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

Correlation

The correlation between FXA and VEA is 0.63, 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.


-0.50.00.51.00.6

Performance

FXA vs. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CurrencyShares Australian Dollar Trust (FXA) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
-2.79%
69.89%
FXA
VEA

Key characteristics

Sharpe Ratio

FXA:

-0.66

VEA:

0.44

Sortino Ratio

FXA:

-0.85

VEA:

0.68

Omega Ratio

FXA:

0.90

VEA:

1.08

Calmar Ratio

FXA:

-0.16

VEA:

0.62

Martin Ratio

FXA:

-1.53

VEA:

1.77

Ulcer Index

FXA:

3.67%

VEA:

3.20%

Daily Std Dev

FXA:

8.56%

VEA:

12.96%

Max Drawdown

FXA:

-40.97%

VEA:

-60.70%

Current Drawdown

FXA:

-35.08%

VEA:

-9.17%

Returns By Period

In the year-to-date period, FXA achieves a -7.23% return, which is significantly lower than VEA's 2.90% return. Over the past 10 years, FXA has underperformed VEA with an annualized return of -2.03%, while VEA has yielded a comparatively higher 5.33% annualized return.


FXA

YTD

-7.23%

1M

-4.18%

6M

-5.73%

1Y

-6.47%

5Y*

-1.71%

10Y*

-2.03%

VEA

YTD

2.90%

1M

-1.90%

6M

-1.75%

1Y

4.65%

5Y*

4.85%

10Y*

5.33%

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FXA vs. VEA - Expense Ratio Comparison

FXA has a 0.40% expense ratio, which is higher than VEA's 0.05% expense ratio.


FXA
Invesco CurrencyShares Australian Dollar Trust
Expense ratio chart for FXA: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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

FXA vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares Australian Dollar Trust (FXA) 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.


Sharpe ratio
The chart of Sharpe ratio for FXA, currently valued at -0.66, compared to the broader market0.002.004.00-0.660.44
The chart of Sortino ratio for FXA, currently valued at -0.85, compared to the broader market-2.000.002.004.006.008.0010.00-0.850.68
The chart of Omega ratio for FXA, currently valued at 0.90, compared to the broader market0.501.001.502.002.503.000.901.08
The chart of Calmar ratio for FXA, currently valued at -0.16, compared to the broader market0.005.0010.0015.00-0.160.62
The chart of Martin ratio for FXA, currently valued at -1.53, compared to the broader market0.0020.0040.0060.0080.00100.00-1.531.77
FXA
VEA

The current FXA Sharpe Ratio is -0.66, which is lower than the VEA Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of FXA 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 Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.66
0.44
FXA
VEA

Dividends

FXA vs. VEA - Dividend Comparison

FXA's dividend yield for the trailing twelve months is around 1.65%, less than VEA's 1.84% yield.


TTM20232022202120202019201820172016201520142013
FXA
Invesco CurrencyShares Australian Dollar Trust
1.65%0.98%0.05%0.00%0.03%0.53%1.04%0.83%1.01%1.52%2.01%2.14%
VEA
Vanguard FTSE Developed Markets ETF
1.84%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

FXA vs. VEA - Drawdown Comparison

The maximum FXA drawdown since its inception was -40.97%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for FXA and VEA. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-35.08%
-9.17%
FXA
VEA

Volatility

FXA vs. VEA - Volatility Comparison

The current volatility for Invesco CurrencyShares Australian Dollar Trust (FXA) is 2.69%, while Vanguard FTSE Developed Markets ETF (VEA) has a volatility of 3.48%. This indicates that FXA experiences smaller price fluctuations and is considered to be less risky than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.69%
3.48%
FXA
VEA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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