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

Key characteristics


HYLSSCHD
YTD Return6.16%18.08%
1Y Return12.83%30.78%
3Y Return (Ann)2.02%7.17%
5Y Return (Ann)3.24%13.03%
10Y Return (Ann)3.88%11.72%
Sharpe Ratio2.972.85
Sortino Ratio4.514.10
Omega Ratio1.621.51
Calmar Ratio1.943.16
Martin Ratio18.3715.75
Ulcer Index0.72%2.04%
Daily Std Dev4.43%11.24%
Max Drawdown-22.99%-33.37%
Current Drawdown-0.07%0.00%

Correlation

-0.50.00.51.00.5

The correlation between HYLS and SCHD is 0.49, 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. SCHD - Performance Comparison

In the year-to-date period, HYLS achieves a 6.16% return, which is significantly lower than SCHD's 18.08% return. Over the past 10 years, HYLS has underperformed SCHD with an annualized return of 3.88%, while SCHD has yielded a comparatively higher 11.72% annualized 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
6.46%
11.93%
HYLS
SCHD

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HYLS vs. SCHD - Expense Ratio Comparison

HYLS has a 1.01% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

HYLS vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Tactical High Yield ETF (HYLS) and Schwab US Dividend Equity ETF (SCHD). 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
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.85, compared to the broader market-2.000.002.004.006.002.85
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 4.10, compared to the broader market0.005.0010.004.10
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 3.16, compared to the broader market0.005.0010.0015.003.16
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 15.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.75

HYLS vs. SCHD - Sharpe Ratio Comparison

The current HYLS Sharpe Ratio is 2.97, which is comparable to the SCHD Sharpe Ratio of 2.85. The chart below compares the historical Sharpe Ratios of HYLS and SCHD, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.97
2.85
HYLS
SCHD

Dividends

HYLS vs. SCHD - Dividend Comparison

HYLS's dividend yield for the trailing twelve months is around 6.21%, more than SCHD's 3.35% 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%
SCHD
Schwab US Dividend Equity ETF
3.35%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

HYLS vs. SCHD - Drawdown Comparison

The maximum HYLS drawdown since its inception was -22.99%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for HYLS and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.07%
0
HYLS
SCHD

Volatility

HYLS vs. SCHD - Volatility Comparison

The current volatility for First Trust Tactical High Yield ETF (HYLS) is 0.92%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.41%. This indicates that HYLS experiences smaller price fluctuations and is considered to be less risky than SCHD 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%JuneJulyAugustSeptemberOctoberNovember
0.92%
3.41%
HYLS
SCHD