FDIQ vs. FXO
FDIQ (Invesco Bloomberg Financial Data Providers ETF) and FXO (First Trust Financials AlphaDEX Fund) are both Financials Equities funds - FDIQ tracks the Bloomberg Financial Data Providers Index while FXO tracks the StrataQuant Financials Index. Both are passively managed. Over the past 10 years, FDIQ returned 7.60%/yr vs 11.86%/yr for FXO. Their correlation of 0.83 suggests significant overlap in exposure. FDIQ charges 0.35%/yr vs 0.62%/yr for FXO.
Performance
FDIQ vs. FXO - Performance Comparison
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Returns By Period
In the year-to-date period, FDIQ achieves a 9.72% return, which is significantly higher than FXO's -3.33% return. Over the past 10 years, FDIQ has underperformed FXO with an annualized return of 7.60%, while FXO has yielded a comparatively higher 11.86% annualized return.
FDIQ
- 1D
- -0.97%
- 1M
- -5.53%
- YTD
- 9.72%
- 6M
- 10.28%
- 1Y
- 22.98%
- 3Y*
- 18.27%
- 5Y*
- 3.82%
- 10Y*
- 7.60%
FXO
- 1D
- -1.14%
- 1M
- -2.00%
- YTD
- -3.33%
- 6M
- -1.77%
- 1Y
- 9.07%
- 3Y*
- 18.83%
- 5Y*
- 7.43%
- 10Y*
- 11.86%
FDIQ vs. FXO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDIQ Invesco Bloomberg Financial Data Providers ETF | 9.72% | 6.32% | 12.76% | -0.84% | -7.23% | 36.05% | -8.95% | 23.57% | -18.31% | 1.81% |
FXO First Trust Financials AlphaDEX Fund | -3.33% | 13.59% | 27.72% | 9.28% | -9.24% | 37.76% | 5.95% | 26.31% | -11.72% | 17.88% |
Correlation
The correlation between FDIQ and FXO is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Nov 2, 2011 | 0.83 |
The correlation between FDIQ and FXO shifts across timeframes, from 0.73 (1 year) to 0.86 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FDIQ vs. FXO — Risk / Return Rank
FDIQ
FXO
FDIQ vs. FXO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Bloomberg Financial Data Providers ETF (FDIQ) and First Trust Financials AlphaDEX Fund (FXO). 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.
| FDIQ | FXO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.46 | ||
| Sortino ratioReturn per unit of downside risk | +0.71 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.11 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 2.07 | 0.78 | +1.30 |
| Martin ratioReturn relative to average drawdown | 5.26 | 2.33 | +2.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FDIQ | FXO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.04 | 0.58 | +0.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.34 | -0.21 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.24 | 0.49 | -0.25 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.30 | +0.07 |
Drawdowns
FDIQ vs. FXO - Drawdown Comparison
The maximum FDIQ drawdown since its inception was -52.86%, smaller than the maximum FXO drawdown of -71.30%. Use the drawdown chart below to compare losses from any high point for FDIQ and FXO.
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Drawdown Indicators
| FDIQ | FXO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.86% | -71.30% | +18.44% |
Max Drawdown (1Y)Largest decline over 1 year | -11.13% | -11.72% | +0.59% |
Max Drawdown (3Y)Largest decline over 3 years | -28.09% | -21.35% | -6.74% |
Max Drawdown (5Y)Largest decline over 5 years | -42.99% | -28.80% | -14.19% |
Max Drawdown (10Y)Largest decline over 10 years | -52.86% | -48.55% | -4.31% |
Current DrawdownCurrent decline from peak | -8.53% | -6.22% | -2.31% |
Average DrawdownAverage peak-to-trough decline | -11.56% | -13.12% | +1.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.38% | 3.91% | +0.47% |
Volatility
FDIQ vs. FXO - Volatility Comparison
Invesco Bloomberg Financial Data Providers ETF (FDIQ) has a higher volatility of 4.06% compared to First Trust Financials AlphaDEX Fund (FXO) at 3.63%. This indicates that FDIQ's price experiences larger fluctuations and is considered to be riskier than FXO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDIQ | FXO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.06% | 3.63% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 13.93% | 10.74% | +3.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.14% | 15.63% | +6.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.70% | 21.96% | +6.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.12% | 24.13% | +6.99% |
FDIQ vs. FXO - Expense Ratio Comparison
FDIQ has a 0.35% expense ratio, which is lower than FXO's 0.62% expense ratio.
Dividends
FDIQ vs. FXO - Dividend Comparison
FDIQ's dividend yield for the trailing twelve months is around 2.56%, more than FXO's 2.23% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDIQ Invesco Bloomberg Financial Data Providers ETF | 2.56% | 2.66% | 2.69% | 2.89% | 2.51% | 2.04% | 2.92% | 2.44% | 2.45% | 1.59% | 1.50% | 1.92% |
FXO First Trust Financials AlphaDEX Fund | 2.23% | 1.78% | 1.97% | 2.98% | 2.49% | 1.91% | 2.60% | 1.72% | 2.60% | 1.62% | 1.35% | 1.51% |
Frequently Asked Questions
FDIQ and FXO have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FDIQ has higher volatility (4.06%) compared to FXO (3.63%). In terms of maximum drawdown, FDIQ dropped -52.86% vs FXO's -71.30%.
On 10-year performance, FXO leads with 11.86% vs 7.60% for FDIQ. On fees, FDIQ is cheaper at 0.35% per year. On volatility, FXO has been the lower-risk option at 3.63%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXO has performed better with a 11.86% return vs 7.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FDIQ is cheaper with a 0.35% expense ratio, compared with 0.62% for FXO.
FDIQ has the higher dividend yield at 2.56%, compared with 2.23% for FXO.
FDIQ tracks Bloomberg Financial Data Providers Index, while FXO tracks StrataQuant Financials Index. They also come from different issuers: Invesco and First Trust. Their fees differ too: 0.35% for FDIQ and 0.62% for FXO.
FDIQ currently has the higher Sharpe Ratio (1.04 vs 0.58), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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