How to compare ETFs and funds in Analysis

By the end of this guide you will be able to put two or more ETFs or funds side by side over the same historical period and see which one returned more, which one swung less, and how closely they move together.

Step 1: add the instruments you want to compare

In Data Input, enter the ticker or ISIN for each fund you want to compare. The field recognizes the instrument and suggests the correct exchange and currency, handy when the same ETF trades under different tickers on different markets. Add Instrument opens a new row; if a fund isn't in the database, use Add Manual Instrument: in that case you'll need to manually import the historical series of the instrument you want to analyze. Set the Annual Risk-Free Rate before you run the analysis too, it feeds the Sharpe ratio and the other risk-adjusted metrics further down.

Unlike Backtest, there are no weights here. You aren't building a single portfolio, you're comparing instruments one against another over the same period. A global equity ETF that also covers emerging markets and one that tracks developed markets only, both with a low TER, stay two separate series through the whole analysis, never combined into one number.

Step 2: read the overview

Once the analysis runs, the Overview section lines up four figures per instrument: CAGR, volatility, Sharpe and maximum drawdown. Above the table you can switch the global period, from the last 12 months to the longest common history available, or set a custom one. Change the period and every figure below updates together.

Step 3: compare performance over time

The sections under Returns & Performance look at the same comparison from different angles. Normalized Performance rebases every instrument to the same starting point, useful to see who led along the whole path, not just at the finish line. Rolling Returns Analysis breaks the comparison down over moving windows, so you don't judge two funds on a single good or bad year. Further down you also get year-by-year returns and a quantitative analysis block over the same period.

Step 4: see who wins head-to-head

Comparisons is where the comparison turns direct. The head-to-head section ranks the instruments by win rate, how many times one beat the other over the chosen period: with two instruments the ranking says it all, from three up a pairwise matrix also appears, pitting every pair against each other. Just below, Risk-Adjusted Returns lines up Sharpe, Sortino and Calmar, while the correlation matrix shows how closely the instruments move together. Two funds with correlation near 1 add little real diversification, even if on paper they look like two different choices.

Go deeper

For the why, which metrics to look at first, and which mistakes to avoid when comparing different funds, see How to compare ETFs and funds.

Ready to try it with your own instruments? Go to ETF/Fund Analysis.

The content on this page is for educational purposes only and does not constitute financial advice, investment recommendation or promise of return. See the Financial Disclaimer.