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FPEI vs. AGZD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FPEI vs. AGZD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Institutional Preferred Securities & Income ETF (FPEI) and WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.89%
3.53%
FPEI
AGZD

Returns By Period

In the year-to-date period, FPEI achieves a 10.03% return, which is significantly higher than AGZD's 6.19% return.


FPEI

YTD

10.03%

1M

-0.64%

6M

4.89%

1Y

15.49%

5Y (annualized)

4.08%

10Y (annualized)

N/A

AGZD

YTD

6.19%

1M

1.26%

6M

3.53%

1Y

7.19%

5Y (annualized)

3.20%

10Y (annualized)

2.55%

Key characteristics


FPEIAGZD
Sharpe Ratio4.181.83
Sortino Ratio6.742.82
Omega Ratio1.951.33
Calmar Ratio1.959.37
Martin Ratio30.6727.96
Ulcer Index0.50%0.26%
Daily Std Dev3.71%3.94%
Max Drawdown-27.51%-8.45%
Current Drawdown-1.37%0.00%

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FPEI vs. AGZD - Expense Ratio Comparison

FPEI has a 0.85% expense ratio, which is higher than AGZD's 0.23% expense ratio.


FPEI
First Trust Institutional Preferred Securities & Income ETF
Expense ratio chart for FPEI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for AGZD: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Correlation

-0.50.00.51.00.1

The correlation between FPEI and AGZD is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

FPEI vs. AGZD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Institutional Preferred Securities & Income ETF (FPEI) and WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD). 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 FPEI, currently valued at 4.18, compared to the broader market0.002.004.004.181.83
The chart of Sortino ratio for FPEI, currently valued at 6.74, compared to the broader market-2.000.002.004.006.008.0010.0012.006.742.82
The chart of Omega ratio for FPEI, currently valued at 1.95, compared to the broader market0.501.001.502.002.503.001.951.33
The chart of Calmar ratio for FPEI, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.959.37
The chart of Martin ratio for FPEI, currently valued at 30.67, compared to the broader market0.0020.0040.0060.0080.00100.0030.6727.96
FPEI
AGZD

The current FPEI Sharpe Ratio is 4.18, which is higher than the AGZD Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of FPEI and AGZD, 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 Ratio2.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.18
1.83
FPEI
AGZD

Dividends

FPEI vs. AGZD - Dividend Comparison

FPEI's dividend yield for the trailing twelve months is around 5.07%, less than AGZD's 6.24% yield.


TTM20232022202120202019201820172016201520142013
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.07%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%0.00%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund
6.24%6.07%8.61%1.66%2.29%2.83%2.62%2.35%1.95%2.37%1.69%0.05%

Drawdowns

FPEI vs. AGZD - Drawdown Comparison

The maximum FPEI drawdown since its inception was -27.51%, which is greater than AGZD's maximum drawdown of -8.45%. Use the drawdown chart below to compare losses from any high point for FPEI and AGZD. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-0.00%
FPEI
AGZD

Volatility

FPEI vs. AGZD - Volatility Comparison

The current volatility for First Trust Institutional Preferred Securities & Income ETF (FPEI) is 0.84%, while WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD) has a volatility of 1.12%. This indicates that FPEI experiences smaller price fluctuations and is considered to be less risky than AGZD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
0.84%
1.12%
FPEI
AGZD