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FIGRX vs. DFIVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FIGRX and DFIVX is 0.61, 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

FIGRX vs. DFIVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity International Discovery Fund (FIGRX) and DFA International Value Portfolio (DFIVX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FIGRX:

0.74

DFIVX:

1.00

Sortino Ratio

FIGRX:

1.08

DFIVX:

1.24

Omega Ratio

FIGRX:

1.15

DFIVX:

1.18

Calmar Ratio

FIGRX:

0.89

DFIVX:

1.01

Martin Ratio

FIGRX:

3.05

DFIVX:

3.84

Ulcer Index

FIGRX:

4.29%

DFIVX:

3.77%

Daily Std Dev

FIGRX:

18.62%

DFIVX:

16.65%

Max Drawdown

FIGRX:

-60.38%

DFIVX:

-65.67%

Current Drawdown

FIGRX:

-0.25%

DFIVX:

-0.21%

Returns By Period

In the year-to-date period, FIGRX achieves a 14.38% return, which is significantly lower than DFIVX's 18.26% return. Both investments have delivered pretty close results over the past 10 years, with FIGRX having a 6.21% annualized return and DFIVX not far ahead at 6.37%.


FIGRX

YTD

14.38%

1M

6.84%

6M

12.62%

1Y

12.67%

3Y*

10.93%

5Y*

10.51%

10Y*

6.21%

DFIVX

YTD

18.26%

1M

5.38%

6M

16.08%

1Y

15.52%

3Y*

13.04%

5Y*

18.54%

10Y*

6.37%

*Annualized

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DFA International Value Portfolio

FIGRX vs. DFIVX - Expense Ratio Comparison

FIGRX has a 0.99% expense ratio, which is higher than DFIVX's 0.30% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

FIGRX vs. DFIVX — Risk-Adjusted Performance Rank

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

FIGRX
The Risk-Adjusted Performance Rank of FIGRX is 7272
Overall Rank
The Sharpe Ratio Rank of FIGRX is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of FIGRX is 7070
Sortino Ratio Rank
The Omega Ratio Rank of FIGRX is 7171
Omega Ratio Rank
The Calmar Ratio Rank of FIGRX is 8181
Calmar Ratio Rank
The Martin Ratio Rank of FIGRX is 7575
Martin Ratio Rank

DFIVX
The Risk-Adjusted Performance Rank of DFIVX is 8080
Overall Rank
The Sharpe Ratio Rank of DFIVX is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of DFIVX is 7777
Sortino Ratio Rank
The Omega Ratio Rank of DFIVX is 7979
Omega Ratio Rank
The Calmar Ratio Rank of DFIVX is 8484
Calmar Ratio Rank
The Martin Ratio Rank of DFIVX is 8282
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.

FIGRX vs. DFIVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Discovery Fund (FIGRX) and DFA International Value Portfolio (DFIVX). 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 FIGRX Sharpe Ratio is 0.74, which is comparable to the DFIVX Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of FIGRX and DFIVX, 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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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

FIGRX vs. DFIVX - Dividend Comparison

FIGRX's dividend yield for the trailing twelve months is around 2.52%, less than DFIVX's 3.37% yield.


TTM20242023202220212020201920182017201620152014
FIGRX
Fidelity International Discovery Fund
2.52%2.88%1.91%0.35%11.18%3.70%2.33%3.85%5.11%1.81%1.05%0.68%
DFIVX
DFA International Value Portfolio
3.37%3.94%4.40%3.78%4.48%2.42%3.70%6.60%2.85%3.36%3.45%4.89%

Drawdowns

FIGRX vs. DFIVX - Drawdown Comparison

The maximum FIGRX drawdown since its inception was -60.38%, smaller than the maximum DFIVX drawdown of -65.67%. Use the drawdown chart below to compare losses from any high point for FIGRX and DFIVX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

FIGRX vs. DFIVX - Volatility Comparison

Fidelity International Discovery Fund (FIGRX) and DFA International Value Portfolio (DFIVX) have volatilities of 2.56% and 2.52%, 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.


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