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FXG vs. IHDG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FXG and IHDG is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

FXG vs. IHDG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Consumer Staples AlphaDEX Fund (FXG) and WisdomTree International Hedged Dividend Growth Fund (IHDG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.97%
-3.57%
FXG
IHDG

Key characteristics

Sharpe Ratio

FXG:

0.34

IHDG:

0.58

Sortino Ratio

FXG:

0.55

IHDG:

0.87

Omega Ratio

FXG:

1.06

IHDG:

1.11

Calmar Ratio

FXG:

0.45

IHDG:

0.73

Martin Ratio

FXG:

1.33

IHDG:

2.24

Ulcer Index

FXG:

2.84%

IHDG:

3.05%

Daily Std Dev

FXG:

11.04%

IHDG:

11.77%

Max Drawdown

FXG:

-38.69%

IHDG:

-29.24%

Current Drawdown

FXG:

-8.39%

IHDG:

-5.64%

Returns By Period

In the year-to-date period, FXG achieves a 2.90% return, which is significantly lower than IHDG's 6.37% return. Over the past 10 years, FXG has underperformed IHDG with an annualized return of 5.75%, while IHDG has yielded a comparatively higher 9.23% annualized return.


FXG

YTD

2.90%

1M

-5.24%

6M

-0.09%

1Y

5.65%

5Y*

6.75%

10Y*

5.75%

IHDG

YTD

6.37%

1M

1.31%

6M

-3.98%

1Y

7.49%

5Y*

8.38%

10Y*

9.23%

Compare stocks, funds, or ETFs

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FXG vs. IHDG - Expense Ratio Comparison

FXG has a 0.63% expense ratio, which is higher than IHDG's 0.58% expense ratio.


FXG
First Trust Consumer Staples AlphaDEX Fund
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%
Expense ratio chart for IHDG: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

FXG vs. IHDG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Consumer Staples AlphaDEX Fund (FXG) and WisdomTree International Hedged Dividend Growth Fund (IHDG). 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 0.34, compared to the broader market0.002.004.000.340.58
The chart of Sortino ratio for FXG, currently valued at 0.55, compared to the broader market-2.000.002.004.006.008.0010.000.550.87
The chart of Omega ratio for FXG, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.11
The chart of Calmar ratio for FXG, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.450.73
The chart of Martin ratio for FXG, currently valued at 1.33, compared to the broader market0.0020.0040.0060.0080.00100.001.332.24
FXG
IHDG

The current FXG Sharpe Ratio is 0.34, which is lower than the IHDG Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of FXG and IHDG, 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
0.34
0.58
FXG
IHDG

Dividends

FXG vs. IHDG - Dividend Comparison

FXG's dividend yield for the trailing twelve months is around 1.66%, less than IHDG's 1.74% yield.


TTM20232022202120202019201820172016201520142013
FXG
First Trust Consumer Staples AlphaDEX Fund
1.66%1.41%1.83%1.38%1.41%1.63%2.30%1.34%1.71%1.67%1.24%0.95%
IHDG
WisdomTree International Hedged Dividend Growth Fund
1.74%1.70%13.79%2.77%1.95%1.99%0.22%1.28%1.91%3.04%3.86%0.00%

Drawdowns

FXG vs. IHDG - Drawdown Comparison

The maximum FXG drawdown since its inception was -38.69%, which is greater than IHDG's maximum drawdown of -29.24%. Use the drawdown chart below to compare losses from any high point for FXG and IHDG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.39%
-5.64%
FXG
IHDG

Volatility

FXG vs. IHDG - Volatility Comparison

First Trust Consumer Staples AlphaDEX Fund (FXG) has a higher volatility of 3.48% compared to WisdomTree International Hedged Dividend Growth Fund (IHDG) at 2.95%. This indicates that FXG's price experiences larger fluctuations and is considered to be riskier than IHDG 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%JulyAugustSeptemberOctoberNovemberDecember
3.48%
2.95%
FXG
IHDG
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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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