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

Key characteristics


FDDSPLG
YTD Return3.31%21.36%
1Y Return16.91%33.24%
3Y Return (Ann)-0.29%8.65%
5Y Return (Ann)2.94%15.16%
10Y Return (Ann)3.86%13.04%
Sharpe Ratio1.423.05
Sortino Ratio1.994.04
Omega Ratio1.241.57
Calmar Ratio0.674.39
Martin Ratio5.3720.01
Ulcer Index3.73%1.85%
Daily Std Dev14.05%12.12%
Max Drawdown-74.76%-54.50%
Current Drawdown-16.28%-2.31%

Correlation

-0.50.00.51.00.6

The correlation between FDD and SPLG is 0.57, 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

FDD vs. SPLG - Performance Comparison

In the year-to-date period, FDD achieves a 3.31% return, which is significantly lower than SPLG's 21.36% return. Over the past 10 years, FDD has underperformed SPLG with an annualized return of 3.86%, while SPLG has yielded a comparatively higher 13.04% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%500.00%JuneJulyAugustSeptemberOctoberNovember
-9.58%
450.24%
FDD
SPLG

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FDD vs. SPLG - Expense Ratio Comparison

FDD has a 0.58% expense ratio, which is higher than SPLG's 0.03% 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 SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FDD vs. SPLG - 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 SPDR Portfolio S&P 500 ETF (SPLG). 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.


FDD
Sharpe ratio
The chart of Sharpe ratio for FDD, currently valued at 1.42, compared to the broader market-2.000.002.004.006.001.42
Sortino ratio
The chart of Sortino ratio for FDD, currently valued at 1.99, compared to the broader market0.005.0010.001.99
Omega ratio
The chart of Omega ratio for FDD, currently valued at 1.24, compared to the broader market1.001.502.002.503.003.501.24
Calmar ratio
The chart of Calmar ratio for FDD, currently valued at 0.67, compared to the broader market0.005.0010.0015.0020.000.67
Martin ratio
The chart of Martin ratio for FDD, currently valued at 5.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.37
SPLG
Sharpe ratio
The chart of Sharpe ratio for SPLG, currently valued at 3.05, compared to the broader market-2.000.002.004.006.003.05
Sortino ratio
The chart of Sortino ratio for SPLG, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for SPLG, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for SPLG, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for SPLG, currently valued at 20.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.01

FDD vs. SPLG - Sharpe Ratio Comparison

The current FDD Sharpe Ratio is 1.42, which is lower than the SPLG Sharpe Ratio of 3.05. The chart below compares the historical Sharpe Ratios of FDD and SPLG, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.42
3.05
FDD
SPLG

Dividends

FDD vs. SPLG - Dividend Comparison

FDD's dividend yield for the trailing twelve months is around 6.34%, more than SPLG's 1.28% yield.


TTM20232022202120202019201820172016201520142013
FDD
First Trust STOXX European Select Dividend Index Fund
6.34%6.85%6.07%3.44%4.01%4.69%5.05%2.78%4.88%4.35%4.30%3.62%
SPLG
SPDR Portfolio S&P 500 ETF
1.28%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

FDD vs. SPLG - Drawdown Comparison

The maximum FDD drawdown since its inception was -74.76%, which is greater than SPLG's maximum drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for FDD and SPLG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-16.28%
-2.31%
FDD
SPLG

Volatility

FDD vs. SPLG - Volatility Comparison

The current volatility for First Trust STOXX European Select Dividend Index Fund (FDD) is 3.01%, while SPDR Portfolio S&P 500 ETF (SPLG) has a volatility of 3.27%. This indicates that FDD experiences smaller price fluctuations and is considered to be less risky than SPLG 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
3.01%
3.27%
FDD
SPLG