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FGD vs. HYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FGDHYG
YTD Return2.06%1.30%
1Y Return8.89%9.36%
3Y Return (Ann)1.23%1.01%
5Y Return (Ann)5.01%2.75%
10Y Return (Ann)3.00%3.24%
Sharpe Ratio0.701.50
Daily Std Dev12.97%6.21%
Max Drawdown-68.05%-34.24%
Current Drawdown-3.74%-0.43%

Correlation

-0.50.00.51.00.6

The correlation between FGD and HYG is 0.60, 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

FGD vs. HYG - Performance Comparison

In the year-to-date period, FGD achieves a 2.06% return, which is significantly higher than HYG's 1.30% return. Over the past 10 years, FGD has underperformed HYG with an annualized return of 3.00%, while HYG has yielded a comparatively higher 3.24% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


50.00%60.00%70.00%80.00%90.00%100.00%110.00%120.00%December2024FebruaryMarchAprilMay
76.55%
115.93%
FGD
HYG

Compare stocks, funds, or ETFs

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


First Trust Dow Jones Global Select Dividend Index Fund

iShares iBoxx $ High Yield Corporate Bond ETF

FGD vs. HYG - Expense Ratio Comparison

FGD has a 0.59% expense ratio, which is higher than HYG's 0.49% expense ratio.


FGD
First Trust Dow Jones Global Select Dividend Index Fund
Expense ratio chart for FGD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

FGD vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Global Select Dividend Index Fund (FGD) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.


FGD
Sharpe ratio
The chart of Sharpe ratio for FGD, currently valued at 0.70, compared to the broader market-1.000.001.002.003.004.005.000.70
Sortino ratio
The chart of Sortino ratio for FGD, currently valued at 1.11, compared to the broader market-2.000.002.004.006.008.001.11
Omega ratio
The chart of Omega ratio for FGD, currently valued at 1.13, compared to the broader market0.501.001.502.002.501.13
Calmar ratio
The chart of Calmar ratio for FGD, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.0012.0014.000.51
Martin ratio
The chart of Martin ratio for FGD, currently valued at 2.27, compared to the broader market0.0020.0040.0060.0080.002.27
HYG
Sharpe ratio
The chart of Sharpe ratio for HYG, currently valued at 1.50, compared to the broader market-1.000.001.002.003.004.005.001.50
Sortino ratio
The chart of Sortino ratio for HYG, currently valued at 2.29, compared to the broader market-2.000.002.004.006.008.002.29
Omega ratio
The chart of Omega ratio for HYG, currently valued at 1.27, compared to the broader market0.501.001.502.002.501.27
Calmar ratio
The chart of Calmar ratio for HYG, currently valued at 0.98, compared to the broader market0.002.004.006.008.0010.0012.0014.000.98
Martin ratio
The chart of Martin ratio for HYG, currently valued at 7.96, compared to the broader market0.0020.0040.0060.0080.007.96

FGD vs. HYG - Sharpe Ratio Comparison

The current FGD Sharpe Ratio is 0.70, which is lower than the HYG Sharpe Ratio of 1.50. The chart below compares the 12-month rolling Sharpe Ratio of FGD and HYG.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00December2024FebruaryMarchAprilMay
0.70
1.50
FGD
HYG

Dividends

FGD vs. HYG - Dividend Comparison

FGD's dividend yield for the trailing twelve months is around 5.92%, which matches HYG's 5.96% yield.


TTM20232022202120202019201820172016201520142013
FGD
First Trust Dow Jones Global Select Dividend Index Fund
5.92%6.44%5.74%5.35%6.17%5.19%5.88%4.01%4.36%5.07%5.18%4.51%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.96%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

FGD vs. HYG - Drawdown Comparison

The maximum FGD drawdown since its inception was -68.05%, which is greater than HYG's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for FGD and HYG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-3.74%
-0.43%
FGD
HYG

Volatility

FGD vs. HYG - Volatility Comparison

First Trust Dow Jones Global Select Dividend Index Fund (FGD) has a higher volatility of 4.31% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 1.87%. This indicates that FGD's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
4.31%
1.87%
FGD
HYG