PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FXG vs. CLIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FXG and CLIX is 0.13, 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.


-0.50.00.51.00.1

Performance

FXG vs. CLIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Consumer Staples AlphaDEX Fund (FXG) and ProShares Long Online/Short Stores ETF (CLIX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
1.23%
11.64%
FXG
CLIX

Key characteristics

Sharpe Ratio

FXG:

0.54

CLIX:

1.21

Sortino Ratio

FXG:

0.83

CLIX:

1.71

Omega Ratio

FXG:

1.10

CLIX:

1.21

Calmar Ratio

FXG:

0.83

CLIX:

0.34

Martin Ratio

FXG:

2.12

CLIX:

5.52

Ulcer Index

FXG:

2.79%

CLIX:

4.01%

Daily Std Dev

FXG:

10.98%

CLIX:

18.33%

Max Drawdown

FXG:

-38.69%

CLIX:

-73.21%

Current Drawdown

FXG:

-7.18%

CLIX:

-54.86%

Returns By Period

In the year-to-date period, FXG achieves a 4.26% return, which is significantly lower than CLIX's 22.54% return.


FXG

YTD

4.26%

1M

-3.80%

6M

0.89%

1Y

5.14%

5Y*

7.04%

10Y*

6.01%

CLIX

YTD

22.54%

1M

1.10%

6M

11.25%

1Y

19.71%

5Y*

-0.62%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FXG vs. CLIX - Expense Ratio Comparison

FXG has a 0.63% expense ratio, which is lower than CLIX's 0.65% expense ratio.


CLIX
ProShares Long Online/Short Stores ETF
Expense ratio chart for CLIX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for FXG: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%

Risk-Adjusted Performance

FXG vs. CLIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Consumer Staples AlphaDEX Fund (FXG) and ProShares Long Online/Short Stores ETF (CLIX). 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 FXG, currently valued at 0.54, compared to the broader market0.002.004.000.541.21
The chart of Sortino ratio for FXG, currently valued at 0.83, compared to the broader market-2.000.002.004.006.008.0010.000.831.71
The chart of Omega ratio for FXG, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.21
The chart of Calmar ratio for FXG, currently valued at 0.83, compared to the broader market0.005.0010.0015.000.830.34
The chart of Martin ratio for FXG, currently valued at 2.12, compared to the broader market0.0020.0040.0060.0080.00100.002.125.52
FXG
CLIX

The current FXG Sharpe Ratio is 0.54, which is lower than the CLIX Sharpe Ratio of 1.21. The chart below compares the historical Sharpe Ratios of FXG and CLIX, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.54
1.21
FXG
CLIX

Dividends

FXG vs. CLIX - Dividend Comparison

FXG's dividend yield for the trailing twelve months is around 1.64%, more than CLIX's 0.45% yield.


TTM20232022202120202019201820172016201520142013
FXG
First Trust Consumer Staples AlphaDEX Fund
1.64%1.41%1.83%1.38%1.41%1.63%2.30%1.34%1.71%1.67%1.24%0.95%
CLIX
ProShares Long Online/Short Stores ETF
0.45%0.00%0.00%0.00%1.33%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FXG vs. CLIX - Drawdown Comparison

The maximum FXG drawdown since its inception was -38.69%, smaller than the maximum CLIX drawdown of -73.21%. Use the drawdown chart below to compare losses from any high point for FXG and CLIX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.18%
-54.86%
FXG
CLIX

Volatility

FXG vs. CLIX - Volatility Comparison

The current volatility for First Trust Consumer Staples AlphaDEX Fund (FXG) is 3.32%, while ProShares Long Online/Short Stores ETF (CLIX) has a volatility of 5.78%. This indicates that FXG experiences smaller price fluctuations and is considered to be less risky than CLIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.32%
5.78%
FXG
CLIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab