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FTHI vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTHIVOO
YTD Return20.27%27.26%
1Y Return25.90%37.86%
3Y Return (Ann)10.69%10.35%
5Y Return (Ann)8.40%16.03%
10Y Return (Ann)7.90%13.45%
Sharpe Ratio3.263.25
Sortino Ratio4.394.31
Omega Ratio1.721.61
Calmar Ratio4.634.74
Martin Ratio26.5621.63
Ulcer Index1.01%1.85%
Daily Std Dev8.22%12.25%
Max Drawdown-32.65%-33.99%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between FTHI and VOO is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FTHI vs. VOO - Performance Comparison

In the year-to-date period, FTHI achieves a 20.27% return, which is significantly lower than VOO's 27.26% return. Over the past 10 years, FTHI has underperformed VOO with an annualized return of 7.90%, while VOO has yielded a comparatively higher 13.45% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.06%
15.18%
FTHI
VOO

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FTHI vs. VOO - Expense Ratio Comparison

FTHI has a 0.85% expense ratio, which is higher than VOO's 0.03% expense ratio.


FTHI
First Trust BuyWrite Income ETF
Expense ratio chart for FTHI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FTHI vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust BuyWrite Income ETF (FTHI) and Vanguard S&P 500 ETF (VOO). 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.


FTHI
Sharpe ratio
The chart of Sharpe ratio for FTHI, currently valued at 3.26, compared to the broader market-2.000.002.004.006.003.26
Sortino ratio
The chart of Sortino ratio for FTHI, currently valued at 4.39, compared to the broader market0.005.0010.004.39
Omega ratio
The chart of Omega ratio for FTHI, currently valued at 1.72, compared to the broader market1.001.502.002.503.001.72
Calmar ratio
The chart of Calmar ratio for FTHI, currently valued at 4.63, compared to the broader market0.005.0010.0015.004.63
Martin ratio
The chart of Martin ratio for FTHI, currently valued at 26.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.0026.56
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.63

FTHI vs. VOO - Sharpe Ratio Comparison

The current FTHI Sharpe Ratio is 3.26, which is comparable to the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of FTHI and VOO, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.26
3.25
FTHI
VOO

Dividends

FTHI vs. VOO - Dividend Comparison

FTHI's dividend yield for the trailing twelve months is around 8.23%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
FTHI
First Trust BuyWrite Income ETF
8.23%8.50%9.06%4.37%4.76%4.21%4.76%4.02%4.43%4.98%3.96%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FTHI vs. VOO - Drawdown Comparison

The maximum FTHI drawdown since its inception was -32.65%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FTHI and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
FTHI
VOO

Volatility

FTHI vs. VOO - Volatility Comparison

The current volatility for First Trust BuyWrite Income ETF (FTHI) is 2.73%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.92%. This indicates that FTHI experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.73%
3.92%
FTHI
VOO