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RFEU vs. ONEQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RFEUONEQ
YTD Return2.90%21.40%
1Y Return14.17%35.53%
3Y Return (Ann)-3.05%5.67%
5Y Return (Ann)4.65%17.81%
Sharpe Ratio0.832.19
Sortino Ratio1.262.83
Omega Ratio1.151.39
Calmar Ratio0.482.79
Martin Ratio5.1010.79
Ulcer Index2.34%3.47%
Daily Std Dev14.16%17.13%
Max Drawdown-39.74%-55.09%
Current Drawdown-10.45%-2.98%

Correlation

-0.50.00.51.00.6

The correlation between RFEU and ONEQ is 0.58, 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

RFEU vs. ONEQ - Performance Comparison

In the year-to-date period, RFEU achieves a 2.90% return, which is significantly lower than ONEQ's 21.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.86%
11.63%
RFEU
ONEQ

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RFEU vs. ONEQ - Expense Ratio Comparison

RFEU has a 0.83% expense ratio, which is higher than ONEQ's 0.21% expense ratio.


RFEU
First Trust RiverFront Dynamic Europe ETF
Expense ratio chart for RFEU: current value at 0.83% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.83%
Expense ratio chart for ONEQ: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%

Risk-Adjusted Performance

RFEU vs. ONEQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust RiverFront Dynamic Europe ETF (RFEU) and Fidelity NASDAQ Composite Index Tracking Stock (ONEQ). 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.


RFEU
Sharpe ratio
The chart of Sharpe ratio for RFEU, currently valued at 1.03, compared to the broader market0.002.004.006.001.03
Sortino ratio
The chart of Sortino ratio for RFEU, currently valued at 1.50, compared to the broader market0.005.0010.001.50
Omega ratio
The chart of Omega ratio for RFEU, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for RFEU, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.64
Martin ratio
The chart of Martin ratio for RFEU, currently valued at 6.23, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.23
ONEQ
Sharpe ratio
The chart of Sharpe ratio for ONEQ, currently valued at 2.19, compared to the broader market0.002.004.006.002.19
Sortino ratio
The chart of Sortino ratio for ONEQ, currently valued at 2.83, compared to the broader market0.005.0010.002.83
Omega ratio
The chart of Omega ratio for ONEQ, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for ONEQ, currently valued at 2.79, compared to the broader market0.005.0010.0015.002.79
Martin ratio
The chart of Martin ratio for ONEQ, currently valued at 10.79, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.79

RFEU vs. ONEQ - Sharpe Ratio Comparison

The current RFEU Sharpe Ratio is 0.83, which is lower than the ONEQ Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of RFEU and ONEQ, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.03
2.19
RFEU
ONEQ

Dividends

RFEU vs. ONEQ - Dividend Comparison

RFEU's dividend yield for the trailing twelve months is around 2.50%, more than ONEQ's 0.64% yield.


TTM20232022202120202019201820172016201520142013
RFEU
First Trust RiverFront Dynamic Europe ETF
2.50%3.37%4.98%1.82%2.32%3.08%2.84%1.35%3.16%0.00%0.00%0.00%
ONEQ
Fidelity NASDAQ Composite Index Tracking Stock
0.64%0.71%0.97%0.54%0.71%1.64%1.08%0.84%1.12%1.04%1.19%0.84%

Drawdowns

RFEU vs. ONEQ - Drawdown Comparison

The maximum RFEU drawdown since its inception was -39.74%, smaller than the maximum ONEQ drawdown of -55.09%. Use the drawdown chart below to compare losses from any high point for RFEU and ONEQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.45%
-2.98%
RFEU
ONEQ

Volatility

RFEU vs. ONEQ - Volatility Comparison

The current volatility for First Trust RiverFront Dynamic Europe ETF (RFEU) is 2.90%, while Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) has a volatility of 4.52%. This indicates that RFEU experiences smaller price fluctuations and is considered to be less risky than ONEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
2.90%
4.52%
RFEU
ONEQ