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FTHI vs. FZFLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FTHI vs. FZFLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust BuyWrite Income ETF (FTHI) and Fidelity SAI Small-Mid Cap 500 Index Fund (FZFLX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.36%
8.28%
FTHI
FZFLX

Returns By Period

In the year-to-date period, FTHI achieves a 19.22% return, which is significantly higher than FZFLX's 15.36% return.


FTHI

YTD

19.22%

1M

1.82%

6M

9.36%

1Y

22.90%

5Y (annualized)

8.24%

10Y (annualized)

7.76%

FZFLX

YTD

15.36%

1M

1.20%

6M

8.28%

1Y

28.09%

5Y (annualized)

11.29%

10Y (annualized)

N/A

Key characteristics


FTHIFZFLX
Sharpe Ratio2.821.85
Sortino Ratio3.812.57
Omega Ratio1.611.32
Calmar Ratio4.032.06
Martin Ratio22.809.47
Ulcer Index1.03%3.02%
Daily Std Dev8.28%15.46%
Max Drawdown-32.65%-42.04%
Current Drawdown-0.88%-2.75%

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FTHI vs. FZFLX - Expense Ratio Comparison

FTHI has a 0.85% expense ratio, which is higher than FZFLX's 0.05% expense ratio.


FTHI
First Trust BuyWrite Income ETF
Expense ratio chart for FTHI: 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 FZFLX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.7

The correlation between FTHI and FZFLX is 0.74, 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

FTHI vs. FZFLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust BuyWrite Income ETF (FTHI) and Fidelity SAI Small-Mid Cap 500 Index Fund (FZFLX). 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 FTHI, currently valued at 2.82, compared to the broader market0.002.004.006.002.821.85
The chart of Sortino ratio for FTHI, currently valued at 3.81, compared to the broader market-2.000.002.004.006.008.0010.0012.003.812.57
The chart of Omega ratio for FTHI, currently valued at 1.61, compared to the broader market0.501.001.502.002.503.001.611.32
The chart of Calmar ratio for FTHI, currently valued at 4.03, compared to the broader market0.005.0010.0015.004.032.06
The chart of Martin ratio for FTHI, currently valued at 22.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.809.47
FTHI
FZFLX

The current FTHI Sharpe Ratio is 2.82, which is higher than the FZFLX Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of FTHI and FZFLX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.82
1.85
FTHI
FZFLX

Dividends

FTHI vs. FZFLX - Dividend Comparison

FTHI's dividend yield for the trailing twelve months is around 8.30%, more than FZFLX's 1.61% yield.


TTM2023202220212020201920182017201620152014
FTHI
First Trust BuyWrite Income ETF
7.66%8.50%9.06%4.37%4.76%4.21%4.76%4.02%4.43%4.98%3.96%
FZFLX
Fidelity SAI Small-Mid Cap 500 Index Fund
1.61%1.49%1.99%2.00%1.20%3.48%1.69%1.04%0.81%1.21%0.00%

Drawdowns

FTHI vs. FZFLX - Drawdown Comparison

The maximum FTHI drawdown since its inception was -32.65%, smaller than the maximum FZFLX drawdown of -42.04%. Use the drawdown chart below to compare losses from any high point for FTHI and FZFLX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.88%
-2.75%
FTHI
FZFLX

Volatility

FTHI vs. FZFLX - Volatility Comparison

The current volatility for First Trust BuyWrite Income ETF (FTHI) is 3.15%, while Fidelity SAI Small-Mid Cap 500 Index Fund (FZFLX) has a volatility of 4.70%. This indicates that FTHI experiences smaller price fluctuations and is considered to be less risky than FZFLX 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%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.15%
4.70%
FTHI
FZFLX