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FDD vs. NOBL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FDD vs. NOBL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust STOXX European Select Dividend Index Fund (FDD) and ProShares S&P 500 Dividend Aristocrats ETF (NOBL). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
6.58%
FDD
NOBL

Returns By Period

In the year-to-date period, FDD achieves a 1.31% return, which is significantly lower than NOBL's 11.81% return. Over the past 10 years, FDD has underperformed NOBL with an annualized return of 3.44%, while NOBL has yielded a comparatively higher 10.00% annualized return.


FDD

YTD

1.31%

1M

-4.74%

6M

-4.45%

1Y

9.10%

5Y (annualized)

2.66%

10Y (annualized)

3.44%

NOBL

YTD

11.81%

1M

-2.83%

6M

6.58%

1Y

19.11%

5Y (annualized)

9.64%

10Y (annualized)

10.00%

Key characteristics


FDDNOBL
Sharpe Ratio0.691.89
Sortino Ratio0.992.66
Omega Ratio1.121.33
Calmar Ratio0.372.81
Martin Ratio2.418.45
Ulcer Index4.04%2.28%
Daily Std Dev14.00%10.20%
Max Drawdown-74.76%-35.43%
Current Drawdown-17.90%-2.83%

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FDD vs. NOBL - Expense Ratio Comparison

FDD has a 0.58% expense ratio, which is higher than NOBL's 0.35% expense ratio.


FDD
First Trust STOXX European Select Dividend Index Fund
Expense ratio chart for FDD: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for NOBL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.7

The correlation between FDD and NOBL is 0.66, 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.

Risk-Adjusted Performance

FDD vs. NOBL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust STOXX European Select Dividend Index Fund (FDD) and ProShares S&P 500 Dividend Aristocrats ETF (NOBL). 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 FDD, currently valued at 0.69, compared to the broader market0.002.004.006.000.691.89
The chart of Sortino ratio for FDD, currently valued at 0.99, compared to the broader market-2.000.002.004.006.008.0010.0012.000.992.66
The chart of Omega ratio for FDD, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.33
The chart of Calmar ratio for FDD, currently valued at 0.59, compared to the broader market0.005.0010.0015.000.592.81
The chart of Martin ratio for FDD, currently valued at 2.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.418.45
FDD
NOBL

The current FDD Sharpe Ratio is 0.69, which is lower than the NOBL Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of FDD and NOBL, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.69
1.89
FDD
NOBL

Dividends

FDD vs. NOBL - Dividend Comparison

FDD's dividend yield for the trailing twelve months is around 6.46%, more than NOBL's 2.02% yield.


TTM20232022202120202019201820172016201520142013
FDD
First Trust STOXX European Select Dividend Index Fund
6.46%6.85%6.07%3.44%4.00%4.70%5.05%2.77%4.88%4.36%4.31%3.63%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.02%2.09%1.94%1.89%2.14%1.89%2.37%1.74%2.13%2.02%1.60%0.30%

Drawdowns

FDD vs. NOBL - Drawdown Comparison

The maximum FDD drawdown since its inception was -74.76%, which is greater than NOBL's maximum drawdown of -35.43%. Use the drawdown chart below to compare losses from any high point for FDD and NOBL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.10%
-2.83%
FDD
NOBL

Volatility

FDD vs. NOBL - Volatility Comparison

First Trust STOXX European Select Dividend Index Fund (FDD) has a higher volatility of 5.04% compared to ProShares S&P 500 Dividend Aristocrats ETF (NOBL) at 2.98%. This indicates that FDD's price experiences larger fluctuations and is considered to be riskier than NOBL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.04%
2.98%
FDD
NOBL