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

Performance

FDN vs. OGIG - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.10%
14.49%
FDN
OGIG

Returns By Period

The year-to-date returns for both investments are quite close, with FDN having a 24.07% return and OGIG slightly higher at 24.46%.


FDN

YTD

24.07%

1M

5.33%

6M

12.10%

1Y

39.42%

5Y (annualized)

11.42%

10Y (annualized)

14.28%

OGIG

YTD

24.46%

1M

5.92%

6M

14.49%

1Y

36.95%

5Y (annualized)

12.94%

10Y (annualized)

N/A

Key characteristics


FDNOGIG
Sharpe Ratio2.161.99
Sortino Ratio2.782.59
Omega Ratio1.381.34
Calmar Ratio1.170.79
Martin Ratio11.1610.49
Ulcer Index3.58%3.60%
Daily Std Dev18.60%19.04%
Max Drawdown-61.55%-66.05%
Current Drawdown-8.24%-28.64%

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FDN vs. OGIG - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is higher than OGIG's 0.48% expense ratio.


FDN
First Trust Dow Jones Internet Index
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%
Expense ratio chart for OGIG: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Correlation

-0.50.00.51.00.9

The correlation between FDN and OGIG is 0.93, 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.

Risk-Adjusted Performance

FDN vs. OGIG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and O’Shares Global Internet Giants ETF (OGIG). 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 2.16, compared to the broader market0.002.004.002.161.99
The chart of Sortino ratio for FDN, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.002.782.59
The chart of Omega ratio for FDN, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.34
The chart of Calmar ratio for FDN, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.170.79
The chart of Martin ratio for FDN, currently valued at 11.16, compared to the broader market0.0020.0040.0060.0080.00100.0011.1610.49
FDN
OGIG

The current FDN Sharpe Ratio is 2.16, which is comparable to the OGIG Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of FDN and OGIG, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.16
1.99
FDN
OGIG

Dividends

FDN vs. OGIG - Dividend Comparison

Neither FDN nor OGIG has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

FDN vs. OGIG - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, smaller than the maximum OGIG drawdown of -66.05%. Use the drawdown chart below to compare losses from any high point for FDN and OGIG. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-8.24%
-28.64%
FDN
OGIG

Volatility

FDN vs. OGIG - Volatility Comparison

First Trust Dow Jones Internet Index (FDN) and O’Shares Global Internet Giants ETF (OGIG) have volatilities of 5.67% and 5.73%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.67%
5.73%
FDN
OGIG