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

Key characteristics


FTXHVOO
YTD Return10.58%27.26%
1Y Return22.34%37.86%
3Y Return (Ann)3.79%10.35%
5Y Return (Ann)7.84%16.03%
Sharpe Ratio1.873.25
Sortino Ratio2.674.31
Omega Ratio1.331.61
Calmar Ratio1.664.74
Martin Ratio6.9121.63
Ulcer Index3.31%1.85%
Daily Std Dev12.30%12.25%
Max Drawdown-32.11%-33.99%
Current Drawdown-1.47%0.00%

Correlation

-0.50.00.51.00.5

The correlation between FTXH and VOO is 0.53, 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

FTXH vs. VOO - Performance Comparison

In the year-to-date period, FTXH achieves a 10.58% return, which is significantly lower than VOO's 27.26% 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
8.63%
15.18%
FTXH
VOO

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FTXH vs. VOO - Expense Ratio Comparison

FTXH has a 0.60% expense ratio, which is higher than VOO's 0.03% expense ratio.


FTXH
First Trust Nasdaq Pharmaceuticals ETF
Expense ratio chart for FTXH: 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 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

FTXH vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Nasdaq Pharmaceuticals ETF (FTXH) 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.


FTXH
Sharpe ratio
The chart of Sharpe ratio for FTXH, currently valued at 1.87, compared to the broader market-2.000.002.004.006.001.87
Sortino ratio
The chart of Sortino ratio for FTXH, currently valued at 2.67, compared to the broader market0.005.0010.002.67
Omega ratio
The chart of Omega ratio for FTXH, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for FTXH, currently valued at 1.66, compared to the broader market0.005.0010.0015.001.66
Martin ratio
The chart of Martin ratio for FTXH, currently valued at 6.91, compared to the broader market0.0020.0040.0060.0080.00100.006.91
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 market0.0020.0040.0060.0080.00100.0021.63

FTXH vs. VOO - Sharpe Ratio Comparison

The current FTXH Sharpe Ratio is 1.87, which is lower than the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of FTXH 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.87
3.25
FTXH
VOO

Dividends

FTXH vs. VOO - Dividend Comparison

FTXH's dividend yield for the trailing twelve months is around 1.52%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
FTXH
First Trust Nasdaq Pharmaceuticals ETF
1.52%1.56%1.10%1.03%0.82%0.67%0.92%2.18%0.19%0.00%0.00%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

FTXH vs. VOO - Drawdown Comparison

The maximum FTXH drawdown since its inception was -32.11%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FTXH and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.47%
0
FTXH
VOO

Volatility

FTXH vs. VOO - Volatility Comparison

The current volatility for First Trust Nasdaq Pharmaceuticals ETF (FTXH) is 3.14%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.92%. This indicates that FTXH 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.14%
3.92%
FTXH
VOO