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QCLN vs. FAN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QCLNFAN
YTD Return-17.16%6.98%
1Y Return-10.75%27.93%
3Y Return (Ann)-17.55%-3.17%
5Y Return (Ann)11.11%7.66%
10Y Return (Ann)8.49%7.79%
Sharpe Ratio-0.331.45
Sortino Ratio-0.252.20
Omega Ratio0.971.26
Calmar Ratio-0.190.61
Martin Ratio-0.685.49
Ulcer Index17.77%5.14%
Daily Std Dev36.84%19.52%
Max Drawdown-76.18%-81.36%
Current Drawdown-59.98%-28.80%

Correlation

-0.50.00.51.00.6

The correlation between QCLN and FAN 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.

Performance

QCLN vs. FAN - Performance Comparison

In the year-to-date period, QCLN achieves a -17.16% return, which is significantly lower than FAN's 6.98% return. Over the past 10 years, QCLN has outperformed FAN with an annualized return of 8.49%, while FAN has yielded a comparatively lower 7.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
3.24%
15.35%
QCLN
FAN

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QCLN vs. FAN - Expense Ratio Comparison

QCLN has a 0.60% expense ratio, which is lower than FAN's 0.62% expense ratio.


FAN
First Trust Global Wind Energy ETF
Expense ratio chart for FAN: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
Expense ratio chart for QCLN: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Risk-Adjusted Performance

QCLN vs. FAN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust NASDAQ Clean Edge Green Energy Index Fund (QCLN) and First Trust Global Wind Energy ETF (FAN). 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.


QCLN
Sharpe ratio
The chart of Sharpe ratio for QCLN, currently valued at -0.33, compared to the broader market0.002.004.00-0.33
Sortino ratio
The chart of Sortino ratio for QCLN, currently valued at -0.24, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.25
Omega ratio
The chart of Omega ratio for QCLN, currently valued at 0.97, compared to the broader market1.001.502.002.503.000.97
Calmar ratio
The chart of Calmar ratio for QCLN, currently valued at -0.19, compared to the broader market0.005.0010.0015.00-0.19
Martin ratio
The chart of Martin ratio for QCLN, currently valued at -0.68, compared to the broader market0.0020.0040.0060.0080.00100.00-0.68
FAN
Sharpe ratio
The chart of Sharpe ratio for FAN, currently valued at 1.45, compared to the broader market0.002.004.001.45
Sortino ratio
The chart of Sortino ratio for FAN, currently valued at 2.20, compared to the broader market-2.000.002.004.006.008.0010.0012.002.20
Omega ratio
The chart of Omega ratio for FAN, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for FAN, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.61
Martin ratio
The chart of Martin ratio for FAN, currently valued at 5.49, compared to the broader market0.0020.0040.0060.0080.00100.005.49

QCLN vs. FAN - Sharpe Ratio Comparison

The current QCLN Sharpe Ratio is -0.33, which is lower than the FAN Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of QCLN and FAN, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50MayJuneJulyAugustSeptemberOctober
-0.33
1.45
QCLN
FAN

Dividends

QCLN vs. FAN - Dividend Comparison

QCLN's dividend yield for the trailing twelve months is around 0.97%, less than FAN's 1.36% yield.


TTM20232022202120202019201820172016201520142013
QCLN
First Trust NASDAQ Clean Edge Green Energy Index Fund
0.97%0.76%0.33%0.01%0.30%0.85%1.03%0.45%1.24%0.72%0.79%0.41%
FAN
First Trust Global Wind Energy ETF
1.36%1.71%1.50%1.79%0.84%2.42%2.67%2.59%6.04%2.35%2.61%0.71%

Drawdowns

QCLN vs. FAN - Drawdown Comparison

The maximum QCLN drawdown since its inception was -76.18%, smaller than the maximum FAN drawdown of -81.36%. Use the drawdown chart below to compare losses from any high point for QCLN and FAN. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%MayJuneJulyAugustSeptemberOctober
-59.98%
-28.80%
QCLN
FAN

Volatility

QCLN vs. FAN - Volatility Comparison

First Trust NASDAQ Clean Edge Green Energy Index Fund (QCLN) has a higher volatility of 8.30% compared to First Trust Global Wind Energy ETF (FAN) at 4.55%. This indicates that QCLN's price experiences larger fluctuations and is considered to be riskier than FAN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%MayJuneJulyAugustSeptemberOctober
8.30%
4.55%
QCLN
FAN