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FDN vs. FDNI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDN and FDNI is 0.52, 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

FDN vs. FDNI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones Internet Index (FDN) and First Trust Dow Jones International Internet ETF (FDNI). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FDN:

0.94

FDNI:

1.10

Sortino Ratio

FDN:

1.40

FDNI:

1.74

Omega Ratio

FDN:

1.20

FDNI:

1.22

Calmar Ratio

FDN:

0.87

FDNI:

0.60

Martin Ratio

FDN:

3.01

FDNI:

4.60

Ulcer Index

FDN:

7.89%

FDNI:

7.87%

Daily Std Dev

FDN:

25.56%

FDNI:

31.59%

Max Drawdown

FDN:

-61.55%

FDNI:

-71.08%

Current Drawdown

FDN:

-6.11%

FDNI:

-40.70%

Returns By Period

In the year-to-date period, FDN achieves a 3.09% return, which is significantly lower than FDNI's 20.45% return.


FDN

YTD

3.09%

1M

16.29%

6M

5.19%

1Y

23.78%

5Y*

10.60%

10Y*

14.11%

FDNI

YTD

20.45%

1M

16.85%

6M

16.37%

1Y

34.54%

5Y*

3.61%

10Y*

N/A

*Annualized

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FDN vs. FDNI - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is lower than FDNI's 0.65% expense ratio.


Risk-Adjusted Performance

FDN vs. FDNI — Risk-Adjusted Performance Rank

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

FDN
The Risk-Adjusted Performance Rank of FDN is 7676
Overall Rank
The Sharpe Ratio Rank of FDN is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of FDN is 7878
Sortino Ratio Rank
The Omega Ratio Rank of FDN is 7878
Omega Ratio Rank
The Calmar Ratio Rank of FDN is 7676
Calmar Ratio Rank
The Martin Ratio Rank of FDN is 7171
Martin Ratio Rank

FDNI
The Risk-Adjusted Performance Rank of FDNI is 7979
Overall Rank
The Sharpe Ratio Rank of FDNI is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of FDNI is 8585
Sortino Ratio Rank
The Omega Ratio Rank of FDNI is 8282
Omega Ratio Rank
The Calmar Ratio Rank of FDNI is 6060
Calmar Ratio Rank
The Martin Ratio Rank of FDNI is 8282
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.

FDN vs. FDNI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and First Trust Dow Jones International Internet ETF (FDNI). 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 FDN Sharpe Ratio is 0.94, which is comparable to the FDNI Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of FDN and FDNI, 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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Dividends

FDN vs. FDNI - Dividend Comparison

FDN has not paid dividends to shareholders, while FDNI's dividend yield for the trailing twelve months is around 0.89%.


TTM202420232022202120202019
FDN
First Trust Dow Jones Internet Index
0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FDNI
First Trust Dow Jones International Internet ETF
0.89%1.07%0.40%0.00%0.00%0.16%3.12%

Drawdowns

FDN vs. FDNI - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, smaller than the maximum FDNI drawdown of -71.08%. Use the drawdown chart below to compare losses from any high point for FDN and FDNI. For additional features, visit the drawdowns tool.


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Volatility

FDN vs. FDNI - Volatility Comparison

First Trust Dow Jones Internet Index (FDN) has a higher volatility of 7.76% compared to First Trust Dow Jones International Internet ETF (FDNI) at 7.10%. This indicates that FDN's price experiences larger fluctuations and is considered to be riskier than FDNI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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