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ETP.TO vs. FHG.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ETP.TO vs. FHG.TO

Last updated Jul 16, 2026
Documentation

ETP.TO (First Trust Global Risk Managed Income Index ETF) and FHG.TO (First Trust AlphaDEX U.S. Industrials Sector Index ETF) are both exchange-traded funds - ETP.TO is a Global Equity Income fund tracking the Nasdaq Global Risk Managed Income Index, while FHG.TO is a Industrials Equities fund tracking the StrataQuant Industrials Index. Both are passively managed. Over the past 10 years, ETP.TO returned 3.70%/yr vs 13.82%/yr for FHG.TO. At a 0.20 correlation, their price movements are largely independent.

Performance

ETP.TO vs. FHG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in First Trust Global Risk Managed Income Index ETF (ETP.TO) and First Trust AlphaDEX U.S. Industrials Sector Index ETF (FHG.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ETP.TO achieves a 5.10% return, which is significantly lower than FHG.TO's 13.37% return. Over the past 10 years, ETP.TO has underperformed FHG.TO with an annualized return of 3.70%, while FHG.TO has yielded a comparatively higher 13.82% annualized return.

ETP.TO

1D
0.05%
1M
0.74%
6M
4.76%
YTD
5.10%
1Y
10.42%
3Y*
9.87%
5Y*
3.80%
10Y*
3.70%

FHG.TO

1D
0.89%
1M
-0.52%
6M
4.59%
YTD
13.37%
1Y
19.43%
3Y*
16.34%
5Y*
11.58%
10Y*
13.82%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ETP.TO vs. FHG.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ETP.TO
First Trust Global Risk Managed Income Index ETF		5.10%9.03%11.18%5.68%-10.84%6.08%-0.95%11.41%-4.09%5.12%
FHG.TO
First Trust AlphaDEX U.S. Industrials Sector Index ETF		13.37%2.40%26.33%23.13%-11.70%27.10%7.70%29.30%-11.05%15.22%

Correlation

The correlation between ETP.TO and FHG.TO is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.23

Correlation (3Y)
Calculated over the trailing 3-year period

0.26

Correlation (5Y)
Calculated over the trailing 5-year period

0.29

Correlation (10Y)
Calculated over the trailing 10-year period

0.21

Correlation (All Time)
Calculated using the full available price history since Oct 30, 2014

0.20

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First Trust Global Risk Managed Income Index ETF

First Trust AlphaDEX U.S. Industrials Sector Index ETF

Return for Risk

ETP.TO vs. FHG.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ETP.TO
ETP.TO Risk / Return Rank: 9292
Overall Rank
ETP.TO Sharpe Ratio Rank: 9595
Sharpe Ratio Rank
ETP.TO Sortino Ratio Rank: 9595
Sortino Ratio Rank
ETP.TO Omega Ratio Rank: 9595
Omega Ratio Rank
ETP.TO Calmar Ratio Rank: 8686
Calmar Ratio Rank
ETP.TO Martin Ratio Rank: 9090
Martin Ratio Rank
FHG.TO
FHG.TO Risk / Return Rank: 3535
Overall Rank
FHG.TO Sharpe Ratio Rank: 3333
Sharpe Ratio Rank
FHG.TO Sortino Ratio Rank: 3838
Sortino Ratio Rank
FHG.TO Omega Ratio Rank: 3434
Omega Ratio Rank
FHG.TO Calmar Ratio Rank: 3535
Calmar Ratio Rank
FHG.TO Martin Ratio Rank: 3737
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ETP.TO vs. FHG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Global Risk Managed Income Index ETF (ETP.TO) and First Trust AlphaDEX U.S. Industrials Sector Index ETF (FHG.TO). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

ETP.TOFHG.TODifference
Sharpe ratioReturn per unit of total volatility
2.90
1.01

+1.89

Sortino ratioReturn per unit of downside risk
4.28
1.69

+2.59

Omega ratioGain probability vs. loss probability

1.58

1.20

+0.38

Calmar ratioReturn relative to maximum drawdown

3.90

1.50

+2.40

Martin ratioReturn relative to average drawdown

16.53

4.69

+11.85

ETP.TO vs. FHG.TO - Sharpe Ratio Comparison

The current ETP.TO Sharpe Ratio is 2.90, which is higher than the FHG.TO Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of ETP.TO and FHG.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ETP.TO vs. FHG.TO - Drawdown Comparison

The maximum ETP.TO drawdown since its inception was -26.38%, smaller than the maximum FHG.TO drawdown of -38.86%. Use the drawdown chart below to compare losses from any high point for ETP.TO and FHG.TO.

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Drawdown Indicators

ETP.TOFHG.TODifference

Max Drawdown

Largest peak-to-trough decline

-26.38%

-38.86%

+12.48%

Max Drawdown (1Y)

Largest decline over 1 year

-2.81%

-13.01%

+10.20%

Max Drawdown (3Y)

Largest decline over 3 years

-5.73%

-25.15%

+19.42%

Max Drawdown (5Y)

Largest decline over 5 years

-15.30%

-25.15%

+9.85%

Max Drawdown (10Y)

Largest decline over 10 years

-26.38%

-38.86%

+12.48%

Current Drawdown

Current decline from peak

0.00%

-3.09%

+3.09%

Average Drawdown

Average peak-to-trough decline

-3.26%

-6.06%

+2.80%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.66%

4.16%

-3.50%

Volatility

ETP.TO vs. FHG.TO - Volatility Comparison

The current volatility for First Trust Global Risk Managed Income Index ETF (ETP.TO) is 0.70%, while First Trust AlphaDEX U.S. Industrials Sector Index ETF (FHG.TO) has a volatility of 5.00%. This indicates that ETP.TO experiences smaller price fluctuations and is considered to be less risky than FHG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ETP.TOFHG.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

0.70%

5.00%

-4.30%

Volatility (6M)

Calculated over the trailing 6-month period

2.90%

14.93%

-12.03%

Volatility (1Y)

Calculated over the trailing 1-year period

3.78%

19.24%

-15.46%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.86%

18.90%

-13.04%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.13%

19.79%

-12.66%

Dividends

ETP.TO vs. FHG.TO - Dividend Comparison

ETP.TO's dividend yield for the trailing twelve months is around 3.62%, more than FHG.TO's 0.57% yield.

PositionTTM20252024202320222021202020192018201720162015
ETP.TO
First Trust Global Risk Managed Income Index ETF		3.62%4.03%3.73%4.15%3.25%2.93%3.78%3.76%4.33%4.08%3.84%4.28%
FHG.TO
First Trust AlphaDEX U.S. Industrials Sector Index ETF		0.57%0.40%1.09%0.77%1.33%0.34%1.11%0.57%1.36%0.54%0.24%0.58%

Frequently Asked Questions

ETP.TO and FHG.TO have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ETP.TO is categorized as Global Equity Income, while FHG.TO is Industrials Equities. ETP.TO tracks Nasdaq Global Risk Managed Income Index, while FHG.TO tracks StrataQuant Industrials Index.

Portfolio Optimizer

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