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

Correlation

The correlation between FXZ and UYM 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.


-0.50.00.51.0
Correlation: 0.7

Performance

FXZ vs. UYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) and ProShares Ultra Basic Materials (UYM). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%NovemberDecember2025FebruaryMarchApril
247.43%
35.11%
FXZ
UYM

Key characteristics

Sharpe Ratio

FXZ:

-0.82

UYM:

-0.45

Sortino Ratio

FXZ:

-1.10

UYM:

-0.43

Omega Ratio

FXZ:

0.87

UYM:

0.94

Calmar Ratio

FXZ:

-0.59

UYM:

-0.40

Martin Ratio

FXZ:

-1.54

UYM:

-1.14

Ulcer Index

FXZ:

13.07%

UYM:

15.54%

Daily Std Dev

FXZ:

24.62%

UYM:

39.16%

Max Drawdown

FXZ:

-65.46%

UYM:

-92.77%

Current Drawdown

FXZ:

-25.04%

UYM:

-31.09%

Returns By Period

In the year-to-date period, FXZ achieves a -6.18% return, which is significantly higher than UYM's -6.50% return. Over the past 10 years, FXZ has outperformed UYM with an annualized return of 6.61%, while UYM has yielded a comparatively lower 5.55% annualized return.


FXZ

YTD

-6.18%

1M

-6.20%

6M

-18.28%

1Y

-19.74%

5Y*

14.19%

10Y*

6.61%

UYM

YTD

-6.50%

1M

-11.38%

6M

-25.40%

1Y

-18.96%

5Y*

19.67%

10Y*

5.55%

*Annualized

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FXZ vs. UYM - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is lower than UYM's 0.95% expense ratio.


Expense ratio chart for UYM: current value is 0.95%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
UYM: 0.95%
Expense ratio chart for FXZ: current value is 0.67%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FXZ: 0.67%

Risk-Adjusted Performance

FXZ vs. UYM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FXZ
The Risk-Adjusted Performance Rank of FXZ is 11
Overall Rank
The Sharpe Ratio Rank of FXZ is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of FXZ is 11
Sortino Ratio Rank
The Omega Ratio Rank of FXZ is 11
Omega Ratio Rank
The Calmar Ratio Rank of FXZ is 11
Calmar Ratio Rank
The Martin Ratio Rank of FXZ is 11
Martin Ratio Rank

UYM
The Risk-Adjusted Performance Rank of UYM is 55
Overall Rank
The Sharpe Ratio Rank of UYM is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of UYM is 66
Sortino Ratio Rank
The Omega Ratio Rank of UYM is 66
Omega Ratio Rank
The Calmar Ratio Rank of UYM is 33
Calmar Ratio Rank
The Martin Ratio Rank of UYM is 44
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FXZ vs. UYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and ProShares Ultra Basic Materials (UYM). 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.


The chart of Sharpe ratio for FXZ, currently valued at -0.82, compared to the broader market-1.000.001.002.003.004.00
FXZ: -0.82
UYM: -0.45
The chart of Sortino ratio for FXZ, currently valued at -1.10, compared to the broader market-2.000.002.004.006.008.00
FXZ: -1.10
UYM: -0.43
The chart of Omega ratio for FXZ, currently valued at 0.87, compared to the broader market0.501.001.502.002.50
FXZ: 0.87
UYM: 0.94
The chart of Calmar ratio for FXZ, currently valued at -0.59, compared to the broader market0.002.004.006.008.0010.0012.00
FXZ: -0.59
UYM: -0.40
The chart of Martin ratio for FXZ, currently valued at -1.54, compared to the broader market0.0020.0040.0060.00
FXZ: -1.54
UYM: -1.14

The current FXZ Sharpe Ratio is -0.82, which is lower than the UYM Sharpe Ratio of -0.45. The chart below compares the historical Sharpe Ratios of FXZ and UYM, 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-2.00-1.000.001.002.00NovemberDecember2025FebruaryMarchApril
-0.82
-0.45
FXZ
UYM

Dividends

FXZ vs. UYM - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.97%, more than UYM's 1.19% yield.


TTM20242023202220212020201920182017201620152014
FXZ
First Trust Materials AlphaDEX Fund
1.97%1.80%1.97%1.56%1.11%1.51%1.58%1.38%1.01%1.19%1.26%1.73%
UYM
ProShares Ultra Basic Materials
1.19%0.98%0.28%0.88%0.52%0.56%1.24%0.94%0.38%0.55%0.42%0.42%

Drawdowns

FXZ vs. UYM - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, smaller than the maximum UYM drawdown of -92.77%. Use the drawdown chart below to compare losses from any high point for FXZ and UYM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-25.04%
-31.09%
FXZ
UYM

Volatility

FXZ vs. UYM - Volatility Comparison

The current volatility for First Trust Materials AlphaDEX Fund (FXZ) is 16.55%, while ProShares Ultra Basic Materials (UYM) has a volatility of 28.16%. This indicates that FXZ experiences smaller price fluctuations and is considered to be less risky than UYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2025FebruaryMarchApril
16.55%
28.16%
FXZ
UYM