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ICVT vs. FPE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ICVT vs. FPE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Convertible Bond ETF (ICVT) and First Trust Preferred Securities & Income ETF (FPE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.12%
6.23%
ICVT
FPE

Returns By Period

The year-to-date returns for both stocks are quite close, with ICVT having a 12.07% return and FPE slightly lower at 11.65%.


ICVT

YTD

12.07%

1M

2.25%

6M

10.12%

1Y

20.85%

5Y (annualized)

11.31%

10Y (annualized)

N/A

FPE

YTD

11.65%

1M

-0.82%

6M

6.23%

1Y

17.34%

5Y (annualized)

3.37%

10Y (annualized)

5.08%

Key characteristics


ICVTFPE
Sharpe Ratio2.563.87
Sortino Ratio3.635.79
Omega Ratio1.461.84
Calmar Ratio0.811.46
Martin Ratio13.7029.19
Ulcer Index1.55%0.59%
Daily Std Dev8.33%4.48%
Max Drawdown-33.25%-33.35%
Current Drawdown-10.70%-0.82%

Compare stocks, funds, or ETFs

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ICVT vs. FPE - Expense Ratio Comparison

ICVT has a 0.20% expense ratio, which is lower than FPE's 0.85% expense ratio.


FPE
First Trust Preferred Securities & Income ETF
Expense ratio chart for FPE: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.4

The correlation between ICVT and FPE is 0.39, 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.

Risk-Adjusted Performance

ICVT vs. FPE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) and First Trust Preferred Securities & Income ETF (FPE). 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 ICVT, currently valued at 2.56, compared to the broader market0.002.004.002.563.87
The chart of Sortino ratio for ICVT, currently valued at 3.63, compared to the broader market-2.000.002.004.006.008.0010.003.635.79
The chart of Omega ratio for ICVT, currently valued at 1.46, compared to the broader market0.501.001.502.002.503.001.461.84
The chart of Calmar ratio for ICVT, currently valued at 0.81, compared to the broader market0.005.0010.0015.000.811.46
The chart of Martin ratio for ICVT, currently valued at 13.70, compared to the broader market0.0020.0040.0060.0080.00100.0013.7029.19
ICVT
FPE

The current ICVT Sharpe Ratio is 2.56, which is lower than the FPE Sharpe Ratio of 3.87. The chart below compares the historical Sharpe Ratios of ICVT and FPE, 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 Ratio0.001.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.56
3.87
ICVT
FPE

Dividends

ICVT vs. FPE - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.26%, less than FPE's 5.60% yield.


TTM20232022202120202019201820172016201520142013
ICVT
iShares Convertible Bond ETF
2.26%1.84%1.93%7.70%3.98%1.86%4.82%2.56%3.06%1.57%0.00%0.00%
FPE
First Trust Preferred Securities & Income ETF
5.60%6.04%5.67%4.50%4.88%5.32%6.14%5.39%5.98%5.49%6.00%4.70%

Drawdowns

ICVT vs. FPE - Drawdown Comparison

The maximum ICVT drawdown since its inception was -33.25%, roughly equal to the maximum FPE drawdown of -33.35%. Use the drawdown chart below to compare losses from any high point for ICVT and FPE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.70%
-0.82%
ICVT
FPE

Volatility

ICVT vs. FPE - Volatility Comparison

iShares Convertible Bond ETF (ICVT) has a higher volatility of 2.62% compared to First Trust Preferred Securities & Income ETF (FPE) at 1.33%. This indicates that ICVT's price experiences larger fluctuations and is considered to be riskier than FPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.62%
1.33%
ICVT
FPE