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

Correlation

The correlation between FXZ and PALL is 0.35, 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.


-0.50.00.51.00.3

Performance

FXZ vs. PALL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) and Aberdeen Standard Physical Palladium Shares ETF (PALL). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
-12.05%
-2.27%
FXZ
PALL

Key characteristics

Sharpe Ratio

FXZ:

-0.85

PALL:

-0.63

Sortino Ratio

FXZ:

-1.10

PALL:

-0.79

Omega Ratio

FXZ:

0.88

PALL:

0.92

Calmar Ratio

FXZ:

-0.78

PALL:

-0.33

Martin Ratio

FXZ:

-2.03

PALL:

-1.17

Ulcer Index

FXZ:

7.80%

PALL:

20.45%

Daily Std Dev

FXZ:

18.67%

PALL:

37.80%

Max Drawdown

FXZ:

-65.46%

PALL:

-73.63%

Current Drawdown

FXZ:

-20.29%

PALL:

-71.89%

Returns By Period

In the year-to-date period, FXZ achieves a -16.50% return, which is significantly higher than PALL's -17.97% return. Over the past 10 years, FXZ has outperformed PALL with an annualized return of 7.69%, while PALL has yielded a comparatively lower 0.60% annualized return.


FXZ

YTD

-16.50%

1M

-10.22%

6M

-12.25%

1Y

-16.96%

5Y*

9.11%

10Y*

7.69%

PALL

YTD

-17.97%

1M

-10.40%

6M

1.39%

1Y

-26.79%

5Y*

-13.80%

10Y*

0.60%

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. PALL - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is higher than PALL's 0.60% 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 PALL: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Risk-Adjusted Performance

FXZ vs. PALL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and Aberdeen Standard Physical Palladium Shares ETF (PALL). 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 -0.85, compared to the broader market0.002.004.00-0.85-0.63
The chart of Sortino ratio for FXZ, currently valued at -1.10, compared to the broader market-2.000.002.004.006.008.0010.00-1.10-0.79
The chart of Omega ratio for FXZ, currently valued at 0.88, compared to the broader market0.501.001.502.002.503.000.880.92
The chart of Calmar ratio for FXZ, currently valued at -0.78, compared to the broader market0.005.0010.0015.00-0.78-0.33
The chart of Martin ratio for FXZ, currently valued at -2.03, compared to the broader market0.0020.0040.0060.0080.00100.00-2.03-1.17
FXZ
PALL

The current FXZ Sharpe Ratio is -0.85, which is lower than the PALL Sharpe Ratio of -0.63. The chart below compares the historical Sharpe Ratios of FXZ and PALL, 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-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
-0.85
-0.63
FXZ
PALL

Dividends

FXZ vs. PALL - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.75%, while PALL has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
FXZ
First Trust Materials AlphaDEX Fund
1.75%1.97%1.56%1.11%1.51%1.58%1.38%1.01%1.19%1.26%1.73%0.90%
PALL
Aberdeen Standard Physical Palladium Shares ETF
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. PALL - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, smaller than the maximum PALL drawdown of -73.63%. Use the drawdown chart below to compare losses from any high point for FXZ and PALL. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-20.29%
-71.89%
FXZ
PALL

Volatility

FXZ vs. PALL - Volatility Comparison

The current volatility for First Trust Materials AlphaDEX Fund (FXZ) is 5.74%, while Aberdeen Standard Physical Palladium Shares ETF (PALL) has a volatility of 7.39%. This indicates that FXZ experiences smaller price fluctuations and is considered to be less risky than PALL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
5.74%
7.39%
FXZ
PALL
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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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