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

Correlation

The correlation between FXU and IYG is 0.59, 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.


-0.50.00.51.0
Correlation: 0.6

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.

100.00%150.00%200.00%250.00%NovemberDecember2025FebruaryMarchApril
249.67%
129.92%
FXU
IYG

Key characteristics

Sharpe Ratio

FXU:

1.77

IYG:

0.89

Sortino Ratio

FXU:

2.36

IYG:

1.34

Omega Ratio

FXU:

1.33

IYG:

1.20

Calmar Ratio

FXU:

3.20

IYG:

1.07

Martin Ratio

FXU:

8.71

IYG:

4.12

Ulcer Index

FXU:

3.32%

IYG:

4.82%

Daily Std Dev

FXU:

16.34%

IYG:

22.26%

Max Drawdown

FXU:

-48.25%

IYG:

-81.84%

Current Drawdown

FXU:

-1.35%

IYG:

-9.21%

Returns By Period

In the year-to-date period, FXU achieves a 8.56% return, which is significantly higher than IYG's -1.04% return. Over the past 10 years, FXU has underperformed IYG with an annualized return of 8.42%, while IYG has yielded a comparatively higher 11.50% annualized return.


FXU

YTD

8.56%

1M

1.44%

6M

7.87%

1Y

29.56%

5Y*

11.79%

10Y*

8.42%

IYG

YTD

-1.04%

1M

-3.24%

6M

4.83%

1Y

20.49%

5Y*

17.36%

10Y*

11.50%

*Annualized

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FXU vs. IYG - Expense Ratio Comparison

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


Expense ratio chart for FXU: current value is 0.62%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FXU: 0.62%
Expense ratio chart for IYG: current value is 0.42%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IYG: 0.42%

Risk-Adjusted Performance

FXU vs. IYG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXU
The Risk-Adjusted Performance Rank of FXU is 9393
Overall Rank
The Sharpe Ratio Rank of FXU is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of FXU is 9292
Sortino Ratio Rank
The Omega Ratio Rank of FXU is 9191
Omega Ratio Rank
The Calmar Ratio Rank of FXU is 9696
Calmar Ratio Rank
The Martin Ratio Rank of FXU is 9292
Martin Ratio Rank

IYG
The Risk-Adjusted Performance Rank of IYG is 8080
Overall Rank
The Sharpe Ratio Rank of IYG is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of IYG is 7878
Sortino Ratio Rank
The Omega Ratio Rank of IYG is 8080
Omega Ratio Rank
The Calmar Ratio Rank of IYG is 8484
Calmar Ratio Rank
The Martin Ratio Rank of IYG is 8181
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for FXU, currently valued at 1.77, compared to the broader market-1.000.001.002.003.004.00
FXU: 1.77
IYG: 0.89
The chart of Sortino ratio for FXU, currently valued at 2.36, compared to the broader market-2.000.002.004.006.008.00
FXU: 2.36
IYG: 1.34
The chart of Omega ratio for FXU, currently valued at 1.33, compared to the broader market0.501.001.502.002.50
FXU: 1.33
IYG: 1.20
The chart of Calmar ratio for FXU, currently valued at 3.20, compared to the broader market0.002.004.006.008.0010.0012.00
FXU: 3.20
IYG: 1.07
The chart of Martin ratio for FXU, currently valued at 8.71, compared to the broader market0.0020.0040.0060.00
FXU: 8.71
IYG: 4.12

The current FXU Sharpe Ratio is 1.77, which is higher than the IYG Sharpe Ratio of 0.89. 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
1.77
0.89
FXU
IYG

Dividends

FXU vs. IYG - Dividend Comparison

FXU's dividend yield for the trailing twelve months is around 2.32%, more than IYG's 1.20% yield.


TTM20242023202220212020201920182017201620152014
FXU
First Trust Utilities AlphaDEX Fund
2.32%2.41%2.53%2.03%1.99%3.97%2.34%2.40%3.81%2.62%3.90%2.13%
IYG
iShares U.S. Financial Services ETF
1.20%1.16%1.77%2.07%1.25%1.71%1.59%1.81%1.24%1.28%1.33%1.14%

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.35%
-9.21%
FXU
IYG

Volatility

FXU vs. IYG - Volatility Comparison

The current volatility for First Trust Utilities AlphaDEX Fund (FXU) is 8.99%, while iShares U.S. Financial Services ETF (IYG) has a volatility of 14.70%. This indicates that FXU experiences smaller price fluctuations and is considered to be less risky than IYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
8.99%
14.70%
FXU
IYG