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

Performance

RFEU vs. VTAPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust RiverFront Dynamic Europe ETF (RFEU) and Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares (VTAPX). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-6.21%
3.02%
RFEU
VTAPX

Returns By Period

In the year-to-date period, RFEU achieves a -1.09% return, which is significantly lower than VTAPX's 4.63% return.


RFEU

YTD

-1.09%

1M

-6.83%

6M

-6.21%

1Y

4.22%

5Y (annualized)

3.97%

10Y (annualized)

N/A

VTAPX

YTD

4.63%

1M

-0.08%

6M

3.02%

1Y

6.03%

5Y (annualized)

3.42%

10Y (annualized)

2.36%

Key characteristics


RFEUVTAPX
Sharpe Ratio1.013.11
Sortino Ratio1.485.16
Omega Ratio1.181.70
Calmar Ratio0.634.88
Martin Ratio5.1422.60
Ulcer Index2.88%0.27%
Daily Std Dev14.42%2.00%
Max Drawdown-39.74%-5.33%
Current Drawdown-13.93%-0.43%

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RFEU vs. VTAPX - Expense Ratio Comparison

RFEU has a 0.83% expense ratio, which is higher than VTAPX's 0.06% 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 VTAPX: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.1

The correlation between RFEU and VTAPX is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

RFEU vs. VTAPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust RiverFront Dynamic Europe ETF (RFEU) and Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares (VTAPX). 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 RFEU, currently valued at 0.36, compared to the broader market0.002.004.006.000.363.11
The chart of Sortino ratio for RFEU, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.0012.000.595.16
The chart of Omega ratio for RFEU, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.70
The chart of Calmar ratio for RFEU, currently valued at 0.28, compared to the broader market0.005.0010.0015.000.284.88
The chart of Martin ratio for RFEU, currently valued at 1.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.7422.60
RFEU
VTAPX

The current RFEU Sharpe Ratio is 1.01, which is lower than the VTAPX Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of RFEU and VTAPX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.36
3.11
RFEU
VTAPX

Dividends

RFEU vs. VTAPX - Dividend Comparison

RFEU's dividend yield for the trailing twelve months is around 2.60%, less than VTAPX's 2.88% yield.


TTM20232022202120202019201820172016201520142013
RFEU
First Trust RiverFront Dynamic Europe ETF
2.60%3.37%4.98%1.82%2.32%3.08%2.84%1.35%3.16%0.00%0.00%0.00%
VTAPX
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares
2.88%2.84%6.82%4.68%1.19%1.94%2.45%1.52%0.76%0.00%0.82%0.06%

Drawdowns

RFEU vs. VTAPX - Drawdown Comparison

The maximum RFEU drawdown since its inception was -39.74%, which is greater than VTAPX's maximum drawdown of -5.33%. Use the drawdown chart below to compare losses from any high point for RFEU and VTAPX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.93%
-0.43%
RFEU
VTAPX

Volatility

RFEU vs. VTAPX - Volatility Comparison

First Trust RiverFront Dynamic Europe ETF (RFEU) has a higher volatility of 4.74% compared to Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares (VTAPX) at 0.48%. This indicates that RFEU's price experiences larger fluctuations and is considered to be riskier than VTAPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.74%
0.48%
RFEU
VTAPX