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FXU vs. IYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FXU and IYG is 0.48, 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

FXU vs. IYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Utilities AlphaDEX Fund (FXU) and iShares U.S. Financial Services ETF (IYG). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
12.54%
17.76%
FXU
IYG

Key characteristics

Sharpe Ratio

FXU:

1.42

IYG:

1.98

Sortino Ratio

FXU:

2.00

IYG:

2.88

Omega Ratio

FXU:

1.25

IYG:

1.37

Calmar Ratio

FXU:

1.42

IYG:

3.04

Martin Ratio

FXU:

6.41

IYG:

14.31

Ulcer Index

FXU:

3.29%

IYG:

2.17%

Daily Std Dev

FXU:

14.85%

IYG:

15.69%

Max Drawdown

FXU:

-48.25%

IYG:

-81.84%

Current Drawdown

FXU:

-9.65%

IYG:

-6.97%

Returns By Period

In the year-to-date period, FXU achieves a 19.49% return, which is significantly lower than IYG's 29.48% return. Over the past 10 years, FXU has underperformed IYG with an annualized return of 7.18%, while IYG has yielded a comparatively higher 11.42% annualized return.


FXU

YTD

19.49%

1M

-5.47%

6M

13.01%

1Y

19.68%

5Y*

7.67%

10Y*

7.18%

IYG

YTD

29.48%

1M

-4.47%

6M

18.24%

1Y

29.88%

5Y*

10.58%

10Y*

11.42%

Compare stocks, funds, or ETFs

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


FXU vs. IYG - Expense Ratio Comparison

FXU has a 0.62% expense ratio, which is higher than IYG's 0.42% expense ratio.


FXU
First Trust Utilities AlphaDEX Fund
Expense ratio chart for FXU: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
Expense ratio chart for IYG: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%

Risk-Adjusted Performance

FXU vs. IYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Utilities AlphaDEX Fund (FXU) and iShares U.S. Financial Services ETF (IYG). 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 FXU, currently valued at 1.42, compared to the broader market0.002.004.001.421.98
The chart of Sortino ratio for FXU, currently valued at 2.00, compared to the broader market-2.000.002.004.006.008.0010.002.002.88
The chart of Omega ratio for FXU, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.37
The chart of Calmar ratio for FXU, currently valued at 1.42, compared to the broader market0.005.0010.0015.001.423.04
The chart of Martin ratio for FXU, currently valued at 6.41, compared to the broader market0.0020.0040.0060.0080.00100.006.4114.31
FXU
IYG

The current FXU Sharpe Ratio is 1.42, which is comparable to the IYG Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of FXU and IYG, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.42
1.98
FXU
IYG

Dividends

FXU vs. IYG - Dividend Comparison

FXU's dividend yield for the trailing twelve months is around 2.43%, more than IYG's 1.53% yield.


TTM20232022202120202019201820172016201520142013
FXU
First Trust Utilities AlphaDEX Fund
2.43%2.53%2.03%1.99%3.97%2.34%2.40%3.81%2.62%3.90%2.13%4.13%
IYG
iShares U.S. Financial Services ETF
1.19%1.77%2.07%1.25%1.71%1.59%1.81%1.24%1.28%1.33%1.14%1.04%

Drawdowns

FXU vs. IYG - Drawdown Comparison

The maximum FXU drawdown since its inception was -48.25%, smaller than the maximum IYG drawdown of -81.84%. Use the drawdown chart below to compare losses from any high point for FXU and IYG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.65%
-6.97%
FXU
IYG

Volatility

FXU vs. IYG - Volatility Comparison

First Trust Utilities AlphaDEX Fund (FXU) and iShares U.S. Financial Services ETF (IYG) have volatilities of 4.51% and 4.61%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.51%
4.61%
FXU
IYG
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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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