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FIVA vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FIVAVEA
YTD Return5.35%5.01%
1Y Return14.94%16.10%
3Y Return (Ann)4.34%1.05%
5Y Return (Ann)5.98%5.95%
Sharpe Ratio1.171.24
Sortino Ratio1.641.78
Omega Ratio1.211.22
Calmar Ratio2.001.35
Martin Ratio6.566.72
Ulcer Index2.32%2.42%
Daily Std Dev13.07%13.09%
Max Drawdown-39.76%-60.70%
Current Drawdown-6.86%-7.32%

Correlation

-0.50.00.51.00.9

The correlation between FIVA and VEA is 0.91, 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

FIVA vs. VEA - Performance Comparison

In the year-to-date period, FIVA achieves a 5.35% return, which is significantly higher than VEA's 5.01% 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%JuneJulyAugustSeptemberOctoberNovember
-2.66%
-1.37%
FIVA
VEA

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FIVA vs. VEA - Expense Ratio Comparison

FIVA has a 0.39% expense ratio, which is higher than VEA's 0.05% expense ratio.


FIVA
Fidelity International Value Factor ETF
Expense ratio chart for FIVA: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

FIVA vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Value Factor ETF (FIVA) and Vanguard FTSE Developed Markets ETF (VEA). 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.


FIVA
Sharpe ratio
The chart of Sharpe ratio for FIVA, currently valued at 1.17, compared to the broader market-2.000.002.004.006.001.17
Sortino ratio
The chart of Sortino ratio for FIVA, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.0010.0012.001.64
Omega ratio
The chart of Omega ratio for FIVA, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for FIVA, currently valued at 2.00, compared to the broader market0.005.0010.0015.002.00
Martin ratio
The chart of Martin ratio for FIVA, currently valued at 6.56, compared to the broader market0.0020.0040.0060.0080.00100.006.56
VEA
Sharpe ratio
The chart of Sharpe ratio for VEA, currently valued at 1.24, compared to the broader market-2.000.002.004.006.001.24
Sortino ratio
The chart of Sortino ratio for VEA, currently valued at 1.78, compared to the broader market-2.000.002.004.006.008.0010.0012.001.78
Omega ratio
The chart of Omega ratio for VEA, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for VEA, currently valued at 1.35, compared to the broader market0.005.0010.0015.001.35
Martin ratio
The chart of Martin ratio for VEA, currently valued at 6.72, compared to the broader market0.0020.0040.0060.0080.00100.006.72

FIVA vs. VEA - Sharpe Ratio Comparison

The current FIVA Sharpe Ratio is 1.17, which is comparable to the VEA Sharpe Ratio of 1.24. The chart below compares the historical Sharpe Ratios of FIVA and VEA, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.17
1.24
FIVA
VEA

Dividends

FIVA vs. VEA - Dividend Comparison

FIVA's dividend yield for the trailing twelve months is around 3.60%, more than VEA's 3.04% yield.


TTM20232022202120202019201820172016201520142013
FIVA
Fidelity International Value Factor ETF
3.60%3.63%3.62%3.76%2.46%3.61%3.28%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.04%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

FIVA vs. VEA - Drawdown Comparison

The maximum FIVA drawdown since its inception was -39.76%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for FIVA and VEA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.86%
-7.32%
FIVA
VEA

Volatility

FIVA vs. VEA - Volatility Comparison

Fidelity International Value Factor ETF (FIVA) has a higher volatility of 4.43% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.95%. This indicates that FIVA's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.43%
3.95%
FIVA
VEA