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FCVT vs. ICVT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FCVT and ICVT is 0.75, 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

FCVT vs. ICVT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust SSI Strategic Convertible Securities ETF (FCVT) and iShares Convertible Bond ETF (ICVT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.75%
11.34%
FCVT
ICVT

Key characteristics

Sharpe Ratio

FCVT:

1.20

ICVT:

1.48

Sortino Ratio

FCVT:

1.67

ICVT:

2.06

Omega Ratio

FCVT:

1.22

ICVT:

1.26

Calmar Ratio

FCVT:

0.51

ICVT:

0.56

Martin Ratio

FCVT:

6.79

ICVT:

7.69

Ulcer Index

FCVT:

1.85%

ICVT:

1.62%

Daily Std Dev

FCVT:

10.43%

ICVT:

8.46%

Max Drawdown

FCVT:

-31.79%

ICVT:

-33.25%

Current Drawdown

FCVT:

-12.75%

ICVT:

-10.89%

Returns By Period

The year-to-date returns for both stocks are quite close, with FCVT having a 12.10% return and ICVT slightly lower at 11.83%.


FCVT

YTD

12.10%

1M

-3.20%

6M

10.27%

1Y

12.00%

5Y*

8.22%

10Y*

N/A

ICVT

YTD

11.83%

1M

-2.53%

6M

11.68%

1Y

12.19%

5Y*

10.39%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FCVT vs. ICVT - Expense Ratio Comparison

FCVT has a 0.95% expense ratio, which is higher than ICVT's 0.20% expense ratio.


FCVT
First Trust SSI Strategic Convertible Securities ETF
Expense ratio chart for FCVT: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

FCVT vs. ICVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust SSI Strategic Convertible Securities ETF (FCVT) and iShares Convertible Bond ETF (ICVT). 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 FCVT, currently valued at 1.20, compared to the broader market0.002.004.001.201.48
The chart of Sortino ratio for FCVT, currently valued at 1.67, compared to the broader market-2.000.002.004.006.008.0010.001.672.06
The chart of Omega ratio for FCVT, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.26
The chart of Calmar ratio for FCVT, currently valued at 0.51, compared to the broader market0.005.0010.0015.000.510.56
The chart of Martin ratio for FCVT, currently valued at 6.79, compared to the broader market0.0020.0040.0060.0080.00100.006.797.69
FCVT
ICVT

The current FCVT Sharpe Ratio is 1.20, which is comparable to the ICVT Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of FCVT and ICVT, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.20
1.48
FCVT
ICVT

Dividends

FCVT vs. ICVT - Dividend Comparison

FCVT's dividend yield for the trailing twelve months is around 1.30%, less than ICVT's 2.16% yield.


TTM202320222021202020192018201720162015
FCVT
First Trust SSI Strategic Convertible Securities ETF
1.30%1.76%3.71%23.07%1.72%1.60%1.85%2.18%1.88%0.59%
ICVT
iShares Convertible Bond ETF
2.16%1.84%1.93%7.70%3.98%1.86%4.82%2.56%3.06%1.57%

Drawdowns

FCVT vs. ICVT - Drawdown Comparison

The maximum FCVT drawdown since its inception was -31.79%, roughly equal to the maximum ICVT drawdown of -33.25%. Use the drawdown chart below to compare losses from any high point for FCVT and ICVT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-12.75%
-10.89%
FCVT
ICVT

Volatility

FCVT vs. ICVT - Volatility Comparison

First Trust SSI Strategic Convertible Securities ETF (FCVT) has a higher volatility of 4.20% compared to iShares Convertible Bond ETF (ICVT) at 3.09%. This indicates that FCVT's price experiences larger fluctuations and is considered to be riskier than ICVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.20%
3.09%
FCVT
ICVT
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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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