PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FDN vs. BOTZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDNBOTZ
YTD Return25.23%18.52%
1Y Return47.51%39.65%
3Y Return (Ann)-2.08%-4.91%
5Y Return (Ann)11.84%9.59%
Sharpe Ratio2.431.81
Sortino Ratio3.122.42
Omega Ratio1.421.31
Calmar Ratio1.221.00
Martin Ratio12.737.38
Ulcer Index3.57%5.28%
Daily Std Dev18.74%21.49%
Max Drawdown-61.55%-55.54%
Current Drawdown-7.39%-14.84%

Correlation

-0.50.00.51.00.7

The correlation between FDN and BOTZ is 0.74, 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

FDN vs. BOTZ - Performance Comparison

In the year-to-date period, FDN achieves a 25.23% return, which is significantly higher than BOTZ's 18.52% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.74%
8.01%
FDN
BOTZ

Compare stocks, funds, or ETFs

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


FDN vs. BOTZ - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is lower than BOTZ's 0.68% expense ratio.


BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
Expense ratio chart for BOTZ: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for FDN: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%

Risk-Adjusted Performance

FDN vs. BOTZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and Global X Robotics & Artificial Intelligence Thematic ETF (BOTZ). 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.


FDN
Sharpe ratio
The chart of Sharpe ratio for FDN, currently valued at 2.42, compared to the broader market-2.000.002.004.006.002.43
Sortino ratio
The chart of Sortino ratio for FDN, currently valued at 3.12, compared to the broader market-2.000.002.004.006.008.0010.0012.003.12
Omega ratio
The chart of Omega ratio for FDN, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for FDN, currently valued at 1.22, compared to the broader market0.005.0010.0015.001.22
Martin ratio
The chart of Martin ratio for FDN, currently valued at 12.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.73
BOTZ
Sharpe ratio
The chart of Sharpe ratio for BOTZ, currently valued at 1.81, compared to the broader market-2.000.002.004.006.001.81
Sortino ratio
The chart of Sortino ratio for BOTZ, currently valued at 2.42, compared to the broader market-2.000.002.004.006.008.0010.0012.002.42
Omega ratio
The chart of Omega ratio for BOTZ, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for BOTZ, currently valued at 1.00, compared to the broader market0.005.0010.0015.001.00
Martin ratio
The chart of Martin ratio for BOTZ, currently valued at 7.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.38

FDN vs. BOTZ - Sharpe Ratio Comparison

The current FDN Sharpe Ratio is 2.43, which is higher than the BOTZ Sharpe Ratio of 1.81. The chart below compares the historical Sharpe Ratios of FDN and BOTZ, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.43
1.81
FDN
BOTZ

Dividends

FDN vs. BOTZ - Dividend Comparison

FDN has not paid dividends to shareholders, while BOTZ's dividend yield for the trailing twelve months is around 0.14%.


TTM20232022202120202019201820172016
FDN
First Trust Dow Jones Internet Index
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
0.14%0.20%0.23%0.16%0.19%0.83%1.44%0.01%0.06%

Drawdowns

FDN vs. BOTZ - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, which is greater than BOTZ's maximum drawdown of -55.54%. Use the drawdown chart below to compare losses from any high point for FDN and BOTZ. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-7.39%
-14.84%
FDN
BOTZ

Volatility

FDN vs. BOTZ - Volatility Comparison

The current volatility for First Trust Dow Jones Internet Index (FDN) is 4.70%, while Global X Robotics & Artificial Intelligence Thematic ETF (BOTZ) has a volatility of 5.65%. This indicates that FDN experiences smaller price fluctuations and is considered to be less risky than BOTZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.70%
5.65%
FDN
BOTZ