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MDEV vs. ARKG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MDEV and ARKG is 0.69, 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.


-0.50.00.51.00.7

Performance

MDEV vs. ARKG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Indxx Medical Devices ETF (MDEV) and ARK Genomic Revolution Multi-Sector ETF (ARKG). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember
4.46%
1.67%
MDEV
ARKG

Key characteristics

Sharpe Ratio

MDEV:

0.14

ARKG:

-0.71

Sortino Ratio

MDEV:

0.29

ARKG:

-0.88

Omega Ratio

MDEV:

1.03

ARKG:

0.90

Calmar Ratio

MDEV:

0.06

ARKG:

-0.35

Martin Ratio

MDEV:

0.43

ARKG:

-1.31

Ulcer Index

MDEV:

4.14%

ARKG:

21.50%

Daily Std Dev

MDEV:

13.27%

ARKG:

39.91%

Max Drawdown

MDEV:

-42.34%

ARKG:

-80.10%

Current Drawdown

MDEV:

-26.63%

ARKG:

-78.93%

Returns By Period


MDEV

YTD

0.00%

1M

-4.67%

6M

5.00%

1Y

1.79%

5Y*

N/A

10Y*

N/A

ARKG

YTD

0.00%

1M

-9.37%

6M

2.86%

1Y

-28.24%

5Y*

-6.48%

10Y*

1.79%

*Annualized

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MDEV vs. ARKG - Expense Ratio Comparison

MDEV has a 0.70% expense ratio, which is lower than ARKG's 0.75% expense ratio.


Expense ratio chart for ARKG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for MDEV: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%

Risk-Adjusted Performance

MDEV vs. ARKG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Indxx Medical Devices ETF (MDEV) and ARK Genomic Revolution Multi-Sector ETF (ARKG). 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 MDEV, currently valued at 0.14, compared to the broader market0.002.004.000.14-0.71
The chart of Sortino ratio for MDEV, currently valued at 0.29, compared to the broader market-2.000.002.004.006.008.0010.000.29-0.88
The chart of Omega ratio for MDEV, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.030.90
The chart of Calmar ratio for MDEV, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.06-0.37
The chart of Martin ratio for MDEV, currently valued at 0.43, compared to the broader market0.0020.0040.0060.0080.00100.000.43-1.31
MDEV
ARKG

The current MDEV Sharpe Ratio is 0.14, which is higher than the ARKG Sharpe Ratio of -0.71. The chart below compares the historical Sharpe Ratios of MDEV and ARKG, 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-1.00-0.500.000.501.001.502.002.50AugustSeptemberOctoberNovemberDecember
0.14
-0.71
MDEV
ARKG

Dividends

MDEV vs. ARKG - Dividend Comparison

Neither MDEV nor ARKG has paid dividends to shareholders.


TTM2023202220212020201920182017
MDEV
First Trust Indxx Medical Devices ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARKG
ARK Genomic Revolution Multi-Sector ETF
0.00%0.00%0.00%0.62%0.85%3.14%1.94%1.34%

Drawdowns

MDEV vs. ARKG - Drawdown Comparison

The maximum MDEV drawdown since its inception was -42.34%, smaller than the maximum ARKG drawdown of -80.10%. Use the drawdown chart below to compare losses from any high point for MDEV and ARKG. For additional features, visit the drawdowns tool.


-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%AugustSeptemberOctoberNovemberDecember
-26.63%
-74.55%
MDEV
ARKG

Volatility

MDEV vs. ARKG - Volatility Comparison

The current volatility for First Trust Indxx Medical Devices ETF (MDEV) is 3.50%, while ARK Genomic Revolution Multi-Sector ETF (ARKG) has a volatility of 13.28%. This indicates that MDEV experiences smaller price fluctuations and is considered to be less risky than ARKG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%AugustSeptemberOctoberNovemberDecember
3.50%
13.28%
MDEV
ARKG