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

Key characteristics


FTXOTIME
YTD Return21.34%30.07%
1Y Return46.51%48.71%
Sharpe Ratio2.282.85
Sortino Ratio3.133.57
Omega Ratio1.381.49
Calmar Ratio1.212.78
Martin Ratio13.3115.28
Ulcer Index3.82%3.30%
Daily Std Dev22.19%17.68%
Max Drawdown-55.26%-42.24%
Current Drawdown-11.57%-5.29%

Correlation

-0.50.00.51.00.5

The correlation between FTXO and TIME is 0.52, 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

FTXO vs. TIME - Performance Comparison

In the year-to-date period, FTXO achieves a 21.34% return, which is significantly lower than TIME's 30.07% 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%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.94%
6.04%
FTXO
TIME

Compare stocks, funds, or ETFs

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


FTXO vs. TIME - Expense Ratio Comparison

FTXO has a 0.60% expense ratio, which is lower than TIME's 1.00% expense ratio.


TIME
Clockwise Core Equity & Innovation ETF
Expense ratio chart for TIME: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for FTXO: 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%

Risk-Adjusted Performance

FTXO vs. TIME - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Nasdaq Bank ETF (FTXO) and Clockwise Core Equity & Innovation ETF (TIME). 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.


FTXO
Sharpe ratio
The chart of Sharpe ratio for FTXO, currently valued at 2.28, compared to the broader market0.002.004.002.28
Sortino ratio
The chart of Sortino ratio for FTXO, currently valued at 3.13, compared to the broader market0.005.0010.003.13
Omega ratio
The chart of Omega ratio for FTXO, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for FTXO, currently valued at 1.26, compared to the broader market0.005.0010.0015.0020.001.26
Martin ratio
The chart of Martin ratio for FTXO, currently valued at 13.31, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.31
TIME
Sharpe ratio
The chart of Sharpe ratio for TIME, currently valued at 2.85, compared to the broader market0.002.004.002.85
Sortino ratio
The chart of Sortino ratio for TIME, currently valued at 3.57, compared to the broader market0.005.0010.003.57
Omega ratio
The chart of Omega ratio for TIME, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for TIME, currently valued at 2.78, compared to the broader market0.005.0010.0015.0020.002.78
Martin ratio
The chart of Martin ratio for TIME, currently valued at 15.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.28

FTXO vs. TIME - Sharpe Ratio Comparison

The current FTXO Sharpe Ratio is 2.28, which is comparable to the TIME Sharpe Ratio of 2.85. The chart below compares the historical Sharpe Ratios of FTXO and TIME, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.28
2.85
FTXO
TIME

Dividends

FTXO vs. TIME - Dividend Comparison

FTXO's dividend yield for the trailing twelve months is around 2.47%, less than TIME's 16.17% yield.


TTM20232022202120202019201820172016
FTXO
First Trust Nasdaq Bank ETF
2.47%3.20%2.94%1.64%2.74%2.53%3.51%1.09%0.16%
TIME
Clockwise Core Equity & Innovation ETF
16.17%21.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FTXO vs. TIME - Drawdown Comparison

The maximum FTXO drawdown since its inception was -55.26%, which is greater than TIME's maximum drawdown of -42.24%. Use the drawdown chart below to compare losses from any high point for FTXO and TIME. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.36%
-5.29%
FTXO
TIME

Volatility

FTXO vs. TIME - Volatility Comparison

First Trust Nasdaq Bank ETF (FTXO) has a higher volatility of 6.09% compared to Clockwise Core Equity & Innovation ETF (TIME) at 5.25%. This indicates that FTXO's price experiences larger fluctuations and is considered to be riskier than TIME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
6.09%
5.25%
FTXO
TIME