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SKYY vs. FDN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SKYYFDN
YTD Return36.11%27.75%
1Y Return55.44%48.39%
3Y Return (Ann)0.32%-1.32%
5Y Return (Ann)15.61%12.44%
10Y Return (Ann)15.93%14.41%
Sharpe Ratio2.562.57
Sortino Ratio3.193.28
Omega Ratio1.441.45
Calmar Ratio1.561.32
Martin Ratio16.5113.46
Ulcer Index3.32%3.57%
Daily Std Dev21.44%18.68%
Max Drawdown-53.20%-61.55%
Current Drawdown0.00%-5.52%

Correlation

-0.50.00.51.00.9

The correlation between SKYY and FDN is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

SKYY vs. FDN - Performance Comparison

In the year-to-date period, SKYY achieves a 36.11% return, which is significantly higher than FDN's 27.75% return. Over the past 10 years, SKYY has outperformed FDN with an annualized return of 15.93%, while FDN has yielded a comparatively lower 14.41% 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%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
26.17%
17.15%
SKYY
FDN

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SKYY vs. FDN - Expense Ratio Comparison

SKYY has a 0.60% expense ratio, which is higher than FDN's 0.52% expense ratio.


SKYY
First Trust ISE Cloud Computing Index Fund
Expense ratio chart for SKYY: 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%
Expense ratio chart for FDN: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%

Risk-Adjusted Performance

SKYY vs. FDN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust ISE Cloud Computing Index Fund (SKYY) and First Trust Dow Jones Internet Index (FDN). 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.


SKYY
Sharpe ratio
The chart of Sharpe ratio for SKYY, currently valued at 2.56, compared to the broader market-2.000.002.004.006.002.56
Sortino ratio
The chart of Sortino ratio for SKYY, currently valued at 3.19, compared to the broader market-2.000.002.004.006.008.0010.0012.003.19
Omega ratio
The chart of Omega ratio for SKYY, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for SKYY, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.56
Martin ratio
The chart of Martin ratio for SKYY, currently valued at 16.51, compared to the broader market0.0020.0040.0060.0080.00100.0016.51
FDN
Sharpe ratio
The chart of Sharpe ratio for FDN, currently valued at 2.57, compared to the broader market-2.000.002.004.006.002.57
Sortino ratio
The chart of Sortino ratio for FDN, currently valued at 3.28, compared to the broader market-2.000.002.004.006.008.0010.0012.003.28
Omega ratio
The chart of Omega ratio for FDN, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for FDN, currently valued at 1.32, compared to the broader market0.005.0010.0015.001.32
Martin ratio
The chart of Martin ratio for FDN, currently valued at 13.46, compared to the broader market0.0020.0040.0060.0080.00100.0013.46

SKYY vs. FDN - Sharpe Ratio Comparison

The current SKYY Sharpe Ratio is 2.56, which is comparable to the FDN Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of SKYY and FDN, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.56
2.57
SKYY
FDN

Dividends

SKYY vs. FDN - Dividend Comparison

Neither SKYY nor FDN has paid dividends to shareholders.


TTM2023202220212020201920182017201620152014
SKYY
First Trust ISE Cloud Computing Index Fund
0.00%0.00%0.23%0.78%0.17%0.54%0.95%0.27%0.35%0.41%0.17%
FDN
First Trust Dow Jones Internet Index
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SKYY vs. FDN - Drawdown Comparison

The maximum SKYY drawdown since its inception was -53.20%, smaller than the maximum FDN drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for SKYY and FDN. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-5.52%
SKYY
FDN

Volatility

SKYY vs. FDN - Volatility Comparison

First Trust ISE Cloud Computing Index Fund (SKYY) has a higher volatility of 6.55% compared to First Trust Dow Jones Internet Index (FDN) at 4.91%. This indicates that SKYY's price experiences larger fluctuations and is considered to be riskier than FDN 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
6.55%
4.91%
SKYY
FDN