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FDM vs. IVV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDM and IVV is 0.76, 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.


Performance

FDM vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones Select MicroCap Index Fund (FDM) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FDM:

0.49

IVV:

0.70

Sortino Ratio

FDM:

0.77

IVV:

1.05

Omega Ratio

FDM:

1.09

IVV:

1.15

Calmar Ratio

FDM:

0.44

IVV:

0.69

Martin Ratio

FDM:

1.25

IVV:

2.62

Ulcer Index

FDM:

8.20%

IVV:

4.93%

Daily Std Dev

FDM:

25.08%

IVV:

19.73%

Max Drawdown

FDM:

-63.45%

IVV:

-55.25%

Current Drawdown

FDM:

-6.90%

IVV:

-3.45%

Returns By Period

In the year-to-date period, FDM achieves a -0.55% return, which is significantly lower than IVV's 1.01% return. Over the past 10 years, FDM has underperformed IVV with an annualized return of 8.79%, while IVV has yielded a comparatively higher 12.79% annualized return.


FDM

YTD

-0.55%

1M

8.96%

6M

-6.20%

1Y

12.25%

3Y*

7.84%

5Y*

14.21%

10Y*

8.79%

IVV

YTD

1.01%

1M

6.43%

6M

-0.85%

1Y

13.63%

3Y*

14.12%

5Y*

15.92%

10Y*

12.79%

*Annualized

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iShares Core S&P 500 ETF

FDM vs. IVV - Expense Ratio Comparison

FDM has a 0.60% expense ratio, which is higher than IVV's 0.03% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

FDM vs. IVV — Risk-Adjusted Performance Rank

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

FDM
The Risk-Adjusted Performance Rank of FDM is 4242
Overall Rank
The Sharpe Ratio Rank of FDM is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of FDM is 4242
Sortino Ratio Rank
The Omega Ratio Rank of FDM is 3838
Omega Ratio Rank
The Calmar Ratio Rank of FDM is 4747
Calmar Ratio Rank
The Martin Ratio Rank of FDM is 3838
Martin Ratio Rank

IVV
The Risk-Adjusted Performance Rank of IVV is 6363
Overall Rank
The Sharpe Ratio Rank of IVV is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of IVV is 6060
Sortino Ratio Rank
The Omega Ratio Rank of IVV is 6363
Omega Ratio Rank
The Calmar Ratio Rank of IVV is 6666
Calmar Ratio Rank
The Martin Ratio Rank of IVV is 6464
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.

FDM vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Select MicroCap Index Fund (FDM) and iShares Core S&P 500 ETF (IVV). 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 FDM Sharpe Ratio is 0.49, which is comparable to the IVV Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of FDM and IVV, 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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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

FDM vs. IVV - Dividend Comparison

FDM's dividend yield for the trailing twelve months is around 1.90%, more than IVV's 1.31% yield.


TTM20242023202220212020201920182017201620152014
FDM
First Trust Dow Jones Select MicroCap Index Fund
1.90%1.56%1.81%1.81%1.08%1.68%1.37%1.26%0.97%1.13%1.45%0.75%
IVV
iShares Core S&P 500 ETF
1.31%1.30%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%

Drawdowns

FDM vs. IVV - Drawdown Comparison

The maximum FDM drawdown since its inception was -63.45%, which is greater than IVV's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for FDM and IVV.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

FDM vs. IVV - Volatility Comparison

First Trust Dow Jones Select MicroCap Index Fund (FDM) has a higher volatility of 6.45% compared to iShares Core S&P 500 ETF (IVV) at 4.81%. This indicates that FDM's price experiences larger fluctuations and is considered to be riskier than IVV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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