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FTLS vs. VOO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

FTLS vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Long/Short Equity ETF (FTLS) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FTLS achieves a 5.55% return, which is significantly lower than VOO's 9.75% return. Over the past 10 years, FTLS has underperformed VOO with an annualized return of 10.02%, while VOO has yielded a comparatively higher 15.77% annualized return.


FTLS

1D
0.48%
1M
0.28%
YTD
5.55%
6M
5.16%
1Y
16.53%
3Y*
14.35%
5Y*
10.26%
10Y*
10.02%

VOO

1D
-0.29%
1M
0.08%
YTD
9.75%
6M
9.30%
1Y
26.77%
3Y*
21.36%
5Y*
13.58%
10Y*
15.77%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FTLS vs. VOO - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
FTLS
First Trust Long/Short Equity ETF
5.55%9.09%18.80%16.94%-5.56%19.65%2.56%16.16%-4.81%14.41%
VOO
Vanguard S&P 500 ETF
9.75%17.82%24.98%26.32%-18.17%28.79%18.32%31.37%-4.50%21.77%

Correlation

The correlation between FTLS and VOO is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.76

Correlation (3Y)
Calculated over the trailing 3-year period

0.77

Correlation (5Y)
Calculated over the trailing 5-year period

0.78

Correlation (10Y)
Calculated over the trailing 10-year period

0.81

Correlation (All Time)
Calculated using the full available price history since Sep 10, 2014

0.81

The correlation between FTLS and VOO has been stable across timeframes, ranging from 0.76 to 0.81 - a consistent structural relationship.

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Return for Risk

FTLS vs. VOO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FTLS
FTLS Risk / Return Rank: 6969
Overall Rank
FTLS Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
FTLS Sortino Ratio Rank: 6464
Sortino Ratio Rank
FTLS Omega Ratio Rank: 6161
Omega Ratio Rank
FTLS Calmar Ratio Rank: 8484
Calmar Ratio Rank
FTLS Martin Ratio Rank: 7575
Martin Ratio Rank

VOO
VOO Risk / Return Rank: 6868
Overall Rank
VOO Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
VOO Sortino Ratio Rank: 6767
Sortino Ratio Rank
VOO Omega Ratio Rank: 6969
Omega Ratio Rank
VOO Calmar Ratio Rank: 6363
Calmar Ratio Rank
VOO Martin Ratio Rank: 7474
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FTLS vs. VOO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Long/Short Equity ETF (FTLS) 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.

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.


FTLSVOODifference
Sharpe ratioReturn per unit of total volatility

-0.19

Sortino ratioReturn per unit of downside risk

-0.07

Omega ratioGain probability vs. loss probability

1.36

1.39

-0.03

Calmar ratioReturn relative to maximum drawdown

4.39

3.02

+1.37

Martin ratioReturn relative to average drawdown

13.59

13.58

+0.01

FTLS vs. VOO - Sharpe Ratio Comparison

The current FTLS Sharpe Ratio is 1.99, which is comparable to the VOO Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of FTLS and VOO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

FTLS vs. VOO - Drawdown Comparison

The maximum FTLS drawdown since its inception was -20.54%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FTLS and VOO.


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Drawdown Indicators


FTLSVOODifference

Max Drawdown

Largest peak-to-trough decline

-20.54%

-33.99%

+13.45%

Max Drawdown (1Y)

Largest decline over 1 year

-3.79%

-8.90%

+5.11%

Max Drawdown (3Y)

Largest decline over 3 years

-11.69%

-18.69%

+7.00%

Max Drawdown (5Y)

Largest decline over 5 years

-11.69%

-24.52%

+12.83%

Max Drawdown (10Y)

Largest decline over 10 years

-20.54%

-33.99%

+13.45%

Current Drawdown

Current decline from peak

-0.02%

-1.74%

+1.72%

Average Drawdown

Average peak-to-trough decline

-2.69%

-3.68%

+0.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.22%

1.98%

-0.76%

Volatility

FTLS vs. VOO - Volatility Comparison

The current volatility for First Trust Long/Short Equity ETF (FTLS) is 2.41%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.60%. This indicates that FTLS 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.


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Volatility by Period


FTLSVOODifference

Volatility (1M)

Calculated over the trailing 1-month period

2.41%

4.60%

-2.19%

Volatility (6M)

Calculated over the trailing 6-month period

5.91%

9.73%

-3.82%

Volatility (1Y)

Calculated over the trailing 1-year period

8.37%

12.39%

-4.02%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.57%

16.90%

-6.33%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

11.30%

18.05%

-6.75%

FTLS vs. VOO - Expense Ratio Comparison

FTLS has a 1.60% expense ratio, which is higher than VOO's 0.03% expense ratio.


Dividends

FTLS vs. VOO - Dividend Comparison

FTLS's dividend yield for the trailing twelve months is around 0.90%, less than VOO's 1.04% yield.


PositionTTM20252024202320222021202020192018201720162015
FTLS
First Trust Long/Short Equity ETF
0.90%1.07%1.50%1.49%0.81%0.01%0.44%0.83%0.87%0.43%1.04%0.49%
VOO
Vanguard S&P 500 ETF
1.04%1.13%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%

Frequently Asked Questions


FTLS and VOO have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VOO has higher volatility (4.60%) compared to FTLS (2.41%). In terms of maximum drawdown, FTLS dropped -20.54% vs VOO's -33.99%.

On 10-year performance, VOO leads with 15.77% vs 10.02% for FTLS. On fees, VOO is cheaper at 0.03% per year. On volatility, FTLS has been the lower-risk option at 2.41%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, VOO has performed better with a 15.77% return vs 10.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VOO is cheaper with a 0.03% expense ratio, compared with 1.60% for FTLS.

VOO has the higher dividend yield at 1.04%, compared with 0.90% for FTLS.

FTLS is categorized as Long-Short, while VOO is S&P 500. They also come from different issuers: First Trust and Vanguard. Their fees differ too: 1.60% for FTLS and 0.03% for VOO.

VOO currently has the higher Sharpe Ratio (2.17 vs 1.99), 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.

Portfolio Optimizer

Find the right allocation for FTLS and VOO

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