FGM vs. SPY
Compare and contrast key facts about First Trust Germany AlphaDEX Fund (FGM) and SPDR S&P 500 ETF (SPY).
FGM and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FGM is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Germany Index. It was launched on Feb 14, 2012. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both FGM and SPY 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: FGM or SPY.
Performance
FGM vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, FGM achieves a 0.79% return, which is significantly lower than SPY's 24.40% return. Over the past 10 years, FGM has underperformed SPY with an annualized return of 2.97%, while SPY has yielded a comparatively higher 13.04% annualized return.
FGM
0.79%
-2.43%
-4.32%
8.08%
0.32%
2.97%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| FGM | SPY | |
|---|---|---|
| Sharpe Ratio | 0.72 | 2.64 |
| Sortino Ratio | 1.10 | 3.53 |
| Omega Ratio | 1.13 | 1.49 |
| Calmar Ratio | 0.33 | 3.81 |
| Martin Ratio | 2.77 | 17.21 |
| Ulcer Index | 4.40% | 1.86% |
| Daily Std Dev | 16.71% | 12.15% |
| Max Drawdown | -51.58% | -55.19% |
| Current Drawdown | -28.89% | -2.17% |
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FGM vs. SPY - Expense Ratio Comparison
FGM has a 0.80% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between FGM and SPY 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.
Risk-Adjusted Performance
FGM vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) and SPDR S&P 500 ETF (SPY). 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
FGM vs. SPY - Dividend Comparison
FGM's dividend yield for the trailing twelve months is around 3.53%, more than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FGM First Trust Germany AlphaDEX Fund | 3.53% | 2.82% | 5.44% | 1.43% | 1.33% | 2.30% | 2.18% | 2.11% | 1.33% | 1.13% | 1.92% | 1.56% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
FGM vs. SPY - Drawdown Comparison
The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FGM and SPY. For additional features, visit the drawdowns tool.
Volatility
FGM vs. SPY - Volatility Comparison
First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 5.40% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.