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QEFA vs. FSPSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QEFA and FSPSX is 0.67, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

QEFA vs. FSPSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE StrategicFactors ETF (QEFA) and Fidelity International Index Fund (FSPSX). The values are adjusted to include any dividend payments, if applicable.

45.00%50.00%55.00%60.00%65.00%70.00%75.00%80.00%NovemberDecember2025FebruaryMarchApril
78.72%
69.62%
QEFA
FSPSX

Key characteristics

Sharpe Ratio

QEFA:

0.80

FSPSX:

0.70

Sortino Ratio

QEFA:

1.23

FSPSX:

1.06

Omega Ratio

QEFA:

1.16

FSPSX:

1.14

Calmar Ratio

QEFA:

1.02

FSPSX:

0.86

Martin Ratio

QEFA:

2.73

FSPSX:

2.50

Ulcer Index

QEFA:

4.58%

FSPSX:

4.69%

Daily Std Dev

QEFA:

15.70%

FSPSX:

16.75%

Max Drawdown

QEFA:

-31.71%

FSPSX:

-33.69%

Current Drawdown

QEFA:

-0.12%

FSPSX:

-0.83%

Returns By Period

In the year-to-date period, QEFA achieves a 12.16% return, which is significantly higher than FSPSX's 11.21% return. Over the past 10 years, QEFA has outperformed FSPSX with an annualized return of 6.09%, while FSPSX has yielded a comparatively lower 5.36% annualized return.


QEFA

YTD

12.16%

1M

2.06%

6M

6.85%

1Y

13.16%

5Y*

10.94%

10Y*

6.09%

FSPSX

YTD

11.21%

1M

1.32%

6M

6.68%

1Y

12.44%

5Y*

12.17%

10Y*

5.36%

*Annualized

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QEFA vs. FSPSX - Expense Ratio Comparison

QEFA has a 0.30% expense ratio, which is higher than FSPSX's 0.04% expense ratio.


Expense ratio chart for QEFA: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QEFA: 0.30%
Expense ratio chart for FSPSX: current value is 0.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FSPSX: 0.04%

Risk-Adjusted Performance

QEFA vs. FSPSX — Risk-Adjusted Performance Rank

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

QEFA
The Risk-Adjusted Performance Rank of QEFA is 7474
Overall Rank
The Sharpe Ratio Rank of QEFA is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of QEFA is 7474
Sortino Ratio Rank
The Omega Ratio Rank of QEFA is 7272
Omega Ratio Rank
The Calmar Ratio Rank of QEFA is 8282
Calmar Ratio Rank
The Martin Ratio Rank of QEFA is 7070
Martin Ratio Rank

FSPSX
The Risk-Adjusted Performance Rank of FSPSX is 6969
Overall Rank
The Sharpe Ratio Rank of FSPSX is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of FSPSX is 6666
Sortino Ratio Rank
The Omega Ratio Rank of FSPSX is 6666
Omega Ratio Rank
The Calmar Ratio Rank of FSPSX is 8282
Calmar Ratio Rank
The Martin Ratio Rank of FSPSX is 6565
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.

QEFA vs. FSPSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and Fidelity International Index Fund (FSPSX). 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 chart of Sharpe ratio for QEFA, currently valued at 0.80, compared to the broader market-1.000.001.002.003.004.00
QEFA: 0.80
FSPSX: 0.70
The chart of Sortino ratio for QEFA, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.00
QEFA: 1.23
FSPSX: 1.06
The chart of Omega ratio for QEFA, currently valued at 1.16, compared to the broader market0.501.001.502.002.50
QEFA: 1.16
FSPSX: 1.14
The chart of Calmar ratio for QEFA, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.0012.00
QEFA: 1.02
FSPSX: 0.86
The chart of Martin ratio for QEFA, currently valued at 2.73, compared to the broader market0.0020.0040.0060.00
QEFA: 2.73
FSPSX: 2.50

The current QEFA Sharpe Ratio is 0.80, which is comparable to the FSPSX Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of QEFA and FSPSX, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.80
0.70
QEFA
FSPSX

Dividends

QEFA vs. FSPSX - Dividend Comparison

QEFA's dividend yield for the trailing twelve months is around 2.82%, more than FSPSX's 2.61% yield.


TTM20242023202220212020201920182017201620152014
QEFA
SPDR MSCI EAFE StrategicFactors ETF
2.82%3.17%2.79%3.02%2.37%1.82%2.95%3.22%2.34%2.01%2.94%1.14%
FSPSX
Fidelity International Index Fund
2.61%3.27%2.79%2.66%3.07%1.84%3.18%2.79%2.36%2.99%2.79%3.53%

Drawdowns

QEFA vs. FSPSX - Drawdown Comparison

The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum FSPSX drawdown of -33.69%. Use the drawdown chart below to compare losses from any high point for QEFA and FSPSX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.12%
-0.83%
QEFA
FSPSX

Volatility

QEFA vs. FSPSX - Volatility Comparison

The current volatility for SPDR MSCI EAFE StrategicFactors ETF (QEFA) is 10.09%, while Fidelity International Index Fund (FSPSX) has a volatility of 10.91%. This indicates that QEFA experiences smaller price fluctuations and is considered to be less risky than FSPSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.09%
10.91%
QEFA
FSPSX