HFRO vs. ZTR

Last updated Jun 23, 2026

HFRO (Highland Funds I - Highland Opportunities and Income Fund) and ZTR (Virtus Total Return Fund) are both Diversified Portfolio funds. Over the past 5 years, HFRO returned 2.45%/yr vs 3.75%/yr for ZTR. At a 0.24 correlation, their price movements are largely independent. HFRO charges 0.02%/yr vs 3.77%/yr for ZTR.

Performance

HFRO vs. ZTR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Highland Funds I - Highland Opportunities and Income Fund (HFRO) and Virtus Total Return Fund (ZTR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HFRO achieves a 27.35% return, which is significantly higher than ZTR's 11.62% return.

HFRO

• 1D: 0.82%
• 1M: 18.08%
• YTD: 27.35%
• 6M: 26.07%
• 1Y: 53.30%
• 3Y*: 1.36%
• 5Y*: 2.45%
• 10Y*: —

ZTR

• 1D: -0.15%
• 1M: 0.67%
• YTD: 11.62%
• 6M: 11.98%
• 1Y: 22.87%
• 3Y*: 15.08%
• 5Y*: 3.75%
• 10Y*: 6.86%

*Multi-year figures are annualized to reflect compound growth (CAGR)

HFRO vs. ZTR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HFRO Highland Funds I - Highland Opportunities and Income Fund	27.35%	25.08%	-27.17%	-16.97%	1.71%	16.33%	-8.42%	4.22%	-12.30%	1.01%
ZTR Virtus Total Return Fund	11.62%	18.63%	18.31%	-3.21%	-21.32%	20.57%	-11.78%	44.65%	-24.86%	1.47%

Correlation

The correlation between HFRO and ZTR is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.14
Correlation (3Y) Calculated over the trailing 3-year period	0.21
Correlation (5Y) Calculated over the trailing 5-year period	0.23
Correlation (All Time) Calculated using the full available price history since Nov 6, 2017	0.24

The correlation between HFRO and ZTR shifts across timeframes, from 0.14 (1 year) to 0.24 (all time), reflecting how their relationship changes across market environments.

Return for Risk

HFRO vs. ZTR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HFRO

HFRO Risk / Return Rank: 71
HFRO Sharpe Ratio Rank: 84
HFRO Sortino Ratio Rank: 76
HFRO Omega Ratio Rank: 76
HFRO Calmar Ratio Rank: 79
HFRO Martin Ratio Rank: 40

ZTR

ZTR Risk / Return Rank: 54
ZTR Sharpe Ratio Rank: 52
ZTR Sortino Ratio Rank: 52
ZTR Omega Ratio Rank: 47
ZTR Calmar Ratio Rank: 76
ZTR Martin Ratio Rank: 42

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HFRO vs. ZTR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Highland Funds I - Highland Opportunities and Income Fund (HFRO) and Virtus Total Return Fund (ZTR). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	HFRO	ZTR	Difference
Sharpe ratio: Return per unit of total volatility	2.52	1.98	+0.54
Sortino ratio: Return per unit of downside risk	3.32	2.78	+0.54
Omega ratio: Gain probability vs. loss probability	1.45	1.34	+0.11
Calmar ratio: Return relative to maximum drawdown	3.40	3.25	+0.15
Martin ratio: Return relative to average drawdown	8.23	8.57	-0.33

HFRO vs. ZTR - Sharpe Ratio Comparison

The current HFRO Sharpe Ratio is 2.52, which is comparable to the ZTR Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of HFRO and ZTR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HFRO vs. ZTR - Drawdown Comparison

The maximum HFRO drawdown since its inception was -52.79%, smaller than the maximum ZTR drawdown of -57.25%. Use the drawdown chart below to compare losses from any high point for HFRO and ZTR.

Drawdown Indicators

	HFRO	ZTR	Difference
Max Drawdown Largest peak-to-trough decline	-52.79%	-57.25%	+4.46%
Max Drawdown (1Y) Largest decline over 1 year	-15.74%	-7.07%	-8.67%
Max Drawdown (3Y) Largest decline over 3 years	-43.68%	-25.15%	-18.53%
Max Drawdown (5Y) Largest decline over 5 years	-52.79%	-42.64%	-10.15%
Max Drawdown (10Y) Largest decline over 10 years	—	-57.25%	—
Current Drawdown Current decline from peak	-14.49%	-2.46%	-12.03%
Average Drawdown Average peak-to-trough decline	-20.66%	-9.34%	-11.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.49%	2.68%	+3.81%

Volatility

HFRO vs. ZTR - Volatility Comparison

Highland Funds I - Highland Opportunities and Income Fund (HFRO) has a higher volatility of 6.58% compared to Virtus Total Return Fund (ZTR) at 3.31%. This indicates that HFRO's price experiences larger fluctuations and is considered to be riskier than ZTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HFRO	ZTR	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.58%	3.31%	+3.27%
Volatility (6M) Calculated over the trailing 6-month period	15.36%	9.09%	+6.27%
Volatility (1Y) Calculated over the trailing 1-year period	21.29%	11.64%	+9.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.51%	16.70%	+6.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.52%	21.62%	+0.90%

HFRO vs. ZTR - Expense Ratio Comparison

HFRO has a 0.02% expense ratio, which is lower than ZTR's 3.77% expense ratio.

Dividends

HFRO vs. ZTR - Dividend Comparison

HFRO's dividend yield for the trailing twelve months is around 6.26%, less than ZTR's 9.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HFRO Highland Funds I - Highland Opportunities and Income Fund	5.74%	7.73%	8.90%	12.02%	8.97%	8.41%	8.99%	7.43%	7.22%	0.99%	0.00%	0.00%
ZTR Virtus Total Return Fund	9.00%	9.52%	10.24%	15.25%	15.88%	10.96%	13.72%	11.89%	15.18%	13.85%	10.58%	9.11%

Frequently Asked Questions

Can I hold both HFRO and ZTR in my portfolio?

HFRO and ZTR have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HFRO or ZTR?

HFRO has higher volatility (6.58%) compared to ZTR (3.31%). In terms of maximum drawdown, HFRO dropped -52.79% vs ZTR's -57.25%.

Which has better risk-adjusted returns?

HFRO currently has the higher Sharpe Ratio (2.52 vs 1.98), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.