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HYLS vs. RYLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYLSRYLD
YTD Return6.16%10.90%
1Y Return12.83%15.13%
3Y Return (Ann)2.02%-2.01%
5Y Return (Ann)3.24%3.72%
Sharpe Ratio2.971.57
Sortino Ratio4.512.24
Omega Ratio1.621.31
Calmar Ratio1.940.86
Martin Ratio18.379.32
Ulcer Index0.72%1.69%
Daily Std Dev4.43%10.08%
Max Drawdown-22.99%-41.53%
Current Drawdown-0.07%-6.04%

Correlation

-0.50.00.51.00.5

The correlation between HYLS and RYLD 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

HYLS vs. RYLD - Performance Comparison

In the year-to-date period, HYLS achieves a 6.16% return, which is significantly lower than RYLD's 10.90% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.46%
7.76%
HYLS
RYLD

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HYLS vs. RYLD - Expense Ratio Comparison

HYLS has a 1.01% expense ratio, which is higher than RYLD's 0.60% expense ratio.


HYLS
First Trust Tactical High Yield ETF
Expense ratio chart for HYLS: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
Expense ratio chart for RYLD: 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

HYLS vs. RYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Tactical High Yield ETF (HYLS) and Global X Russell 2000 Covered Call ETF (RYLD). 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.


HYLS
Sharpe ratio
The chart of Sharpe ratio for HYLS, currently valued at 2.97, compared to the broader market-2.000.002.004.006.002.97
Sortino ratio
The chart of Sortino ratio for HYLS, currently valued at 4.51, compared to the broader market0.005.0010.004.51
Omega ratio
The chart of Omega ratio for HYLS, currently valued at 1.62, compared to the broader market1.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for HYLS, currently valued at 1.94, compared to the broader market0.005.0010.0015.001.94
Martin ratio
The chart of Martin ratio for HYLS, currently valued at 18.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.37
RYLD
Sharpe ratio
The chart of Sharpe ratio for RYLD, currently valued at 1.57, compared to the broader market-2.000.002.004.006.001.57
Sortino ratio
The chart of Sortino ratio for RYLD, currently valued at 2.24, compared to the broader market0.005.0010.002.24
Omega ratio
The chart of Omega ratio for RYLD, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for RYLD, currently valued at 0.86, compared to the broader market0.005.0010.0015.000.86
Martin ratio
The chart of Martin ratio for RYLD, currently valued at 9.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.32

HYLS vs. RYLD - Sharpe Ratio Comparison

The current HYLS Sharpe Ratio is 2.97, which is higher than the RYLD Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of HYLS and RYLD, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.97
1.57
HYLS
RYLD

Dividends

HYLS vs. RYLD - Dividend Comparison

HYLS's dividend yield for the trailing twelve months is around 6.21%, less than RYLD's 11.73% yield.


TTM20232022202120202019201820172016201520142013
HYLS
First Trust Tactical High Yield ETF
6.21%5.98%7.38%5.48%5.09%5.17%5.81%5.53%5.37%6.11%5.78%5.10%
RYLD
Global X Russell 2000 Covered Call ETF
11.73%12.65%13.50%12.35%10.77%6.44%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

HYLS vs. RYLD - Drawdown Comparison

The maximum HYLS drawdown since its inception was -22.99%, smaller than the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for HYLS and RYLD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.07%
-6.04%
HYLS
RYLD

Volatility

HYLS vs. RYLD - Volatility Comparison

The current volatility for First Trust Tactical High Yield ETF (HYLS) is 0.92%, while Global X Russell 2000 Covered Call ETF (RYLD) has a volatility of 3.44%. This indicates that HYLS experiences smaller price fluctuations and is considered to be less risky than RYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.92%
3.44%
HYLS
RYLD