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FDNI vs. VGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDNI and VGT is 0.54, 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.


-0.50.00.51.00.5

Performance

FDNI vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones International Internet ETF (FDNI) and Vanguard Information Technology ETF (VGT). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
45.54%
250.82%
FDNI
VGT

Key characteristics

Sharpe Ratio

FDNI:

0.99

VGT:

1.55

Sortino Ratio

FDNI:

1.54

VGT:

2.05

Omega Ratio

FDNI:

1.19

VGT:

1.28

Calmar Ratio

FDNI:

0.43

VGT:

2.18

Martin Ratio

FDNI:

4.67

VGT:

7.80

Ulcer Index

FDNI:

5.78%

VGT:

4.26%

Daily Std Dev

FDNI:

27.25%

VGT:

21.45%

Max Drawdown

FDNI:

-71.08%

VGT:

-54.63%

Current Drawdown

FDNI:

-49.67%

VGT:

-2.41%

Returns By Period

In the year-to-date period, FDNI achieves a 25.20% return, which is significantly lower than VGT's 31.34% return.


FDNI

YTD

25.20%

1M

-1.84%

6M

17.72%

1Y

23.77%

5Y*

3.20%

10Y*

N/A

VGT

YTD

31.34%

1M

2.11%

6M

9.77%

1Y

31.45%

5Y*

22.00%

10Y*

20.77%

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FDNI vs. VGT - Expense Ratio Comparison

FDNI has a 0.65% expense ratio, which is higher than VGT's 0.10% 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 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%

Risk-Adjusted Performance

FDNI vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones International Internet ETF (FDNI) 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 FDNI, currently valued at 0.99, compared to the broader market0.002.004.000.991.55
The chart of Sortino ratio for FDNI, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.542.05
The chart of Omega ratio for FDNI, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.28
The chart of Calmar ratio for FDNI, currently valued at 0.43, compared to the broader market0.005.0010.0015.000.432.18
The chart of Martin ratio for FDNI, currently valued at 4.67, compared to the broader market0.0020.0040.0060.0080.00100.004.677.80
FDNI
VGT

The current FDNI Sharpe Ratio is 0.99, which is lower than the VGT Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of FDNI 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.99
1.55
FDNI
VGT

Dividends

FDNI vs. VGT - Dividend Comparison

FDNI's dividend yield for the trailing twelve months is around 1.04%, more than VGT's 0.59% yield.


TTM20232022202120202019201820172016201520142013
FDNI
First Trust Dow Jones International Internet ETF
1.04%0.40%0.00%0.00%0.16%3.12%0.00%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF
0.59%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

FDNI vs. VGT - Drawdown Comparison

The maximum FDNI drawdown since its inception was -71.08%, which is greater than VGT's maximum drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for FDNI and VGT. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-49.67%
-2.41%
FDNI
VGT

Volatility

FDNI vs. VGT - Volatility Comparison

First Trust Dow Jones International Internet ETF (FDNI) has a higher volatility of 8.98% compared to Vanguard Information Technology ETF (VGT) at 5.62%. This indicates that FDNI's price experiences larger fluctuations and is considered to be riskier 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%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
8.98%
5.62%
FDNI
VGT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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