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FDT vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDT and QQQ is 0.67, 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.


-0.50.00.51.00.7

Performance

FDT vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
50.08%
936.68%
FDT
QQQ

Key characteristics

Sharpe Ratio

FDT:

0.56

QQQ:

1.64

Sortino Ratio

FDT:

0.82

QQQ:

2.19

Omega Ratio

FDT:

1.11

QQQ:

1.30

Calmar Ratio

FDT:

0.59

QQQ:

2.16

Martin Ratio

FDT:

2.79

QQQ:

7.79

Ulcer Index

FDT:

3.07%

QQQ:

3.76%

Daily Std Dev

FDT:

15.27%

QQQ:

17.85%

Max Drawdown

FDT:

-46.10%

QQQ:

-82.98%

Current Drawdown

FDT:

-7.81%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, FDT achieves a 5.64% return, which is significantly lower than QQQ's 27.20% return. Over the past 10 years, FDT has underperformed QQQ with an annualized return of 3.93%, while QQQ has yielded a comparatively higher 18.36% annualized return.


FDT

YTD

5.64%

1M

-2.80%

6M

0.34%

1Y

6.94%

5Y*

2.74%

10Y*

3.93%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FDT vs. QQQ - Expense Ratio Comparison

FDT has a 0.80% expense ratio, which is higher than QQQ's 0.20% expense ratio.


FDT
First Trust Developed Markets ex-US AlphaDEX Fund
Expense ratio chart for FDT: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

FDT vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Invesco QQQ (QQQ). 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 FDT, currently valued at 0.56, compared to the broader market0.002.004.000.561.64
The chart of Sortino ratio for FDT, currently valued at 0.82, compared to the broader market-2.000.002.004.006.008.0010.000.822.19
The chart of Omega ratio for FDT, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.30
The chart of Calmar ratio for FDT, currently valued at 0.59, compared to the broader market0.005.0010.0015.000.592.16
The chart of Martin ratio for FDT, currently valued at 2.79, compared to the broader market0.0020.0040.0060.0080.00100.002.797.79
FDT
QQQ

The current FDT Sharpe Ratio is 0.56, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of FDT and QQQ, 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
0.56
1.64
FDT
QQQ

Dividends

FDT vs. QQQ - Dividend Comparison

FDT's dividend yield for the trailing twelve months is around 5.67%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
FDT
First Trust Developed Markets ex-US AlphaDEX Fund
3.94%4.36%2.29%3.80%2.42%2.78%2.13%1.57%1.76%1.83%1.74%1.88%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

FDT vs. QQQ - Drawdown Comparison

The maximum FDT drawdown since its inception was -46.10%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for FDT and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.81%
-3.63%
FDT
QQQ

Volatility

FDT vs. QQQ - Volatility Comparison

The current volatility for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) is 2.99%, while Invesco QQQ (QQQ) has a volatility of 5.29%. This indicates that FDT experiences smaller price fluctuations and is considered to be less risky than QQQ 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%9.00%JulyAugustSeptemberOctoberNovemberDecember
2.99%
5.29%
FDT
QQQ
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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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