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FXU vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.6

Performance

FXU vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Utilities AlphaDEX Fund (FXU) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
16.72%
11.17%
FXU
^SP500TR

Key characteristics

Sharpe Ratio

FXU:

1.70

^SP500TR:

2.30

Sortino Ratio

FXU:

2.36

^SP500TR:

3.04

Omega Ratio

FXU:

1.30

^SP500TR:

1.43

Calmar Ratio

FXU:

1.68

^SP500TR:

3.41

Martin Ratio

FXU:

7.34

^SP500TR:

15.03

Ulcer Index

FXU:

3.39%

^SP500TR:

1.92%

Daily Std Dev

FXU:

14.68%

^SP500TR:

12.54%

Max Drawdown

FXU:

-48.25%

^SP500TR:

-55.25%

Current Drawdown

FXU:

-6.46%

^SP500TR:

-0.77%

Returns By Period

In the year-to-date period, FXU achieves a 23.71% return, which is significantly lower than ^SP500TR's 28.35% return. Over the past 10 years, FXU has underperformed ^SP500TR with an annualized return of 7.23%, while ^SP500TR has yielded a comparatively higher 13.27% annualized return.


FXU

YTD

23.71%

1M

-4.82%

6M

16.72%

1Y

24.93%

5Y*

8.63%

10Y*

7.23%

^SP500TR

YTD

28.35%

1M

1.30%

6M

11.16%

1Y

28.80%

5Y*

15.11%

10Y*

13.27%

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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.


Sharpe ratio
The chart of Sharpe ratio for FXU, currently valued at 1.70, compared to the broader market0.002.004.001.702.30
The chart of Sortino ratio for FXU, currently valued at 2.36, compared to the broader market-2.000.002.004.006.008.0010.002.363.04
The chart of Omega ratio for FXU, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.43
The chart of Calmar ratio for FXU, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.683.41
The chart of Martin ratio for FXU, currently valued at 7.34, compared to the broader market0.0020.0040.0060.0080.00100.007.3415.03
FXU
^SP500TR

The current FXU Sharpe Ratio is 1.70, which is comparable to the ^SP500TR Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of FXU and ^SP500TR, 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
2.30
FXU
^SP500TR

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.46%
-0.77%
FXU
^SP500TR

Volatility

FXU vs. ^SP500TR - Volatility Comparison

First Trust Utilities AlphaDEX Fund (FXU) has a higher volatility of 4.25% compared to S&P 500 Total Return (^SP500TR) at 3.96%. 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.25%
3.96%
FXU
^SP500TR
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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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