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

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.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
18.45%
16.13%
FDN
FDNI

Returns By Period

The year-to-date returns for both stocks are quite close, with FDN having a 27.82% return and FDNI slightly lower at 26.70%.


FDN

YTD

27.82%

1M

8.79%

6M

18.45%

1Y

41.64%

5Y (annualized)

12.03%

10Y (annualized)

14.53%

FDNI

YTD

26.70%

1M

-1.28%

6M

16.13%

1Y

28.91%

5Y (annualized)

4.90%

10Y (annualized)

N/A

Key characteristics


FDNFDNI
Sharpe Ratio2.311.20
Sortino Ratio2.951.80
Omega Ratio1.401.22
Calmar Ratio1.290.51
Martin Ratio11.995.86
Ulcer Index3.59%5.43%
Daily Std Dev18.59%26.60%
Max Drawdown-61.55%-71.08%
Current Drawdown-5.47%-49.06%

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. FDNI - Expense Ratio Comparison

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


FDNI
First Trust Dow Jones International Internet ETF
Expense ratio chart for FDNI: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
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%

Correlation

-0.50.00.51.00.6

The correlation between FDN and FDNI is 0.59, 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.

Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for FDN, currently valued at 2.31, compared to the broader market0.002.004.002.311.20
The chart of Sortino ratio for FDN, currently valued at 2.95, compared to the broader market-2.000.002.004.006.008.0010.0012.002.951.80
The chart of Omega ratio for FDN, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.22
The chart of Calmar ratio for FDN, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.290.51
The chart of Martin ratio for FDN, currently valued at 11.99, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.995.86
FDN
FDNI

The current FDN Sharpe Ratio is 2.31, which is higher than the FDNI Sharpe Ratio of 1.20. 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.

Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.31
1.20
FDN
FDNI

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 0.24%.


TTM20232022202120202019
FDN
First Trust Dow Jones Internet Index
0.00%0.00%0.00%0.00%0.00%0.00%
FDNI
First Trust Dow Jones International Internet ETF
0.24%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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-5.47%
-49.06%
FDN
FDNI

Volatility

FDN vs. FDNI - Volatility Comparison

The current volatility for First Trust Dow Jones Internet Index (FDN) is 5.45%, while First Trust Dow Jones International Internet ETF (FDNI) has a volatility of 7.93%. This indicates that FDN experiences smaller price fluctuations and is considered to be less risky than FDNI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
5.45%
7.93%
FDN
FDNI