FAAR vs. SHAG
FAAR (First Trust Alternative Absolute Return Strategy ETF) and SHAG (WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond ETF) are both exchange-traded funds - FAAR is a Commodities fund actively managed by First Trust, while SHAG is a Short-Term Bond fund tracking the Bloomberg U.S. Short Aggregate Enhanced Yield Index. FAAR is actively managed, while SHAG is passively managed. Over the past 5 years, FAAR returned 7.00%/yr vs 1.55%/yr for SHAG. Their -0.06 correlation means they have often moved in opposite directions in the past. FAAR charges 0.95%/yr vs 0.12%/yr for SHAG.
Performance
FAAR vs. SHAG - Performance Comparison
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Returns By Period
In the year-to-date period, FAAR achieves a 14.32% return, which is significantly higher than SHAG's 0.67% return.
FAAR
- 1D
- -1.43%
- 1M
- -2.21%
- 6M
- 6.89%
- YTD
- 14.32%
- 1Y
- 20.01%
- 3Y*
- 8.41%
- 5Y*
- 7.00%
- 10Y*
- 4.20%
- ALL TIME*
- 4.09%
SHAG
- 1D
- 0.07%
- 1M
- -0.08%
- 6M
- 0.40%
- YTD
- 0.67%
- 1Y
- 2.78%
- 3Y*
- 4.71%
- 5Y*
- 1.55%
- 10Y*
- —
- ALL TIME*
- 2.12%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.39M | $1.09M | $1.71M | |
| $1.23M | $618.95K | $323.02K |
FAAR vs. SHAG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 14.32% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 8.60% | -1.28% | -9.17% | 2.93% |
SHAG WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond ETF | 0.67% | 6.27% | 4.30% | 4.61% | -6.37% | -0.91% | 4.70% | 5.79% | 0.80% | -0.23% |
Correlation
The correlation between FAAR and SHAG is -0.29, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.29 |
Correlation (3Y) Balances recent behavior with more history. | -0.13 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.08 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2017 | -0.06 |
Over the past year, the inverse relationship between FAAR and SHAG has strengthened: their correlation has moved from -0.06 to -0.29, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
FAAR vs. SHAG — Risk / Return Rank
FAAR
SHAG
FAAR vs. SHAG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Alternative Absolute Return Strategy ETF (FAAR) and WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond ETF (SHAG). 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.
| FAAR | SHAG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.29 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.00 | 2.03 | -0.03 |
| Martin ratioReturn relative to average drawdown | 6.00 | 6.65 | -0.66 |
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Drawdowns
FAAR vs. SHAG - Drawdown Comparison
The maximum FAAR drawdown since its inception was -18.03%, which is greater than SHAG's maximum drawdown of -9.62%. Use the drawdown chart below to compare losses from any high point for FAAR and SHAG.
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Drawdown Indicators
| FAAR | SHAG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.03% | -9.62% | -8.41% |
Max Drawdown (1Y)Largest decline over 1 year | -10.08% | -1.38% | -8.70% |
Max Drawdown (3Y)Largest decline over 3 years | -11.54% | -1.38% | -10.16% |
Max Drawdown (5Y)Largest decline over 5 years | -18.03% | -9.47% | -8.56% |
Max Drawdown (10Y)Largest decline over 10 years | -18.03% | — | — |
Current DrawdownCurrent decline from peak | -10.08% | -0.35% | -9.73% |
Average DrawdownAverage peak-to-trough decline | -7.83% | -1.85% | -5.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.35% | 0.42% | +2.93% |
Volatility
FAAR vs. SHAG - Volatility Comparison
First Trust Alternative Absolute Return Strategy ETF (FAAR) has a higher volatility of 2.52% compared to WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond ETF (SHAG) at 0.50%. This indicates that FAAR's price experiences larger fluctuations and is considered to be riskier than SHAG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FAAR | SHAG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.52% | 0.50% | +2.02% |
Volatility (6M)Calculated over the trailing 6-month period | 9.47% | 1.47% | +8.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.76% | 1.77% | +10.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.89% | 2.76% | +9.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.55% | 2.57% | +8.98% |
FAAR vs. SHAG - Expense Ratio Comparison
FAAR has a 0.95% expense ratio, which is higher than SHAG's 0.12% expense ratio.
Dividends
FAAR vs. SHAG - Dividend Comparison
FAAR's dividend yield for the trailing twelve months is around 10.01%, more than SHAG's 4.26% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 10.01% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% |
SHAG WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond ETF | 4.26% | 4.33% | 4.49% | 3.04% | 1.38% | 0.92% | 2.33% | 2.71% | 2.56% | 0.77% |
Frequently Asked Questions
FAAR and SHAG have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FAAR has higher volatility (2.52%) compared to SHAG (0.50%). In terms of maximum drawdown, FAAR dropped -18.03% vs SHAG's -9.62%.
On 5-year performance, FAAR leads with 7.00% vs 1.55% for SHAG. On fees, SHAG is cheaper at 0.12% per year. On volatility, SHAG has been the lower-risk option at 0.50%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FAAR has performed better with a 7.00% return vs 1.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SHAG is cheaper with a 0.12% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 10.01%, compared with 4.26% for SHAG.
FAAR is categorized as Commodities, while SHAG is Short-Term Bond. They also come from different issuers: First Trust and WisdomTree. Their fees differ too: 0.95% for FAAR and 0.12% for SHAG.
SHAG currently has the higher Sharpe Ratio (1.58 vs 1.58), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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