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MDIV vs. YYY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MDIV and YYY is 0.62, 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.


-0.50.00.51.00.6

Performance

MDIV vs. YYY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi-Asset Diversified Income Index Fund (MDIV) and Amplify High Income ETF (YYY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.54%
3.21%
MDIV
YYY

Key characteristics

Sharpe Ratio

MDIV:

1.37

YYY:

1.66

Sortino Ratio

MDIV:

1.92

YYY:

2.18

Omega Ratio

MDIV:

1.25

YYY:

1.33

Calmar Ratio

MDIV:

2.07

YYY:

0.97

Martin Ratio

MDIV:

8.83

YYY:

9.94

Ulcer Index

MDIV:

1.21%

YYY:

1.35%

Daily Std Dev

MDIV:

7.81%

YYY:

8.06%

Max Drawdown

MDIV:

-48.51%

YYY:

-42.52%

Current Drawdown

MDIV:

-4.46%

YYY:

-4.44%

Returns By Period

In the year-to-date period, MDIV achieves a 9.58% return, which is significantly lower than YYY's 12.23% return. Over the past 10 years, MDIV has underperformed YYY with an annualized return of 3.40%, while YYY has yielded a comparatively higher 3.78% annualized return.


MDIV

YTD

9.58%

1M

-2.26%

6M

6.54%

1Y

10.13%

5Y*

3.25%

10Y*

3.40%

YYY

YTD

12.23%

1M

-2.13%

6M

3.29%

1Y

13.40%

5Y*

2.35%

10Y*

3.78%

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MDIV vs. YYY - Expense Ratio Comparison

MDIV has a 0.73% expense ratio, which is lower than YYY's 2.45% expense ratio.


YYY
Amplify High Income ETF
Expense ratio chart for YYY: current value at 2.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.45%
Expense ratio chart for MDIV: current value at 0.73% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.73%

Risk-Adjusted Performance

MDIV vs. YYY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi-Asset Diversified Income Index Fund (MDIV) and Amplify High Income ETF (YYY). 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 MDIV, currently valued at 1.37, compared to the broader market0.002.004.001.371.66
The chart of Sortino ratio for MDIV, currently valued at 1.92, compared to the broader market-2.000.002.004.006.008.0010.001.922.18
The chart of Omega ratio for MDIV, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.33
The chart of Calmar ratio for MDIV, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.070.97
The chart of Martin ratio for MDIV, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.839.94
MDIV
YYY

The current MDIV Sharpe Ratio is 1.37, which is comparable to the YYY Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of MDIV and YYY, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.37
1.66
MDIV
YYY

Dividends

MDIV vs. YYY - Dividend Comparison

MDIV's dividend yield for the trailing twelve months is around 7.04%, less than YYY's 12.33% yield.


TTM20232022202120202019201820172016201520142013
MDIV
First Trust Multi-Asset Diversified Income Index Fund
7.04%6.47%6.70%5.31%6.01%5.91%6.76%6.05%6.36%6.16%5.74%5.68%
YYY
Amplify High Income ETF
12.33%12.39%12.36%9.08%9.79%9.10%9.73%8.83%10.34%10.77%9.54%5.14%

Drawdowns

MDIV vs. YYY - Drawdown Comparison

The maximum MDIV drawdown since its inception was -48.51%, which is greater than YYY's maximum drawdown of -42.52%. Use the drawdown chart below to compare losses from any high point for MDIV and YYY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.46%
-4.44%
MDIV
YYY

Volatility

MDIV vs. YYY - Volatility Comparison

The current volatility for First Trust Multi-Asset Diversified Income Index Fund (MDIV) is 2.73%, while Amplify High Income ETF (YYY) has a volatility of 3.22%. This indicates that MDIV experiences smaller price fluctuations and is considered to be less risky than YYY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
2.73%
3.22%
MDIV
YYY
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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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