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

Correlation

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.


-0.50.00.51.00.4

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%15.00%JulyAugustSeptemberOctoberNovemberDecember
12.00%
5.31%
ICVT
FPE

Key characteristics

Sharpe Ratio

ICVT:

1.63

FPE:

2.75

Sortino Ratio

ICVT:

2.27

FPE:

3.94

Omega Ratio

ICVT:

1.29

FPE:

1.55

Calmar Ratio

ICVT:

0.62

FPE:

1.48

Martin Ratio

ICVT:

8.60

FPE:

18.56

Ulcer Index

ICVT:

1.61%

FPE:

0.64%

Daily Std Dev

ICVT:

8.49%

FPE:

4.31%

Max Drawdown

ICVT:

-33.25%

FPE:

-33.35%

Current Drawdown

ICVT:

-10.63%

FPE:

-1.15%

Returns By Period

In the year-to-date period, ICVT achieves a 12.16% return, which is significantly higher than FPE's 11.31% return.


ICVT

YTD

12.16%

1M

-1.20%

6M

11.97%

1Y

12.82%

5Y*

10.57%

10Y*

N/A

FPE

YTD

11.31%

1M

0.07%

6M

5.43%

1Y

11.48%

5Y*

3.04%

10Y*

5.09%

Compare stocks, funds, or ETFs

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


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%

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 1.63, compared to the broader market0.002.004.001.632.75
The chart of Sortino ratio for ICVT, currently valued at 2.27, compared to the broader market-2.000.002.004.006.008.0010.002.273.94
The chart of Omega ratio for ICVT, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.291.55
The chart of Calmar ratio for ICVT, currently valued at 0.62, compared to the broader market0.005.0010.0015.000.621.48
The chart of Martin ratio for ICVT, currently valued at 8.60, compared to the broader market0.0020.0040.0060.0080.00100.008.6018.56
ICVT
FPE

The current ICVT Sharpe Ratio is 1.63, which is lower than the FPE Sharpe Ratio of 2.75. 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.63
2.75
ICVT
FPE

Dividends

ICVT vs. FPE - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.16%, less than FPE's 6.17% yield.


TTM20232022202120202019201820172016201520142013
ICVT
iShares Convertible Bond ETF
2.16%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
5.68%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%JulyAugustSeptemberOctoberNovemberDecember
-10.63%
-1.15%
ICVT
FPE

Volatility

ICVT vs. FPE - Volatility Comparison

iShares Convertible Bond ETF (ICVT) has a higher volatility of 3.12% compared to First Trust Preferred Securities & Income ETF (FPE) at 1.10%. 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%JulyAugustSeptemberOctoberNovemberDecember
3.12%
1.10%
ICVT
FPE
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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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