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FAD vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FAD and SCHG is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

FAD vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

400.00%500.00%600.00%700.00%800.00%900.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
547.43%
923.84%
FAD
SCHG

Key characteristics

Sharpe Ratio

FAD:

1.67

SCHG:

2.22

Sortino Ratio

FAD:

2.28

SCHG:

2.86

Omega Ratio

FAD:

1.29

SCHG:

1.40

Calmar Ratio

FAD:

1.71

SCHG:

3.13

Martin Ratio

FAD:

10.31

SCHG:

12.34

Ulcer Index

FAD:

2.70%

SCHG:

3.14%

Daily Std Dev

FAD:

16.71%

SCHG:

17.45%

Max Drawdown

FAD:

-54.33%

SCHG:

-34.59%

Current Drawdown

FAD:

-6.37%

SCHG:

-2.75%

Returns By Period

In the year-to-date period, FAD achieves a 25.84% return, which is significantly lower than SCHG's 37.04% return. Over the past 10 years, FAD has underperformed SCHG with an annualized return of 11.60%, while SCHG has yielded a comparatively higher 16.77% annualized return.


FAD

YTD

25.84%

1M

-2.62%

6M

15.13%

1Y

26.10%

5Y*

13.21%

10Y*

11.60%

SCHG

YTD

37.04%

1M

3.40%

6M

12.88%

1Y

37.14%

5Y*

20.24%

10Y*

16.77%

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FAD vs. SCHG - Expense Ratio Comparison

FAD has a 0.63% expense ratio, which is higher than SCHG's 0.04% expense ratio.


FAD
First Trust Multi Cap Growth AlphaDEX Fund
Expense ratio chart for FAD: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

FAD vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.


Sharpe ratio
The chart of Sharpe ratio for FAD, currently valued at 1.67, compared to the broader market0.002.004.001.672.22
The chart of Sortino ratio for FAD, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.002.282.86
The chart of Omega ratio for FAD, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.40
The chart of Calmar ratio for FAD, currently valued at 1.71, compared to the broader market0.005.0010.0015.001.713.13
The chart of Martin ratio for FAD, currently valued at 10.31, compared to the broader market0.0020.0040.0060.0080.00100.0010.3112.34
FAD
SCHG

The current FAD Sharpe Ratio is 1.67, which is comparable to the SCHG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of FAD and SCHG, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.67
2.22
FAD
SCHG

Dividends

FAD vs. SCHG - Dividend Comparison

FAD's dividend yield for the trailing twelve months is around 0.72%, more than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
FAD
First Trust Multi Cap Growth AlphaDEX Fund
0.58%0.51%0.60%0.09%0.32%0.48%0.20%0.22%0.64%0.41%0.44%0.31%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

FAD vs. SCHG - Drawdown Comparison

The maximum FAD drawdown since its inception was -54.33%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for FAD and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.37%
-2.75%
FAD
SCHG

Volatility

FAD vs. SCHG - Volatility Comparison

First Trust Multi Cap Growth AlphaDEX Fund (FAD) has a higher volatility of 5.88% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.07%. This indicates that FAD's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.88%
5.07%
FAD
SCHG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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