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FTXH vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


FTXH^GSPC
YTD Return8.79%25.45%
1Y Return20.51%35.64%
3Y Return (Ann)3.22%8.55%
5Y Return (Ann)7.49%14.13%
Sharpe Ratio1.642.90
Sortino Ratio2.363.87
Omega Ratio1.291.54
Calmar Ratio1.484.19
Martin Ratio6.1318.72
Ulcer Index3.32%1.90%
Daily Std Dev12.39%12.27%
Max Drawdown-32.11%-56.78%
Current Drawdown-3.06%-0.29%

Correlation

-0.50.00.51.00.5

The correlation between FTXH and ^GSPC 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. ^GSPC - Performance Comparison

In the year-to-date period, FTXH achieves a 8.79% return, which is significantly lower than ^GSPC's 25.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.65%
12.73%
FTXH
^GSPC

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Risk-Adjusted Performance

FTXH vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Nasdaq Pharmaceuticals ETF (FTXH) and S&P 500 (^GSPC). 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 1.64, compared to the broader market-2.000.002.004.006.001.64
Sortino ratio
The chart of Sortino ratio for FTXH, currently valued at 2.36, compared to the broader market-2.000.002.004.006.008.0010.0012.002.36
Omega ratio
The chart of Omega ratio for FTXH, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for FTXH, currently valued at 1.48, compared to the broader market0.005.0010.0015.001.48
Martin ratio
The chart of Martin ratio for FTXH, currently valued at 6.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.13
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market-2.000.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.008.0010.0012.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.72

FTXH vs. ^GSPC - Sharpe Ratio Comparison

The current FTXH Sharpe Ratio is 1.64, which is lower than the ^GSPC Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of FTXH and ^GSPC, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.64
2.90
FTXH
^GSPC

Drawdowns

FTXH vs. ^GSPC - Drawdown Comparison

The maximum FTXH drawdown since its inception was -32.11%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FTXH and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.06%
-0.29%
FTXH
^GSPC

Volatility

FTXH vs. ^GSPC - Volatility Comparison

The current volatility for First Trust Nasdaq Pharmaceuticals ETF (FTXH) is 3.56%, while S&P 500 (^GSPC) has a volatility of 3.86%. This indicates that FTXH experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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
3.56%
3.86%
FTXH
^GSPC