First Trust Information Ratio
| FNX ETF | | | USD 139.22 0.59 0.43% |
The Information Ratio measures excess return (alpha) per unit of tracking error relative to a benchmark. Unlike the Sharpe Ratio, which uses total volatility, the Information Ratio isolates only the variability of the alpha component — the return attributable to active decisions rather than passive market exposure. Below is First Trust's current Information Ratio with peer comparisons and related risk metrics.
Current Information Ratio Value
First Trust carries a Information Ratio of 0.0592, consistent with positive but modest excess return per unit of tracking risk. First Trust has outperformed its benchmark, though the margin is limited relative to the tracking error incurred.
INFOR | = | ER[a] - ER[b]STD[a] |
| = | 0.0592 | |
Information Ratio Peers Comparison
First Trust's Information Ratio of 0.0592 falls below the 0.09 peer average. Values range from 0.0046 (First Trust Health) to 0.1388 (Vanguard Momentum Factor), with wide dispersion across the group. First Trust's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Information Ratio Relative To Other Indicators
The chart below plots Information Ratio against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Information Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
First Trust's Maximum Drawdown of
4.94 runs about
83.50 times its Information Ratio of
0.06 . This indicates Maximum Drawdown substantially exceeds Information Ratio for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Information Ratio currently stands at 0.0592. The Information Ratio for First Trust is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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