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FXZ vs. NANR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FXZ and NANR is 0.74, 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.


-0.50.00.51.00.7

Performance

FXZ vs. NANR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) and SPDR S&P North American Natural Resources ETF (NANR). The values are adjusted to include any dividend payments, if applicable.

130.00%140.00%150.00%160.00%170.00%180.00%190.00%JulyAugustSeptemberOctoberNovemberDecember
130.78%
154.57%
FXZ
NANR

Key characteristics

Sharpe Ratio

FXZ:

-0.83

NANR:

0.12

Sortino Ratio

FXZ:

-1.06

NANR:

0.28

Omega Ratio

FXZ:

0.88

NANR:

1.03

Calmar Ratio

FXZ:

-0.74

NANR:

0.10

Martin Ratio

FXZ:

-1.92

NANR:

0.42

Ulcer Index

FXZ:

8.00%

NANR:

4.94%

Daily Std Dev

FXZ:

18.54%

NANR:

17.70%

Max Drawdown

FXZ:

-65.46%

NANR:

-49.15%

Current Drawdown

FXZ:

-20.11%

NANR:

-12.34%

Returns By Period

In the year-to-date period, FXZ achieves a -16.31% return, which is significantly lower than NANR's 1.07% return.


FXZ

YTD

-16.31%

1M

-10.57%

6M

-12.17%

1Y

-16.51%

5Y*

9.14%

10Y*

7.63%

NANR

YTD

1.07%

1M

-11.01%

6M

-5.17%

1Y

1.05%

5Y*

11.98%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FXZ vs. NANR - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is higher than NANR's 0.35% expense ratio.


FXZ
First Trust Materials AlphaDEX Fund
Expense ratio chart for FXZ: current value at 0.67% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.67%
Expense ratio chart for NANR: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

FXZ vs. NANR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and SPDR S&P North American Natural Resources ETF (NANR). 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 FXZ, currently valued at -0.83, compared to the broader market0.002.004.00-0.830.12
The chart of Sortino ratio for FXZ, currently valued at -1.06, compared to the broader market-2.000.002.004.006.008.0010.00-1.060.28
The chart of Omega ratio for FXZ, currently valued at 0.88, compared to the broader market0.501.001.502.002.503.000.881.03
The chart of Calmar ratio for FXZ, currently valued at -0.74, compared to the broader market0.005.0010.0015.00-0.740.10
The chart of Martin ratio for FXZ, currently valued at -1.92, compared to the broader market0.0020.0040.0060.0080.00100.00-1.920.42
FXZ
NANR

The current FXZ Sharpe Ratio is -0.83, which is lower than the NANR Sharpe Ratio of 0.12. The chart below compares the historical Sharpe Ratios of FXZ and NANR, 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 Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.83
0.12
FXZ
NANR

Dividends

FXZ vs. NANR - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 2.35%, more than NANR's 2.23% yield.


TTM20232022202120202019201820172016201520142013
FXZ
First Trust Materials AlphaDEX Fund
1.80%1.97%1.56%1.11%1.51%1.58%1.38%1.01%1.19%1.26%1.73%0.90%
NANR
SPDR S&P North American Natural Resources ETF
2.23%2.78%2.70%2.61%2.73%2.02%1.95%1.83%5.01%0.01%0.00%0.00%

Drawdowns

FXZ vs. NANR - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, which is greater than NANR's maximum drawdown of -49.15%. Use the drawdown chart below to compare losses from any high point for FXZ and NANR. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.11%
-12.34%
FXZ
NANR

Volatility

FXZ vs. NANR - Volatility Comparison

First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 5.61% compared to SPDR S&P North American Natural Resources ETF (NANR) at 5.28%. This indicates that FXZ's price experiences larger fluctuations and is considered to be riskier than NANR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.61%
5.28%
FXZ
NANR
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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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