FXO vs. XLFI

Last updated Aug 5, 2026

FXO (First Trust Financials AlphaDEX Fund) and XLFI (State Street Financial Select Sector SPDR Premium Income ETF) are both exchange-traded funds - FXO is a Financials Equities fund tracking the StrataQuant Financials Index, while XLFI is a Derivative Income fund actively managed by State Street. FXO is passively managed, while XLFI is actively managed. Over the past year, FXO returned 20.77% vs 11.89% for XLFI. Their correlation of 0.86 means they have usually moved in the same direction. FXO charges 0.62%/yr vs 0.35%/yr for XLFI.

Performance

FXO vs. XLFI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Financials AlphaDEX Fund (FXO) and State Street Financial Select Sector SPDR Premium Income ETF (XLFI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FXO achieves a 12.28% return, which is significantly higher than XLFI's 4.70% return.

FXO

• 1D: 0.71%
• 1M: 4.66%
• 6M: 10.72%
• YTD: 12.28%
• 1Y: 20.77%
• 3Y*: 20.31%
• 5Y*: 11.44%
• 10Y*: 13.29%
• ALL TIME*: 8.63%

XLFI

• 1D: 0.34%
• 1M: 3.60%
• 6M: 6.29%
• YTD: 4.70%
• 1Y: 11.89%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 10.21%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FXO First Trust Financials AlphaDEX Fund	$3.33M	$3.32M	$3.46M
XLFI State Street Financial Select Sector SPDR Premium Income ETF	$183.60K	$216.70K	$174.14K

FXO vs. XLFI - Yearly Performance Comparison

	2026 (YTD)	2025
FXO First Trust Financials AlphaDEX Fund	12.28%	5.66%
XLFI State Street Financial Select Sector SPDR Premium Income ETF	4.70%	5.40%

Correlation

The correlation between FXO and XLFI is 0.85, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.85
Correlation (All Time) Calculated using the full available price history since Jul 30, 2025	0.86

The correlation between FXO and XLFI has been stable across timeframes, ranging from 0.85 to 0.86 - a consistent structural relationship.

FXO vs. XLFI - Sectors Allocation Comparison

Sectors	FXO	XLFI
Financial Services	94.8%	100.4%
Real Estate	4.8%	-
Technology	0.5%	-
Basic Materials	-	-
Communication Services	-	-
Consumer Cyclical	-	-
Consumer Defensive	-	-
Energy	-	-
Healthcare	-	-
Industrials	-	-
Utilities	-	-

Return for Risk

FXO vs. XLFI — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FXO

FXO Risk / Return Rank: 45
FXO Sharpe Ratio Rank: 48
FXO Sortino Ratio Rank: 46
FXO Omega Ratio Rank: 45
FXO Calmar Ratio Rank: 44
FXO Martin Ratio Rank: 43

XLFI

XLFI Risk / Return Rank: 32
XLFI Sharpe Ratio Rank: 36
XLFI Sortino Ratio Rank: 33
XLFI Omega Ratio Rank: 35
XLFI Calmar Ratio Rank: 28
XLFI Martin Ratio Rank: 29

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FXO vs. XLFI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Financials AlphaDEX Fund (FXO) and State Street Financial Select Sector SPDR Premium Income ETF (XLFI). 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.

	FXO	XLFI	Difference
Sharpe ratio: Return per unit of total volatility	1.35	1.02	+0.34
Sortino ratio: Return per unit of downside risk	1.90	1.38	+0.51
Omega ratio: Gain probability vs. loss probability	1.24	1.19	+0.05
Calmar ratio: Return relative to maximum drawdown	1.78	1.00	+0.78
Martin ratio: Return relative to average drawdown	5.33	2.82	+2.50

FXO vs. XLFI - Sharpe Ratio Comparison

The current FXO Sharpe Ratio is 1.35, which is higher than the XLFI Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of FXO and XLFI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FXO vs. XLFI - Drawdown Comparison

The maximum FXO drawdown since its inception was -71.30%, which is greater than XLFI's maximum drawdown of -11.89%. Use the drawdown chart below to compare losses from any high point for FXO and XLFI.

Drawdown Indicators

	FXO	XLFI	Difference
Max Drawdown Largest peak-to-trough decline	-71.30%	-11.89%	-59.41%
Max Drawdown (1Y) Largest decline over 1 year	-11.72%	-11.89%	+0.17%
Max Drawdown (3Y) Largest decline over 3 years	-21.35%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-28.80%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-48.55%	—	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-13.01%	-3.00%	-10.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.91%	4.22%	-0.31%

Volatility

FXO vs. XLFI - Volatility Comparison

First Trust Financials AlphaDEX Fund (FXO) has a higher volatility of 4.15% compared to State Street Financial Select Sector SPDR Premium Income ETF (XLFI) at 2.83%. This indicates that FXO's price experiences larger fluctuations and is considered to be riskier than XLFI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXO	XLFI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.15%	2.83%	+1.32%
Volatility (6M) Calculated over the trailing 6-month period	11.07%	9.10%	+1.97%
Volatility (1Y) Calculated over the trailing 1-year period	15.51%	11.80%	+3.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.72%	11.86%	+9.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.06%	11.86%	+12.20%

FXO vs. XLFI - Expense Ratio Comparison

FXO has a 0.62% expense ratio, which is higher than XLFI's 0.35% expense ratio.

Dividends

FXO vs. XLFI - Dividend Comparison

FXO's dividend yield for the trailing twelve months is around 1.95%, less than XLFI's 12.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXO First Trust Financials AlphaDEX Fund	1.95%	1.78%	1.97%	2.98%	2.49%	1.91%	2.60%	1.72%	2.60%	1.62%	1.35%	1.51%
XLFI State Street Financial Select Sector SPDR Premium Income ETF	12.09%	5.57%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FXO and XLFI in my portfolio?

FXO and XLFI have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXO or XLFI?

FXO has higher volatility (4.15%) compared to XLFI (2.83%). In terms of maximum drawdown, FXO dropped -71.30% vs XLFI's -11.89%.

Which ETF is better, FXO or XLFI?

On 1-year performance, FXO leads with 20.77% vs 11.89% for XLFI. On fees, XLFI is cheaper at 0.35% per year. On volatility, XLFI has been the lower-risk option at 2.83%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FXO or XLFI?

Over the 1-year period, FXO has performed better with a 20.77% return vs 11.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FXO or XLFI?

XLFI is cheaper with a 0.35% expense ratio, compared with 0.62% for FXO.

Which ETF pays a higher dividend yield, FXO or XLFI?

XLFI has the higher dividend yield at 12.09%, compared with 1.95% for FXO.

What is the main difference between FXO and XLFI?

FXO is categorized as Financials Equities, while XLFI is Derivative Income. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.62% for FXO and 0.35% for XLFI.

Which has better risk-adjusted returns?

FXO currently has the higher Sharpe Ratio (1.35 vs 1.01), 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.