FXZ vs. RTM
Compare and contrast key facts about First Trust Materials AlphaDEX Fund (FXZ) and Invesco S&P 500® Equal Weight Materials ETF (RTM).
FXZ and RTM 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. RTM is a passively managed fund by Invesco that tracks the performance of the S&P 500 Equal Weighted / Materials -SEC. It was launched on Nov 1, 2006. Both FXZ and RTM 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 RTM.
Key characteristics
| FXZ | RTM | |
|---|---|---|
| YTD Return | -6.05% | 7.72% |
| 1Y Return | 8.37% | 21.85% |
| 3Y Return (Ann) | 2.07% | 1.89% |
| 5Y Return (Ann) | 12.16% | 11.86% |
| 10Y Return (Ann) | 8.81% | 9.19% |
| Sharpe Ratio | 0.42 | 1.38 |
| Sortino Ratio | 0.72 | 1.99 |
| Omega Ratio | 1.09 | 1.24 |
| Calmar Ratio | 0.48 | 0.35 |
| Martin Ratio | 1.17 | 6.85 |
| Ulcer Index | 6.86% | 3.12% |
| Daily Std Dev | 19.05% | 15.49% |
| Max Drawdown | -65.46% | -84.51% |
| Current Drawdown | -10.32% | -51.95% |
Correlation
The correlation between FXZ and RTM is 0.86, 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.
Performance
FXZ vs. RTM - Performance Comparison
In the year-to-date period, FXZ achieves a -6.05% return, which is significantly lower than RTM's 7.72% return. Both investments have delivered pretty close results over the past 10 years, with FXZ having a 8.81% annualized return and RTM not far ahead at 9.19%. 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. RTM - Expense Ratio Comparison
FXZ has a 0.67% expense ratio, which is higher than RTM's 0.40% expense ratio.
Risk-Adjusted Performance
FXZ vs. RTM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and Invesco S&P 500® Equal Weight Materials ETF (RTM). 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. RTM - Dividend Comparison
FXZ's dividend yield for the trailing twelve months is around 1.56%, less than RTM's 1.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXZ First Trust Materials AlphaDEX Fund | 1.56% | 1.97% | 1.56% | 1.11% | 1.51% | 1.58% | 1.38% | 1.01% | 1.19% | 1.26% | 1.73% | 0.90% |
RTM Invesco S&P 500® Equal Weight Materials ETF | 1.90% | 2.05% | 2.19% | 1.43% | 1.57% | 1.81% | 0.37% | 0.00% | 0.00% | 0.00% | 1.45% | 1.36% |
Drawdowns
FXZ vs. RTM - Drawdown Comparison
The maximum FXZ drawdown since its inception was -65.46%, smaller than the maximum RTM drawdown of -84.51%. Use the drawdown chart below to compare losses from any high point for FXZ and RTM. For additional features, visit the drawdowns tool.
Volatility
FXZ vs. RTM - Volatility Comparison
First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 5.94% compared to Invesco S&P 500® Equal Weight Materials ETF (RTM) at 3.92%. This indicates that FXZ's price experiences larger fluctuations and is considered to be riskier than RTM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.