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

Key characteristics


FIGRXVTSNX
YTD Return13.34%7.11%
1Y Return24.48%17.49%
3Y Return (Ann)-1.97%0.59%
5Y Return (Ann)6.77%5.64%
10Y Return (Ann)5.87%4.96%
Sharpe Ratio1.821.44
Sortino Ratio2.522.03
Omega Ratio1.321.25
Calmar Ratio1.001.24
Martin Ratio9.768.07
Ulcer Index2.52%2.18%
Daily Std Dev13.52%12.25%
Max Drawdown-60.02%-35.78%
Current Drawdown-6.33%-6.43%

Correlation

-0.50.00.51.00.9

The correlation between FIGRX and VTSNX is 0.95, 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

FIGRX vs. VTSNX - Performance Comparison

In the year-to-date period, FIGRX achieves a 13.34% return, which is significantly higher than VTSNX's 7.11% return. Over the past 10 years, FIGRX has outperformed VTSNX with an annualized return of 5.87%, while VTSNX has yielded a comparatively lower 4.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.92%
-0.25%
FIGRX
VTSNX

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FIGRX vs. VTSNX - Expense Ratio Comparison

FIGRX has a 0.99% expense ratio, which is higher than VTSNX's 0.08% expense ratio.


FIGRX
Fidelity International Discovery Fund
Expense ratio chart for FIGRX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for VTSNX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

FIGRX vs. VTSNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Discovery Fund (FIGRX) and Vanguard Total International Stock Index Fund Institutional Shares (VTSNX). 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.


FIGRX
Sharpe ratio
The chart of Sharpe ratio for FIGRX, currently valued at 1.82, compared to the broader market0.002.004.001.82
Sortino ratio
The chart of Sortino ratio for FIGRX, currently valued at 2.52, compared to the broader market0.005.0010.002.52
Omega ratio
The chart of Omega ratio for FIGRX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for FIGRX, currently valued at 0.99, compared to the broader market0.005.0010.0015.0020.0025.001.00
Martin ratio
The chart of Martin ratio for FIGRX, currently valued at 9.76, compared to the broader market0.0020.0040.0060.0080.00100.009.76
VTSNX
Sharpe ratio
The chart of Sharpe ratio for VTSNX, currently valued at 1.44, compared to the broader market0.002.004.001.44
Sortino ratio
The chart of Sortino ratio for VTSNX, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for VTSNX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for VTSNX, currently valued at 1.24, compared to the broader market0.005.0010.0015.0020.0025.001.24
Martin ratio
The chart of Martin ratio for VTSNX, currently valued at 8.07, compared to the broader market0.0020.0040.0060.0080.00100.008.07

FIGRX vs. VTSNX - Sharpe Ratio Comparison

The current FIGRX Sharpe Ratio is 1.82, which is comparable to the VTSNX Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of FIGRX and VTSNX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.82
1.44
FIGRX
VTSNX

Dividends

FIGRX vs. VTSNX - Dividend Comparison

FIGRX's dividend yield for the trailing twelve months is around 1.68%, less than VTSNX's 2.98% yield.


TTM20232022202120202019201820172016201520142013
FIGRX
Fidelity International Discovery Fund
1.68%1.91%0.35%2.90%0.47%1.72%1.35%1.10%1.68%1.05%0.68%3.10%
VTSNX
Vanguard Total International Stock Index Fund Institutional Shares
2.98%3.24%3.08%3.08%2.13%3.07%3.19%2.75%2.95%2.86%3.42%2.72%

Drawdowns

FIGRX vs. VTSNX - Drawdown Comparison

The maximum FIGRX drawdown since its inception was -60.02%, which is greater than VTSNX's maximum drawdown of -35.78%. Use the drawdown chart below to compare losses from any high point for FIGRX and VTSNX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.33%
-6.43%
FIGRX
VTSNX

Volatility

FIGRX vs. VTSNX - Volatility Comparison

Fidelity International Discovery Fund (FIGRX) and Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) have volatilities of 3.82% and 3.91%, 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.82%
3.91%
FIGRX
VTSNX