FXG vs. SJNK
FXG (First Trust Consumer Staples AlphaDEX Fund) and SJNK (SPDR Bloomberg Short Term High Yield Bond ETF) are both exchange-traded funds - FXG is a Consumer Staples Equities fund tracking the StrataQuant Consumer Staples Index, while SJNK is a High Yield Bonds fund tracking the Bloomberg U.S. High Yield 350mn Cash Pay 0-5 Yr 2% Capped Index. Both are passively managed. Over the past 10 years, FXG returned 4.76%/yr vs 5.54%/yr for SJNK. At a 0.43 correlation, their price movements are largely independent. FXG charges 0.63%/yr vs 0.40%/yr for SJNK.
Performance
FXG vs. SJNK - Performance Comparison
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Returns By Period
In the year-to-date period, FXG achieves a 3.65% return, which is significantly higher than SJNK's 1.57% return. Over the past 10 years, FXG has underperformed SJNK with an annualized return of 4.76%, while SJNK has yielded a comparatively higher 5.54% annualized return.
FXG
- 1D
- 0.74%
- 1M
- 1.98%
- YTD
- 3.65%
- 6M
- 3.06%
- 1Y
- -0.05%
- 3Y*
- 2.47%
- 5Y*
- 3.58%
- 10Y*
- 4.76%
SJNK
- 1D
- -0.08%
- 1M
- 0.37%
- YTD
- 1.57%
- 6M
- 1.57%
- 1Y
- 5.52%
- 3Y*
- 8.34%
- 5Y*
- 4.75%
- 10Y*
- 5.54%
FXG vs. SJNK - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXG First Trust Consumer Staples AlphaDEX Fund | 3.65% | -2.66% | 3.21% | 1.97% | 3.28% | 21.73% | 4.85% | 20.65% | -11.49% | 7.87% |
SJNK SPDR Bloomberg Short Term High Yield Bond ETF | 1.57% | 7.68% | 8.24% | 11.63% | -5.50% | 5.06% | 5.82% | 9.49% | -0.27% | 5.27% |
Correlation
The correlation between FXG and SJNK is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.41 |
Correlation (All Time) Calculated using the full available price history since Mar 15, 2012 | 0.43 |
Over the past year, the correlation between FXG and SJNK has dropped to 0.18 - well below their long-term average of 0.43, suggesting their price drivers have been diverging.
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Return for Risk
FXG vs. SJNK — Risk / Return Rank
FXG
SJNK
FXG vs. SJNK - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Consumer Staples AlphaDEX Fund (FXG) and SPDR Bloomberg Short Term High Yield Bond ETF (SJNK). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FXG | SJNK | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.72 | ||
| Sortino ratioReturn per unit of downside risk | -2.53 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.33 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.00 | 3.21 | -3.21 |
| Martin ratioReturn relative to average drawdown | -0.01 | 13.78 | -13.79 |
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Drawdowns
FXG vs. SJNK - Drawdown Comparison
The maximum FXG drawdown since its inception was -38.69%, which is greater than SJNK's maximum drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for FXG and SJNK.
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Drawdown Indicators
| FXG | SJNK | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.69% | -19.74% | -18.95% |
Max Drawdown (1Y)Largest decline over 1 year | -12.75% | -1.73% | -11.02% |
Max Drawdown (3Y)Largest decline over 3 years | -12.75% | -4.77% | -7.98% |
Max Drawdown (5Y)Largest decline over 5 years | -15.70% | -10.18% | -5.52% |
Max Drawdown (10Y)Largest decline over 10 years | -27.54% | -19.74% | -7.80% |
Current DrawdownCurrent decline from peak | -9.34% | -0.24% | -9.10% |
Average DrawdownAverage peak-to-trough decline | -6.04% | -1.63% | -4.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.90% | 0.40% | +5.50% |
Volatility
FXG vs. SJNK - Volatility Comparison
First Trust Consumer Staples AlphaDEX Fund (FXG) has a higher volatility of 5.31% compared to SPDR Bloomberg Short Term High Yield Bond ETF (SJNK) at 0.88%. This indicates that FXG's price experiences larger fluctuations and is considered to be riskier than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXG | SJNK | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.31% | 0.88% | +4.43% |
Volatility (6M)Calculated over the trailing 6-month period | 10.04% | 2.52% | +7.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.39% | 3.24% | +10.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.59% | 5.84% | +7.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.97% | 6.47% | +8.50% |
FXG vs. SJNK - Expense Ratio Comparison
FXG has a 0.63% expense ratio, which is higher than SJNK's 0.40% expense ratio.
Dividends
FXG vs. SJNK - Dividend Comparison
FXG's dividend yield for the trailing twelve months is around 2.79%, less than SJNK's 7.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXG First Trust Consumer Staples AlphaDEX Fund | 2.79% | 2.83% | 1.70% | 1.41% | 1.83% | 1.38% | 1.41% | 1.63% | 2.31% | 1.34% | 1.72% | 1.67% |
SJNK SPDR Bloomberg Short Term High Yield Bond ETF | 7.01% | 7.12% | 7.47% | 7.20% | 5.85% | 4.21% | 5.34% | 5.64% | 5.69% | 5.64% | 5.65% | 5.81% |
Frequently Asked Questions
FXG and SJNK have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXG has higher volatility (5.31%) compared to SJNK (0.88%). In terms of maximum drawdown, FXG dropped -38.69% vs SJNK's -19.74%.
On 10-year performance, SJNK leads with 5.54% vs 4.76% for FXG. On fees, SJNK is cheaper at 0.40% per year. On volatility, SJNK has been the lower-risk option at 0.88%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SJNK has performed better with a 5.54% return vs 4.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SJNK is cheaper with a 0.40% expense ratio, compared with 0.63% for FXG.
SJNK has the higher dividend yield at 7.01%, compared with 2.79% for FXG.
FXG is categorized as Consumer Staples Equities, while SJNK is High Yield Bonds. FXG tracks StrataQuant Consumer Staples Index, while SJNK tracks Bloomberg U.S. High Yield 350mn Cash Pay 0-5 Yr 2% Capped Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.63% for FXG and 0.40% for SJNK.
SJNK currently has the higher Sharpe Ratio (1.72 vs -0.00), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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