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

Correlation

The correlation between FXU and UTES is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

FXU vs. UTES - Performance Comparison

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

0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
16.72%
22.11%
FXU
UTES

Key characteristics

Sharpe Ratio

FXU:

1.70

UTES:

2.55

Sortino Ratio

FXU:

2.36

UTES:

3.40

Omega Ratio

FXU:

1.30

UTES:

1.42

Calmar Ratio

FXU:

1.68

UTES:

3.35

Martin Ratio

FXU:

7.34

UTES:

15.11

Ulcer Index

FXU:

3.39%

UTES:

3.23%

Daily Std Dev

FXU:

14.68%

UTES:

19.19%

Max Drawdown

FXU:

-48.25%

UTES:

-35.39%

Current Drawdown

FXU:

-6.46%

UTES:

-7.91%

Returns By Period

In the year-to-date period, FXU achieves a 23.71% return, which is significantly lower than UTES's 46.53% return.


FXU

YTD

23.71%

1M

-4.82%

6M

16.72%

1Y

24.93%

5Y*

8.63%

10Y*

7.23%

UTES

YTD

46.53%

1M

-6.52%

6M

21.49%

1Y

48.29%

5Y*

11.93%

10Y*

N/A

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FXU vs. UTES - Expense Ratio Comparison

FXU has a 0.62% expense ratio, which is higher than UTES's 0.49% 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 UTES: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

FXU vs. UTES - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Utilities AlphaDEX Fund (FXU) and Virtus Reaves Utilities ETF (UTES). 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 1.70, compared to the broader market0.002.004.001.702.52
The chart of Sortino ratio for FXU, currently valued at 2.36, compared to the broader market-2.000.002.004.006.008.0010.002.363.37
The chart of Omega ratio for FXU, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.42
The chart of Calmar ratio for FXU, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.683.31
The chart of Martin ratio for FXU, currently valued at 7.34, compared to the broader market0.0020.0040.0060.0080.00100.007.3414.77
FXU
UTES

The current FXU Sharpe Ratio is 1.70, which is lower than the UTES Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of FXU and UTES, 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
1.70
2.52
FXU
UTES

Dividends

FXU vs. UTES - Dividend Comparison

FXU's dividend yield for the trailing twelve months is around 2.39%, more than UTES's 1.49% yield.


TTM20232022202120202019201820172016201520142013
FXU
First Trust Utilities AlphaDEX Fund
2.39%2.53%2.03%1.99%3.97%2.34%2.40%3.81%2.62%3.90%2.13%4.13%
UTES
Virtus Reaves Utilities ETF
1.49%2.44%2.13%1.94%2.09%1.84%2.16%2.81%3.28%0.61%0.00%0.00%

Drawdowns

FXU vs. UTES - Drawdown Comparison

The maximum FXU drawdown since its inception was -48.25%, which is greater than UTES's maximum drawdown of -35.39%. Use the drawdown chart below to compare losses from any high point for FXU and UTES. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.46%
-7.91%
FXU
UTES

Volatility

FXU vs. UTES - Volatility Comparison

The current volatility for First Trust Utilities AlphaDEX Fund (FXU) is 4.25%, while Virtus Reaves Utilities ETF (UTES) has a volatility of 6.07%. This indicates that FXU experiences smaller price fluctuations and is considered to be less risky than UTES 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.25%
6.07%
FXU
UTES
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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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