PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FTXH vs. XLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTXHXLV
YTD Return10.58%10.71%
1Y Return22.34%20.11%
3Y Return (Ann)3.79%5.38%
5Y Return (Ann)7.84%11.29%
Sharpe Ratio1.872.00
Sortino Ratio2.672.78
Omega Ratio1.331.37
Calmar Ratio1.662.21
Martin Ratio6.918.83
Ulcer Index3.31%2.36%
Daily Std Dev12.30%10.42%
Max Drawdown-32.11%-39.18%
Current Drawdown-1.47%-4.70%

Correlation

-0.50.00.51.00.7

The correlation between FTXH and XLV is 0.68, 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. XLV - Performance Comparison

The year-to-date returns for both investments are quite close, with FTXH having a 10.58% return and XLV slightly higher at 10.71%. 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%JuneJulyAugustSeptemberOctoberNovember
8.63%
4.43%
FTXH
XLV

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FTXH vs. XLV - Expense Ratio Comparison

FTXH has a 0.60% expense ratio, which is higher than XLV's 0.12% 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 XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

FTXH vs. XLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Nasdaq Pharmaceuticals ETF (FTXH) and Health Care Select Sector SPDR Fund (XLV). 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
XLV
Sharpe ratio
The chart of Sharpe ratio for XLV, currently valued at 2.00, compared to the broader market-2.000.002.004.006.002.00
Sortino ratio
The chart of Sortino ratio for XLV, currently valued at 2.78, compared to the broader market0.005.0010.002.78
Omega ratio
The chart of Omega ratio for XLV, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for XLV, currently valued at 2.21, compared to the broader market0.005.0010.0015.002.21
Martin ratio
The chart of Martin ratio for XLV, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.83

FTXH vs. XLV - Sharpe Ratio Comparison

The current FTXH Sharpe Ratio is 1.87, which is comparable to the XLV Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of FTXH and XLV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.87
2.00
FTXH
XLV

Dividends

FTXH vs. XLV - Dividend Comparison

FTXH's dividend yield for the trailing twelve months is around 1.52%, which matches XLV's 1.52% 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%
XLV
Health Care Select Sector SPDR Fund
1.52%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%1.52%

Drawdowns

FTXH vs. XLV - Drawdown Comparison

The maximum FTXH drawdown since its inception was -32.11%, smaller than the maximum XLV drawdown of -39.18%. Use the drawdown chart below to compare losses from any high point for FTXH and XLV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.47%
-4.70%
FTXH
XLV

Volatility

FTXH vs. XLV - Volatility Comparison

First Trust Nasdaq Pharmaceuticals ETF (FTXH) has a higher volatility of 3.14% compared to Health Care Select Sector SPDR Fund (XLV) at 2.89%. This indicates that FTXH's price experiences larger fluctuations and is considered to be riskier than XLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.14%
2.89%
FTXH
XLV