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FTCS vs. USMV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FTCS vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Capital Strength ETF (FTCS) and iShares Edge MSCI Min Vol USA ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.07%
13.07%
FTCS
USMV

Returns By Period

In the year-to-date period, FTCS achieves a 16.18% return, which is significantly lower than USMV's 20.62% return. Both investments have delivered pretty close results over the past 10 years, with FTCS having a 10.79% annualized return and USMV not far ahead at 10.83%.


FTCS

YTD

16.18%

1M

0.69%

6M

11.07%

1Y

21.71%

5Y (annualized)

10.79%

10Y (annualized)

10.79%

USMV

YTD

20.62%

1M

0.94%

6M

13.07%

1Y

24.93%

5Y (annualized)

9.64%

10Y (annualized)

10.83%

Key characteristics


FTCSUSMV
Sharpe Ratio2.483.02
Sortino Ratio3.504.24
Omega Ratio1.461.56
Calmar Ratio2.995.89
Martin Ratio13.2219.59
Ulcer Index1.68%1.32%
Daily Std Dev8.95%8.55%
Max Drawdown-53.64%-33.10%
Current Drawdown-0.60%-0.55%

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FTCS vs. USMV - Expense Ratio Comparison

FTCS has a 0.56% expense ratio, which is higher than USMV's 0.15% expense ratio.


FTCS
First Trust Capital Strength ETF
Expense ratio chart for FTCS: current value at 0.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.56%
Expense ratio chart for USMV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.9

The correlation between FTCS and USMV is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

FTCS vs. USMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Capital Strength ETF (FTCS) and iShares Edge MSCI Min Vol USA ETF (USMV). 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 FTCS, currently valued at 2.48, compared to the broader market0.002.004.002.483.02
The chart of Sortino ratio for FTCS, currently valued at 3.50, compared to the broader market-2.000.002.004.006.008.0010.003.504.24
The chart of Omega ratio for FTCS, currently valued at 1.46, compared to the broader market0.501.001.502.002.503.001.461.56
The chart of Calmar ratio for FTCS, currently valued at 2.99, compared to the broader market0.005.0010.0015.002.995.89
The chart of Martin ratio for FTCS, currently valued at 13.22, compared to the broader market0.0020.0040.0060.0080.00100.0013.2219.59
FTCS
USMV

The current FTCS Sharpe Ratio is 2.48, which is comparable to the USMV Sharpe Ratio of 3.02. The chart below compares the historical Sharpe Ratios of FTCS and USMV, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.48
3.02
FTCS
USMV

Dividends

FTCS vs. USMV - Dividend Comparison

FTCS's dividend yield for the trailing twelve months is around 1.30%, less than USMV's 1.61% yield.


TTM20232022202120202019201820172016201520142013
FTCS
First Trust Capital Strength ETF
1.30%1.47%1.23%1.05%0.93%1.26%1.26%1.15%1.43%1.50%2.01%1.34%
USMV
iShares Edge MSCI Min Vol USA ETF
1.61%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%

Drawdowns

FTCS vs. USMV - Drawdown Comparison

The maximum FTCS drawdown since its inception was -53.64%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for FTCS and USMV. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.60%
-0.55%
FTCS
USMV

Volatility

FTCS vs. USMV - Volatility Comparison

First Trust Capital Strength ETF (FTCS) and iShares Edge MSCI Min Vol USA ETF (USMV) have volatilities of 3.26% and 3.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
3.26%
3.32%
FTCS
USMV