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

Performance

FTXO vs. TIME - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Nasdaq Bank ETF (FTXO) and Clockwise Core Equity & Innovation ETF (TIME). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
26.97%
13.27%
FTXO
TIME

Returns By Period

In the year-to-date period, FTXO achieves a 36.77% return, which is significantly lower than TIME's 42.26% return.


FTXO

YTD

36.77%

1M

9.78%

6M

26.97%

1Y

57.95%

5Y (annualized)

7.66%

10Y (annualized)

N/A

TIME

YTD

42.26%

1M

4.94%

6M

13.27%

1Y

54.55%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FTXOTIME
Sharpe Ratio2.423.03
Sortino Ratio3.543.81
Omega Ratio1.441.51
Calmar Ratio1.594.00
Martin Ratio15.7516.62
Ulcer Index3.81%3.31%
Daily Std Dev24.85%18.21%
Max Drawdown-55.26%-42.24%
Current Drawdown-0.85%-1.04%

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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for FTXO, currently valued at 2.42, compared to the broader market0.002.004.006.002.423.03
The chart of Sortino ratio for FTXO, currently valued at 3.54, compared to the broader market-2.000.002.004.006.008.0010.003.543.81
The chart of Omega ratio for FTXO, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.51
The chart of Calmar ratio for FTXO, currently valued at 1.66, compared to the broader market0.005.0010.0015.001.664.00
The chart of Martin ratio for FTXO, currently valued at 15.75, compared to the broader market0.0020.0040.0060.0080.00100.0015.7516.62
FTXO
TIME

The current FTXO Sharpe Ratio is 2.42, which is comparable to the TIME Sharpe Ratio of 3.03. 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
2.42
3.03
FTXO
TIME

Dividends

FTXO vs. TIME - Dividend Comparison

FTXO's dividend yield for the trailing twelve months is around 2.20%, less than TIME's 14.79% yield.


TTM20232022202120202019201820172016
FTXO
First Trust Nasdaq Bank ETF
2.20%3.20%2.94%1.64%2.74%2.54%3.52%1.09%0.17%
TIME
Clockwise Core Equity & Innovation ETF
14.79%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
-0.85%
-1.04%
FTXO
TIME

Volatility

FTXO vs. TIME - Volatility Comparison

First Trust Nasdaq Bank ETF (FTXO) has a higher volatility of 13.00% compared to Clockwise Core Equity & Innovation ETF (TIME) at 6.62%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
13.00%
6.62%
FTXO
TIME