SDG vs. FAAR
SDG (iShares MSCI Global Sustainable Development Goals ETF) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both exchange-traded funds - SDG is a Global Equities fund tracking the MSCI ACWI Sustainable Development Index, while FAAR is a Commodities fund actively managed by First Trust. SDG is passively managed, while FAAR is actively managed. Over the past 10 years, SDG returned 8.80%/yr vs 4.79%/yr for FAAR. At a 0.07 correlation, their price movements are largely independent. SDG charges 0.50%/yr vs 0.95%/yr for FAAR.
Performance
SDG vs. FAAR - Performance Comparison
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Returns By Period
In the year-to-date period, SDG achieves a 7.33% return, which is significantly lower than FAAR's 20.23% return. Over the past 10 years, SDG has outperformed FAAR with an annualized return of 8.80%, while FAAR has yielded a comparatively lower 4.79% annualized return.
SDG
- 1D
- 0.08%
- 1M
- -0.84%
- YTD
- 7.33%
- 6M
- 7.12%
- 1Y
- 23.73%
- 3Y*
- 7.07%
- 5Y*
- 0.09%
- 10Y*
- 8.80%
FAAR
- 1D
- -0.05%
- 1M
- -4.34%
- YTD
- 20.23%
- 6M
- 19.92%
- 1Y
- 26.86%
- 3Y*
- 10.91%
- 5Y*
- 7.89%
- 10Y*
- 4.79%
SDG vs. FAAR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SDG iShares MSCI Global Sustainable Development Goals ETF | 7.33% | 20.19% | -10.09% | 4.59% | -11.51% | -1.20% | 44.36% | 25.38% | -8.32% | 27.28% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 20.23% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 8.60% | -1.28% | -9.17% | 5.00% |
Correlation
The correlation between SDG and FAAR is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since May 23, 2016 | 0.07 |
The correlation between SDG and FAAR shifts across timeframes, from -0.07 (1 year) to 0.07 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
SDG vs. FAAR — Risk / Return Rank
SDG
FAAR
SDG vs. FAAR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Sustainable Development Goals ETF (SDG) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SDG | FAAR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.42 | ||
| Sortino ratioReturn per unit of downside risk | -0.64 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.35 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.75 | 4.75 | -2.00 |
| Martin ratioReturn relative to average drawdown | 9.88 | 14.70 | -4.82 |
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Drawdowns
SDG vs. FAAR - Drawdown Comparison
The maximum SDG drawdown since its inception was -30.35%, which is greater than FAAR's maximum drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for SDG and FAAR.
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Drawdown Indicators
| SDG | FAAR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.35% | -18.03% | -12.32% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -5.68% | -3.00% |
Max Drawdown (3Y)Largest decline over 3 years | -22.92% | -11.54% | -11.38% |
Max Drawdown (5Y)Largest decline over 5 years | -30.35% | -18.03% | -12.32% |
Max Drawdown (10Y)Largest decline over 10 years | -30.35% | -18.03% | -12.32% |
Current DrawdownCurrent decline from peak | -2.95% | -5.43% | +2.48% |
Average DrawdownAverage peak-to-trough decline | -9.63% | -7.82% | -1.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 1.89% | +0.52% |
Volatility
SDG vs. FAAR - Volatility Comparison
iShares MSCI Global Sustainable Development Goals ETF (SDG) has a higher volatility of 5.68% compared to First Trust Alternative Absolute Return Strategy ETF (FAAR) at 2.47%. This indicates that SDG's price experiences larger fluctuations and is considered to be riskier than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SDG | FAAR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.68% | 2.47% | +3.21% |
Volatility (6M)Calculated over the trailing 6-month period | 11.87% | 9.68% | +2.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.92% | 13.37% | +1.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.76% | 12.95% | +2.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.71% | 11.53% | +5.18% |
SDG vs. FAAR - Expense Ratio Comparison
SDG has a 0.50% expense ratio, which is lower than FAAR's 0.95% expense ratio.
Dividends
SDG vs. FAAR - Dividend Comparison
SDG's dividend yield for the trailing twelve months is around 1.69%, less than FAAR's 9.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 9.57% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% | 0.00% |
SDG iShares MSCI Global Sustainable Development Goals ETF | 1.69% | 2.00% | 1.95% | 1.77% | 1.82% | 1.66% | 0.97% | 1.39% | 2.47% | 2.54% | 1.34% |
Frequently Asked Questions
SDG and FAAR have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SDG has higher volatility (5.68%) compared to FAAR (2.47%). In terms of maximum drawdown, SDG dropped -30.35% vs FAAR's -18.03%.
On 10-year performance, SDG leads with 8.80% vs 4.79% for FAAR. On fees, SDG is cheaper at 0.50% per year. On volatility, FAAR has been the lower-risk option at 2.47%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SDG has performed better with a 8.80% return vs 4.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SDG is cheaper with a 0.50% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 9.57%, compared with 1.69% for SDG.
SDG is categorized as Global Equities, while FAAR is Commodities. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.50% for SDG and 0.95% for FAAR.
FAAR currently has the higher Sharpe Ratio (2.02 vs 1.60), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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