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IEO vs. FCG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEO and FCG is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

IEO vs. FCG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Oil & Gas Exploration & Production ETF (IEO) and First Trust Natural Gas ETF (FCG). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

IEO:

-0.35

FCG:

-0.38

Sortino Ratio

IEO:

-0.30

FCG:

-0.29

Omega Ratio

IEO:

0.96

FCG:

0.96

Calmar Ratio

IEO:

-0.35

FCG:

-0.14

Martin Ratio

IEO:

-1.04

FCG:

-1.04

Ulcer Index

IEO:

10.51%

FCG:

10.88%

Daily Std Dev

IEO:

30.13%

FCG:

31.70%

Max Drawdown

IEO:

-79.17%

FCG:

-97.20%

Current Drawdown

IEO:

-17.56%

FCG:

-80.32%

Returns By Period

In the year-to-date period, IEO achieves a 1.06% return, which is significantly higher than FCG's -4.61% return. Over the past 10 years, IEO has outperformed FCG with an annualized return of 4.24%, while FCG has yielded a comparatively lower -5.97% annualized return.


IEO

YTD

1.06%

1M

14.64%

6M

-7.15%

1Y

-10.63%

5Y*

27.50%

10Y*

4.24%

FCG

YTD

-4.61%

1M

13.86%

6M

-6.24%

1Y

-12.04%

5Y*

31.92%

10Y*

-5.97%

*Annualized

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IEO vs. FCG - Expense Ratio Comparison

IEO has a 0.42% expense ratio, which is lower than FCG's 0.60% expense ratio.


Risk-Adjusted Performance

IEO vs. FCG — Risk-Adjusted Performance Rank

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

IEO
The Risk-Adjusted Performance Rank of IEO is 55
Overall Rank
The Sharpe Ratio Rank of IEO is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of IEO is 77
Sortino Ratio Rank
The Omega Ratio Rank of IEO is 77
Omega Ratio Rank
The Calmar Ratio Rank of IEO is 44
Calmar Ratio Rank
The Martin Ratio Rank of IEO is 44
Martin Ratio Rank

FCG
The Risk-Adjusted Performance Rank of FCG is 77
Overall Rank
The Sharpe Ratio Rank of FCG is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of FCG is 77
Sortino Ratio Rank
The Omega Ratio Rank of FCG is 77
Omega Ratio Rank
The Calmar Ratio Rank of FCG is 99
Calmar Ratio Rank
The Martin Ratio Rank of FCG 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.

IEO vs. FCG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Oil & Gas Exploration & Production ETF (IEO) and First Trust Natural Gas ETF (FCG). 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 current IEO Sharpe Ratio is -0.35, which is comparable to the FCG Sharpe Ratio of -0.38. The chart below compares the historical Sharpe Ratios of IEO and FCG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

IEO vs. FCG - Dividend Comparison

IEO's dividend yield for the trailing twelve months is around 2.54%, less than FCG's 3.43% yield.


TTM20242023202220212020201920182017201620152014
IEO
iShares U.S. Oil & Gas Exploration & Production ETF
2.54%2.63%3.00%3.77%2.62%3.17%1.85%1.67%0.94%0.98%2.03%1.30%
FCG
First Trust Natural Gas ETF
3.43%2.76%3.25%3.04%1.73%3.83%2.88%1.46%1.56%1.69%4.82%1.34%

Drawdowns

IEO vs. FCG - Drawdown Comparison

The maximum IEO drawdown since its inception was -79.17%, smaller than the maximum FCG drawdown of -97.20%. Use the drawdown chart below to compare losses from any high point for IEO and FCG. For additional features, visit the drawdowns tool.


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Volatility

IEO vs. FCG - Volatility Comparison

The current volatility for iShares U.S. Oil & Gas Exploration & Production ETF (IEO) is 7.98%, while First Trust Natural Gas ETF (FCG) has a volatility of 8.59%. This indicates that IEO experiences smaller price fluctuations and is considered to be less risky than FCG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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