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

Performance

FDN vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones Internet Index (FDN) and Vanguard Information Technology ETF (VGT). 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%
15.02%
FDN
VGT

Returns By Period

The year-to-date returns for both investments are quite close, with FDN having a 27.82% return and VGT slightly higher at 28.63%. Over the past 10 years, FDN has underperformed VGT with an annualized return of 14.53%, while VGT has yielded a comparatively higher 20.73% annualized return.


FDN

YTD

27.82%

1M

8.79%

6M

18.45%

1Y

41.64%

5Y (annualized)

12.03%

10Y (annualized)

14.53%

VGT

YTD

28.63%

1M

2.11%

6M

15.02%

1Y

35.48%

5Y (annualized)

22.76%

10Y (annualized)

20.73%

Key characteristics


FDNVGT
Sharpe Ratio2.311.71
Sortino Ratio2.952.24
Omega Ratio1.401.31
Calmar Ratio1.292.36
Martin Ratio11.998.49
Ulcer Index3.59%4.24%
Daily Std Dev18.59%20.98%
Max Drawdown-61.55%-54.63%
Current Drawdown-5.47%-1.01%

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. VGT - Expense Ratio Comparison

FDN has a 0.52% expense ratio, which is higher than VGT's 0.10% 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 VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.9

The correlation between FDN and VGT is 0.86, 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. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Internet Index (FDN) and Vanguard Information Technology ETF (VGT). 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 market0.002.004.002.311.71
The chart of Sortino ratio for FDN, currently valued at 2.95, compared to the broader market-2.000.002.004.006.008.0010.002.952.24
The chart of Omega ratio for FDN, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.31
The chart of Calmar ratio for FDN, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.292.36
The chart of Martin ratio for FDN, currently valued at 11.99, compared to the broader market0.0020.0040.0060.0080.00100.0011.998.49
FDN
VGT

The current FDN Sharpe Ratio is 2.31, which is higher than the VGT Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of FDN and VGT, 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
1.71
FDN
VGT

Dividends

FDN vs. VGT - Dividend Comparison

FDN has not paid dividends to shareholders, while VGT's dividend yield for the trailing twelve months is around 0.60%.


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%
VGT
Vanguard Information Technology ETF
0.60%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

FDN vs. VGT - Drawdown Comparison

The maximum FDN drawdown since its inception was -61.55%, which is greater than VGT's maximum drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for FDN and VGT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.47%
-1.01%
FDN
VGT

Volatility

FDN vs. VGT - Volatility Comparison

The current volatility for First Trust Dow Jones Internet Index (FDN) is 5.45%, while Vanguard Information Technology ETF (VGT) has a volatility of 6.47%. This indicates that FDN experiences smaller price fluctuations and is considered to be less risky than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.45%
6.47%
FDN
VGT