FXZ vs. GLD
Compare and contrast key facts about First Trust Materials AlphaDEX Fund (FXZ) and SPDR Gold Trust (GLD).
FXZ and GLD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FXZ is a passively managed fund by First Trust that tracks the performance of the StrataQuant Materials Index. It was launched on May 8, 2007. GLD is a passively managed fund by State Street that tracks the performance of the Gold Bullion. It was launched on Nov 18, 2004. Both FXZ and GLD are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FXZ or GLD.
Key characteristics
| FXZ | GLD | |
|---|---|---|
| YTD Return | -6.68% | 24.30% |
| 1Y Return | 3.57% | 30.48% |
| 3Y Return (Ann) | 1.84% | 10.88% |
| 5Y Return (Ann) | 12.00% | 11.49% |
| 10Y Return (Ann) | 8.73% | 7.59% |
| Sharpe Ratio | 0.40 | 2.14 |
| Sortino Ratio | 0.69 | 2.86 |
| Omega Ratio | 1.08 | 1.37 |
| Calmar Ratio | 0.52 | 4.10 |
| Martin Ratio | 1.11 | 13.62 |
| Ulcer Index | 6.89% | 2.32% |
| Daily Std Dev | 19.06% | 14.79% |
| Max Drawdown | -65.46% | -45.56% |
| Current Drawdown | -10.92% | -7.72% |
Correlation
The correlation between FXZ and GLD is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
FXZ vs. GLD - Performance Comparison
In the year-to-date period, FXZ achieves a -6.68% return, which is significantly lower than GLD's 24.30% return. Over the past 10 years, FXZ has outperformed GLD with an annualized return of 8.73%, while GLD has yielded a comparatively lower 7.59% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FXZ vs. GLD - Expense Ratio Comparison
FXZ has a 0.67% expense ratio, which is higher than GLD's 0.40% expense ratio.
Risk-Adjusted Performance
FXZ vs. GLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and SPDR Gold Trust (GLD). 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.
Dividends
FXZ vs. GLD - Dividend Comparison
FXZ's dividend yield for the trailing twelve months is around 1.57%, while GLD has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXZ First Trust Materials AlphaDEX Fund | 1.57% | 1.97% | 1.56% | 1.11% | 1.51% | 1.58% | 1.38% | 1.01% | 1.19% | 1.26% | 1.73% | 0.90% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
FXZ vs. GLD - Drawdown Comparison
The maximum FXZ drawdown since its inception was -65.46%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for FXZ and GLD. For additional features, visit the drawdowns tool.
Volatility
FXZ vs. GLD - Volatility Comparison
First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 5.93% compared to SPDR Gold Trust (GLD) at 5.47%. This indicates that FXZ's price experiences larger fluctuations and is considered to be riskier than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.