FXU vs. ^SP500TR
Compare and contrast key facts about First Trust Utilities AlphaDEX Fund (FXU) and S&P 500 Total Return (^SP500TR).
FXU is a passively managed fund by First Trust that tracks the performance of the StrataQuant Utilities Index. It was launched on May 8, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FXU or ^SP500TR.
Performance
FXU vs. ^SP500TR - Performance Comparison
Returns By Period
In the year-to-date period, FXU achieves a 29.87% return, which is significantly higher than ^SP500TR's 26.26% return. Over the past 10 years, FXU has underperformed ^SP500TR with an annualized return of 8.40%, while ^SP500TR has yielded a comparatively higher 13.21% annualized return.
FXU
29.87%
4.48%
19.99%
37.66%
9.99%
8.40%
^SP500TR
26.26%
1.79%
13.68%
32.39%
15.71%
13.21%
Key characteristics
| FXU | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | 2.53 | 2.69 |
| Sortino Ratio | 3.51 | 3.59 |
| Omega Ratio | 1.44 | 1.50 |
| Calmar Ratio | 2.60 | 3.90 |
| Martin Ratio | 12.56 | 17.53 |
| Ulcer Index | 3.07% | 1.88% |
| Daily Std Dev | 15.20% | 12.24% |
| Max Drawdown | -48.25% | -55.25% |
| Current Drawdown | 0.00% | -0.81% |
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Correlation
The correlation between FXU and ^SP500TR 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.
Risk-Adjusted Performance
FXU vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Utilities AlphaDEX Fund (FXU) and S&P 500 Total Return (^SP500TR). 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.
Drawdowns
FXU vs. ^SP500TR - Drawdown Comparison
The maximum FXU drawdown since its inception was -48.25%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for FXU and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
FXU vs. ^SP500TR - Volatility Comparison
First Trust Utilities AlphaDEX Fund (FXU) has a higher volatility of 5.07% compared to S&P 500 Total Return (^SP500TR) at 3.95%. This indicates that FXU's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.