FEP vs. QYLD
Compare and contrast key facts about First Trust Europe AlphaDEX Fund (FEP) and Global X NASDAQ 100 Covered Call ETF (QYLD).
FEP and QYLD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEP is a passively managed fund by First Trust that tracks the performance of the Defined Europe Index. It was launched on Apr 26, 2011. QYLD is a passively managed fund by Global X that tracks the performance of the CBOE NASDAQ-100 Buy Write V2. It was launched on Dec 12, 2013. Both FEP and QYLD are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEP or QYLD.
Key characteristics
| FEP | QYLD | |
|---|---|---|
| YTD Return | 4.68% | 18.13% |
| 1Y Return | 16.10% | 22.51% |
| 3Y Return (Ann) | -2.34% | 5.36% |
| 5Y Return (Ann) | 3.83% | 7.69% |
| 10Y Return (Ann) | 4.87% | 8.45% |
| Sharpe Ratio | 1.11 | 2.25 |
| Sortino Ratio | 1.55 | 3.09 |
| Omega Ratio | 1.19 | 1.55 |
| Calmar Ratio | 0.81 | 2.92 |
| Martin Ratio | 5.84 | 16.08 |
| Ulcer Index | 2.90% | 1.41% |
| Daily Std Dev | 15.25% | 10.05% |
| Max Drawdown | -46.05% | -24.89% |
| Current Drawdown | -8.20% | 0.00% |
Correlation
The correlation between FEP and QYLD 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.
Performance
FEP vs. QYLD - Performance Comparison
In the year-to-date period, FEP achieves a 4.68% return, which is significantly lower than QYLD's 18.13% return. Over the past 10 years, FEP has underperformed QYLD with an annualized return of 4.87%, while QYLD has yielded a comparatively higher 8.45% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FEP vs. QYLD - Expense Ratio Comparison
FEP has a 0.80% expense ratio, which is higher than QYLD's 0.60% expense ratio.
Risk-Adjusted Performance
FEP vs. QYLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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.
Dividends
FEP vs. QYLD - Dividend Comparison
FEP's dividend yield for the trailing twelve months is around 4.66%, less than QYLD's 11.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 4.66% | 3.27% | 3.00% | 3.49% | 2.32% | 2.63% | 2.62% | 1.65% | 2.14% | 2.20% | 2.47% | 1.55% |
QYLD Global X NASDAQ 100 Covered Call ETF | 11.24% | 11.78% | 13.75% | 12.85% | 11.16% | 9.84% | 12.44% | 7.69% | 9.15% | 9.42% | 10.74% | 0.00% |
Drawdowns
FEP vs. QYLD - Drawdown Comparison
The maximum FEP drawdown since its inception was -46.05%, which is greater than QYLD's maximum drawdown of -24.89%. Use the drawdown chart below to compare losses from any high point for FEP and QYLD. For additional features, visit the drawdowns tool.
Volatility
FEP vs. QYLD - Volatility Comparison
First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 4.68% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 2.54%. This indicates that FEP's price experiences larger fluctuations and is considered to be riskier than QYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.