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FTLS vs. DGRO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FTLS and DGRO is 0.76, 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.


-0.50.00.51.00.8

Performance

FTLS vs. DGRO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Long/Short Equity ETF (FTLS) and iShares Core Dividend Growth ETF (DGRO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.79%
8.02%
FTLS
DGRO

Key characteristics

Sharpe Ratio

FTLS:

1.94

DGRO:

1.87

Sortino Ratio

FTLS:

2.63

DGRO:

2.63

Omega Ratio

FTLS:

1.35

DGRO:

1.34

Calmar Ratio

FTLS:

4.44

DGRO:

3.07

Martin Ratio

FTLS:

14.65

DGRO:

10.98

Ulcer Index

FTLS:

1.34%

DGRO:

1.66%

Daily Std Dev

FTLS:

10.17%

DGRO:

9.74%

Max Drawdown

FTLS:

-20.53%

DGRO:

-35.10%

Current Drawdown

FTLS:

-1.64%

DGRO:

-4.53%

Returns By Period

In the year-to-date period, FTLS achieves a 20.19% return, which is significantly higher than DGRO's 17.17% return. Over the past 10 years, FTLS has underperformed DGRO with an annualized return of 8.67%, while DGRO has yielded a comparatively higher 11.29% annualized return.


FTLS

YTD

20.19%

1M

1.88%

6M

7.16%

1Y

19.36%

5Y*

10.25%

10Y*

8.67%

DGRO

YTD

17.17%

1M

-3.52%

6M

7.29%

1Y

17.81%

5Y*

10.62%

10Y*

11.29%

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FTLS vs. DGRO - Expense Ratio Comparison

FTLS has a 1.60% expense ratio, which is higher than DGRO's 0.08% expense ratio.


FTLS
First Trust Long/Short Equity ETF
Expense ratio chart for FTLS: current value at 1.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.60%
Expense ratio chart for DGRO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

FTLS vs. DGRO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Long/Short Equity ETF (FTLS) and iShares Core Dividend Growth ETF (DGRO). 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 FTLS, currently valued at 1.94, compared to the broader market0.002.004.001.941.87
The chart of Sortino ratio for FTLS, currently valued at 2.63, compared to the broader market-2.000.002.004.006.008.0010.002.632.63
The chart of Omega ratio for FTLS, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.34
The chart of Calmar ratio for FTLS, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.443.07
The chart of Martin ratio for FTLS, currently valued at 14.65, compared to the broader market0.0020.0040.0060.0080.00100.0014.6510.98
FTLS
DGRO

The current FTLS Sharpe Ratio is 1.94, which is comparable to the DGRO Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of FTLS and DGRO, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.94
1.87
FTLS
DGRO

Dividends

FTLS vs. DGRO - Dividend Comparison

FTLS's dividend yield for the trailing twelve months is around 1.49%, less than DGRO's 2.25% yield.


TTM2023202220212020201920182017201620152014
FTLS
First Trust Long/Short Equity ETF
1.49%1.49%0.81%0.01%0.44%0.83%0.87%0.43%1.04%0.49%0.51%
DGRO
iShares Core Dividend Growth ETF
2.25%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%

Drawdowns

FTLS vs. DGRO - Drawdown Comparison

The maximum FTLS drawdown since its inception was -20.53%, smaller than the maximum DGRO drawdown of -35.10%. Use the drawdown chart below to compare losses from any high point for FTLS and DGRO. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.64%
-4.53%
FTLS
DGRO

Volatility

FTLS vs. DGRO - Volatility Comparison

First Trust Long/Short Equity ETF (FTLS) has a higher volatility of 3.74% compared to iShares Core Dividend Growth ETF (DGRO) at 3.32%. This indicates that FTLS's price experiences larger fluctuations and is considered to be riskier than DGRO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.74%
3.32%
FTLS
DGRO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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