VALW.L vs. FUQIX
Compare and contrast key facts about SPDR MSCI World Value UCITS ETF (VALW.L) and Fidelity SAI U.S. Quality Index Fund (FUQIX).
VALW.L is a passively managed fund by State Street that tracks the performance of the MSCI ACWI Value NR USD. It was launched on Sep 2, 2020. FUQIX is managed by Fidelity. It was launched on Oct 8, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VALW.L or FUQIX.
Key characteristics
| VALW.L | FUQIX | |
|---|---|---|
| YTD Return | 5.31% | 22.36% |
| 1Y Return | 11.96% | 34.77% |
| 3Y Return (Ann) | 7.60% | 10.43% |
| Sharpe Ratio | 0.39 | 2.60 |
| Sortino Ratio | 0.83 | 3.46 |
| Omega Ratio | 1.23 | 1.47 |
| Calmar Ratio | 0.64 | 3.83 |
| Martin Ratio | 1.02 | 15.48 |
| Ulcer Index | 12.34% | 2.30% |
| Daily Std Dev | 32.07% | 13.73% |
| Max Drawdown | -19.68% | -31.19% |
| Current Drawdown | -10.43% | -3.11% |
Correlation
The correlation between VALW.L and FUQIX is 0.49, 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
VALW.L vs. FUQIX - Performance Comparison
In the year-to-date period, VALW.L achieves a 5.31% return, which is significantly lower than FUQIX's 22.36% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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VALW.L vs. FUQIX - Expense Ratio Comparison
VALW.L has a 0.25% expense ratio, which is higher than FUQIX's 0.10% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
VALW.L vs. FUQIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World Value UCITS ETF (VALW.L) and Fidelity SAI U.S. Quality Index Fund (FUQIX). 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.
Dividends
VALW.L vs. FUQIX - Dividend Comparison
VALW.L has not paid dividends to shareholders, while FUQIX's dividend yield for the trailing twelve months is around 11.44%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
VALW.L SPDR MSCI World Value UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FUQIX Fidelity SAI U.S. Quality Index Fund | 11.44% | 2.38% | 1.42% | 8.55% | 9.46% | 13.68% | 2.41% | 3.79% | 1.57% | 0.29% |
Drawdowns
VALW.L vs. FUQIX - Drawdown Comparison
The maximum VALW.L drawdown since its inception was -19.68%, smaller than the maximum FUQIX drawdown of -31.19%. Use the drawdown chart below to compare losses from any high point for VALW.L and FUQIX. For additional features, visit the drawdowns tool.
Volatility
VALW.L vs. FUQIX - Volatility Comparison
The current volatility for SPDR MSCI World Value UCITS ETF (VALW.L) is 2.17%, while Fidelity SAI U.S. Quality Index Fund (FUQIX) has a volatility of 3.68%. This indicates that VALW.L experiences smaller price fluctuations and is considered to be less risky than FUQIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.