZERO International Index Fund (FZILX) at 2.97%. This indicates that FIEUX's price experiences larger fluctuations and is considered to be riskier than FZILX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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