PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VUSA.L vs. FSTUX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VUSA.LFSTUX
YTD Return20.58%12.77%
1Y Return32.16%22.05%
3Y Return (Ann)11.86%3.39%
5Y Return (Ann)15.55%5.64%
10Y Return (Ann)15.79%5.01%
Sharpe Ratio2.882.33
Sortino Ratio3.973.23
Omega Ratio1.551.42
Calmar Ratio4.921.77
Martin Ratio19.5114.17
Ulcer Index1.58%1.61%
Daily Std Dev10.71%9.81%
Max Drawdown-25.47%-64.53%
Current Drawdown-0.23%-1.98%

Correlation

-0.50.00.51.00.5

The correlation between VUSA.L and FSTUX is 0.48, 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

VUSA.L vs. FSTUX - Performance Comparison

In the year-to-date period, VUSA.L achieves a 20.58% return, which is significantly higher than FSTUX's 12.77% return. Over the past 10 years, VUSA.L has outperformed FSTUX with an annualized return of 15.79%, while FSTUX has yielded a comparatively lower 5.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
16.02%
9.72%
VUSA.L
FSTUX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VUSA.L vs. FSTUX - Expense Ratio Comparison

VUSA.L has a 0.07% expense ratio, which is lower than FSTUX's 0.94% expense ratio.


FSTUX
Invesco Dividend Income Fund
Expense ratio chart for FSTUX: current value at 0.94% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.94%
Expense ratio chart for VUSA.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VUSA.L vs. FSTUX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 UCITS ETF (VUSA.L) and Invesco Dividend Income Fund (FSTUX). 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.


VUSA.L
Sharpe ratio
The chart of Sharpe ratio for VUSA.L, currently valued at 3.17, compared to the broader market-2.000.002.004.006.003.17
Sortino ratio
The chart of Sortino ratio for VUSA.L, currently valued at 4.36, compared to the broader market0.005.0010.004.36
Omega ratio
The chart of Omega ratio for VUSA.L, currently valued at 1.61, compared to the broader market1.001.502.002.503.003.501.61
Calmar ratio
The chart of Calmar ratio for VUSA.L, currently valued at 4.56, compared to the broader market0.005.0010.0015.004.56
Martin ratio
The chart of Martin ratio for VUSA.L, currently valued at 19.64, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.64
FSTUX
Sharpe ratio
The chart of Sharpe ratio for FSTUX, currently valued at 1.98, compared to the broader market-2.000.002.004.006.001.98
Sortino ratio
The chart of Sortino ratio for FSTUX, currently valued at 2.74, compared to the broader market0.005.0010.002.74
Omega ratio
The chart of Omega ratio for FSTUX, currently valued at 1.36, compared to the broader market1.001.502.002.503.003.501.36
Calmar ratio
The chart of Calmar ratio for FSTUX, currently valued at 1.61, compared to the broader market0.005.0010.0015.001.61
Martin ratio
The chart of Martin ratio for FSTUX, currently valued at 11.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.69

VUSA.L vs. FSTUX - Sharpe Ratio Comparison

The current VUSA.L Sharpe Ratio is 2.88, which is comparable to the FSTUX Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of VUSA.L and FSTUX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctober
3.17
1.98
VUSA.L
FSTUX

Dividends

VUSA.L vs. FSTUX - Dividend Comparison

VUSA.L's dividend yield for the trailing twelve months is around 0.77%, less than FSTUX's 1.70% yield.


TTM20232022202120202019201820172016201520142013
VUSA.L
Vanguard S&P 500 UCITS ETF
0.77%1.25%1.41%1.05%1.46%1.48%1.70%1.60%1.55%1.73%1.50%1.62%
FSTUX
Invesco Dividend Income Fund
1.70%2.05%1.78%1.81%2.17%2.53%2.73%1.80%1.74%2.00%2.03%2.67%

Drawdowns

VUSA.L vs. FSTUX - Drawdown Comparison

The maximum VUSA.L drawdown since its inception was -25.47%, smaller than the maximum FSTUX drawdown of -64.53%. Use the drawdown chart below to compare losses from any high point for VUSA.L and FSTUX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-0.65%
-1.98%
VUSA.L
FSTUX

Volatility

VUSA.L vs. FSTUX - Volatility Comparison

The current volatility for Vanguard S&P 500 UCITS ETF (VUSA.L) is 1.83%, while Invesco Dividend Income Fund (FSTUX) has a volatility of 2.63%. This indicates that VUSA.L experiences smaller price fluctuations and is considered to be less risky than FSTUX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctober
1.83%
2.63%
VUSA.L
FSTUX