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FDN vs. FBT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDN and FBT is 0.65, 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

FDN vs. FBT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones Internet Index (FDN) and First Trust Amex Biotechnology Index (FBT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FDN:

0.92

FBT:

0.23

Sortino Ratio

FDN:

1.43

FBT:

0.54

Omega Ratio

FDN:

1.20

FBT:

1.07

Calmar Ratio

FDN:

0.90

FBT:

0.33

Martin Ratio

FDN:

3.10

FBT:

1.08

Ulcer Index

FDN:

7.92%

FBT:

6.09%

Daily Std Dev

FDN:

25.54%

FBT:

22.70%

Max Drawdown

FDN:

-61.55%

FBT:

-40.51%

Current Drawdown

FDN:

-5.12%

FBT:

-12.09%

Returns By Period

In the year-to-date period, FDN achieves a 4.17% return, which is significantly higher than FBT's -3.64% return. Over the past 10 years, FDN has outperformed FBT with an annualized return of 14.23%, while FBT has yielded a comparatively lower 3.02% annualized return.


FDN

YTD

4.17%

1M

19.11%

6M

9.76%

1Y

23.27%

5Y*

10.42%

10Y*

14.23%

FBT

YTD

-3.64%

1M

5.11%

6M

-0.24%

1Y

5.10%

5Y*

0.29%

10Y*

3.02%

*Annualized

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FDN vs. FBT - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is lower than FBT's 0.57% expense ratio.


Risk-Adjusted Performance

FDN vs. FBT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FDN
The Risk-Adjusted Performance Rank of FDN is 7878
Overall Rank
The Sharpe Ratio Rank of FDN is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of FDN is 7979
Sortino Ratio Rank
The Omega Ratio Rank of FDN is 8080
Omega Ratio Rank
The Calmar Ratio Rank of FDN is 7777
Calmar Ratio Rank
The Martin Ratio Rank of FDN is 7272
Martin Ratio Rank

FBT
The Risk-Adjusted Performance Rank of FBT is 3333
Overall Rank
The Sharpe Ratio Rank of FBT is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of FBT is 3131
Sortino Ratio Rank
The Omega Ratio Rank of FBT is 3131
Omega Ratio Rank
The Calmar Ratio Rank of FBT is 3939
Calmar Ratio Rank
The Martin Ratio Rank of FBT is 3636
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FDN vs. FBT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and First Trust Amex Biotechnology Index (FBT). 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.


The current FDN Sharpe Ratio is 0.92, which is higher than the FBT Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of FDN and FBT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FDN vs. FBT - Dividend Comparison

FDN has not paid dividends to shareholders, while FBT's dividend yield for the trailing twelve months is around 0.73%.


TTM20242023202220212020201920182017201620152014
FDN
First Trust Dow Jones Internet Index
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FBT
First Trust Amex Biotechnology Index
0.73%0.71%0.00%0.00%1.37%0.00%0.00%0.00%0.00%0.00%0.12%0.05%

Drawdowns

FDN vs. FBT - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, which is greater than FBT's maximum drawdown of -40.51%. Use the drawdown chart below to compare losses from any high point for FDN and FBT. For additional features, visit the drawdowns tool.


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Volatility

FDN vs. FBT - Volatility Comparison

The current volatility for First Trust Dow Jones Internet Index (FDN) is 7.32%, while First Trust Amex Biotechnology Index (FBT) has a volatility of 9.66%. This indicates that FDN experiences smaller price fluctuations and is considered to be less risky than FBT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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