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FIW vs. ICLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FIWICLN
YTD Return16.70%-20.29%
1Y Return34.54%-3.85%
3Y Return (Ann)6.21%-20.23%
5Y Return (Ann)14.94%4.21%
10Y Return (Ann)13.42%4.00%
Sharpe Ratio2.32-0.17
Sortino Ratio3.26-0.06
Omega Ratio1.400.99
Calmar Ratio3.01-0.06
Martin Ratio12.48-0.40
Ulcer Index2.90%10.63%
Daily Std Dev15.61%25.86%
Max Drawdown-52.75%-87.16%
Current Drawdown-0.68%-67.38%

Correlation

-0.50.00.51.00.6

The correlation between FIW and ICLN is 0.63, 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

FIW vs. ICLN - Performance Comparison

In the year-to-date period, FIW achieves a 16.70% return, which is significantly higher than ICLN's -20.29% return. Over the past 10 years, FIW has outperformed ICLN with an annualized return of 13.42%, while ICLN has yielded a comparatively lower 4.00% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.22%
-12.03%
FIW
ICLN

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FIW vs. ICLN - Expense Ratio Comparison

FIW has a 0.54% expense ratio, which is higher than ICLN's 0.46% expense ratio.


FIW
First Trust Water ETF
Expense ratio chart for FIW: current value at 0.54% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.54%
Expense ratio chart for ICLN: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%

Risk-Adjusted Performance

FIW vs. ICLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Water ETF (FIW) and iShares Global Clean Energy ETF (ICLN). 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.


FIW
Sharpe ratio
The chart of Sharpe ratio for FIW, currently valued at 2.32, compared to the broader market-2.000.002.004.006.002.32
Sortino ratio
The chart of Sortino ratio for FIW, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for FIW, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for FIW, currently valued at 3.01, compared to the broader market0.005.0010.0015.003.01
Martin ratio
The chart of Martin ratio for FIW, currently valued at 12.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.48
ICLN
Sharpe ratio
The chart of Sharpe ratio for ICLN, currently valued at -0.17, compared to the broader market-2.000.002.004.006.00-0.17
Sortino ratio
The chart of Sortino ratio for ICLN, currently valued at -0.06, compared to the broader market0.005.0010.00-0.06
Omega ratio
The chart of Omega ratio for ICLN, currently valued at 0.99, compared to the broader market1.001.502.002.503.000.99
Calmar ratio
The chart of Calmar ratio for ICLN, currently valued at -0.06, compared to the broader market0.005.0010.0015.00-0.06
Martin ratio
The chart of Martin ratio for ICLN, currently valued at -0.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.40

FIW vs. ICLN - Sharpe Ratio Comparison

The current FIW Sharpe Ratio is 2.32, which is higher than the ICLN Sharpe Ratio of -0.17. The chart below compares the historical Sharpe Ratios of FIW and ICLN, 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 Ratio-1.000.001.002.00JuneJulyAugustSeptemberOctoberNovember
2.32
-0.17
FIW
ICLN

Dividends

FIW vs. ICLN - Dividend Comparison

FIW's dividend yield for the trailing twelve months is around 0.58%, less than ICLN's 1.77% yield.


TTM20232022202120202019201820172016201520142013
FIW
First Trust Water ETF
0.58%0.68%0.67%0.37%0.56%0.55%0.73%1.13%0.51%0.76%0.75%0.63%
ICLN
iShares Global Clean Energy ETF
1.77%1.59%0.89%1.18%0.34%1.36%2.77%2.49%3.88%2.36%2.83%2.11%

Drawdowns

FIW vs. ICLN - Drawdown Comparison

The maximum FIW drawdown since its inception was -52.75%, smaller than the maximum ICLN drawdown of -87.16%. Use the drawdown chart below to compare losses from any high point for FIW and ICLN. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.68%
-67.38%
FIW
ICLN

Volatility

FIW vs. ICLN - Volatility Comparison

The current volatility for First Trust Water ETF (FIW) is 4.24%, while iShares Global Clean Energy ETF (ICLN) has a volatility of 9.16%. This indicates that FIW experiences smaller price fluctuations and is considered to be less risky than ICLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.24%
9.16%
FIW
ICLN