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

Performance

FDN vs. SCHC - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.45%
0.22%
FDN
SCHC

Returns By Period

In the year-to-date period, FDN achieves a 27.82% return, which is significantly higher than SCHC's 3.44% return. Over the past 10 years, FDN has outperformed SCHC with an annualized return of 14.53%, while SCHC has yielded a comparatively lower 4.30% annualized return.


FDN

YTD

27.82%

1M

8.79%

6M

18.45%

1Y

41.64%

5Y (annualized)

12.03%

10Y (annualized)

14.53%

SCHC

YTD

3.44%

1M

-3.59%

6M

0.22%

1Y

11.95%

5Y (annualized)

3.98%

10Y (annualized)

4.30%

Key characteristics


FDNSCHC
Sharpe Ratio2.310.86
Sortino Ratio2.951.25
Omega Ratio1.401.16
Calmar Ratio1.290.57
Martin Ratio11.994.10
Ulcer Index3.59%2.98%
Daily Std Dev18.59%14.12%
Max Drawdown-61.55%-43.94%
Current Drawdown-5.47%-11.88%

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FDN vs. SCHC - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is higher than SCHC's 0.11% 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 SCHC: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Correlation

-0.50.00.51.00.7

The correlation between FDN and SCHC is 0.65, 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. SCHC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and Schwab International Small-Cap Equity ETF (SCHC). 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 market0.002.004.002.310.86
The chart of Sortino ratio for FDN, currently valued at 2.95, compared to the broader market-2.000.002.004.006.008.0010.0012.002.951.25
The chart of Omega ratio for FDN, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.16
The chart of Calmar ratio for FDN, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.290.57
The chart of Martin ratio for FDN, currently valued at 11.99, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.994.10
FDN
SCHC

The current FDN Sharpe Ratio is 2.31, which is higher than the SCHC Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of FDN and SCHC, 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
2.31
0.86
FDN
SCHC

Dividends

FDN vs. SCHC - Dividend Comparison

FDN has not paid dividends to shareholders, while SCHC's dividend yield for the trailing twelve months is around 2.69%.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%
SCHC
Schwab International Small-Cap Equity ETF
2.69%2.94%1.78%3.02%1.62%3.23%2.51%2.72%2.01%2.34%2.59%2.80%

Drawdowns

FDN vs. SCHC - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, which is greater than SCHC's maximum drawdown of -43.94%. Use the drawdown chart below to compare losses from any high point for FDN and SCHC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-5.47%
-11.88%
FDN
SCHC

Volatility

FDN vs. SCHC - Volatility Comparison

First Trust Dow Jones Internet Index (FDN) has a higher volatility of 5.45% compared to Schwab International Small-Cap Equity ETF (SCHC) at 3.73%. This indicates that FDN's price experiences larger fluctuations and is considered to be riskier than SCHC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.45%
3.73%
FDN
SCHC