FAD vs. SCHG
Compare and contrast key facts about First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Schwab U.S. Large-Cap Growth ETF (SCHG).
FAD and SCHG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAD is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Multi Cap Growth Index. It was launched on May 8, 2007. SCHG is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Large-Cap Growth Total Stock Market Total Return Index. It was launched on Dec 11, 2009. Both FAD and SCHG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FAD or SCHG.
Performance
FAD vs. SCHG - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with FAD having a 32.69% return and SCHG slightly higher at 32.97%. Over the past 10 years, FAD has underperformed SCHG with an annualized return of 12.36%, while SCHG has yielded a comparatively higher 16.46% annualized return.
FAD
32.69%
9.69%
20.35%
44.05%
15.09%
12.36%
SCHG
32.97%
4.60%
14.88%
38.45%
20.43%
16.46%
Key characteristics
| FAD | SCHG | |
|---|---|---|
| Sharpe Ratio | 2.70 | 2.26 |
| Sortino Ratio | 3.59 | 2.95 |
| Omega Ratio | 1.45 | 1.41 |
| Calmar Ratio | 2.16 | 3.11 |
| Martin Ratio | 17.31 | 12.34 |
| Ulcer Index | 2.55% | 3.12% |
| Daily Std Dev | 16.33% | 16.99% |
| Max Drawdown | -54.33% | -34.59% |
| Current Drawdown | 0.00% | -1.19% |
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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.
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.
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.
Dividends
FAD vs. SCHG - Dividend Comparison
FAD's dividend yield for the trailing twelve months is around 0.47%, more than SCHG's 0.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAD First Trust Multi Cap Growth AlphaDEX Fund | 0.47% | 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 | 0.40% | 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.
Volatility
FAD vs. SCHG - Volatility Comparison
First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Schwab U.S. Large-Cap Growth ETF (SCHG) have volatilities of 5.52% and 5.49%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.