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

Key characteristics


FDNSKYY
YTD Return25.23%34.23%
1Y Return47.51%55.85%
3Y Return (Ann)-2.08%-0.22%
5Y Return (Ann)11.84%15.32%
10Y Return (Ann)14.34%15.91%
Sharpe Ratio2.432.47
Sortino Ratio3.123.10
Omega Ratio1.421.42
Calmar Ratio1.221.47
Martin Ratio12.7316.04
Ulcer Index3.57%3.32%
Daily Std Dev18.74%21.57%
Max Drawdown-61.55%-53.20%
Current Drawdown-7.39%-0.78%

Correlation

-0.50.00.51.00.9

The correlation between FDN and SKYY is 0.92, 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. SKYY - Performance Comparison

In the year-to-date period, FDN achieves a 25.23% return, which is significantly lower than SKYY's 34.23% return. Over the past 10 years, FDN has underperformed SKYY with an annualized return of 14.34%, while SKYY has yielded a comparatively higher 15.91% annualized 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%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
15.74%
26.23%
FDN
SKYY

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FDN vs. SKYY - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is lower than SKYY's 0.60% expense ratio.


SKYY
First Trust ISE Cloud Computing Index Fund
Expense ratio chart for SKYY: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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. SKYY - 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 ISE Cloud Computing Index Fund (SKYY). 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 market0.0020.0040.0060.0080.00100.0012.73
SKYY
Sharpe ratio
The chart of Sharpe ratio for SKYY, currently valued at 2.47, compared to the broader market-2.000.002.004.006.002.47
Sortino ratio
The chart of Sortino ratio for SKYY, currently valued at 3.10, compared to the broader market-2.000.002.004.006.008.0010.0012.003.10
Omega ratio
The chart of Omega ratio for SKYY, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for SKYY, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.47
Martin ratio
The chart of Martin ratio for SKYY, currently valued at 16.04, compared to the broader market0.0020.0040.0060.0080.00100.0016.04

FDN vs. SKYY - Sharpe Ratio Comparison

The current FDN Sharpe Ratio is 2.43, which is comparable to the SKYY Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of FDN and SKYY, 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
2.43
2.47
FDN
SKYY

Dividends

FDN vs. SKYY - Dividend Comparison

Neither FDN nor SKYY has paid dividends to shareholders.


TTM2023202220212020201920182017201620152014
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%
SKYY
First Trust ISE Cloud Computing Index Fund
0.00%0.00%0.23%0.78%0.17%0.54%0.95%0.27%0.35%0.41%0.17%

Drawdowns

FDN vs. SKYY - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, which is greater than SKYY's maximum drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for FDN and SKYY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.39%
-0.78%
FDN
SKYY

Volatility

FDN vs. SKYY - Volatility Comparison

The current volatility for First Trust Dow Jones Internet Index (FDN) is 4.70%, while First Trust ISE Cloud Computing Index Fund (SKYY) has a volatility of 6.49%. This indicates that FDN experiences smaller price fluctuations and is considered to be less risky than SKYY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.70%
6.49%
FDN
SKYY