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

Performance

HYLS vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Tactical High Yield ETF (HYLS) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.61%
11.84%
HYLS
VOO

Returns By Period

In the year-to-date period, HYLS achieves a 5.90% return, which is significantly lower than VOO's 25.48% return. Over the past 10 years, HYLS has underperformed VOO with an annualized return of 3.84%, while VOO has yielded a comparatively higher 13.15% annualized return.


HYLS

YTD

5.90%

1M

0.04%

6M

5.61%

1Y

10.99%

5Y (annualized)

3.16%

10Y (annualized)

3.84%

VOO

YTD

25.48%

1M

0.99%

6M

11.84%

1Y

31.84%

5Y (annualized)

15.62%

10Y (annualized)

13.15%

Key characteristics


HYLSVOO
Sharpe Ratio2.622.69
Sortino Ratio3.893.59
Omega Ratio1.531.50
Calmar Ratio2.043.89
Martin Ratio15.5917.64
Ulcer Index0.72%1.86%
Daily Std Dev4.27%12.20%
Max Drawdown-22.99%-33.99%
Current Drawdown-0.31%-1.40%

Compare stocks, funds, or ETFs

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


HYLS vs. VOO - Expense Ratio Comparison

HYLS has a 1.01% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.6

The correlation between HYLS and VOO is 0.56, 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

HYLS vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Tactical High Yield ETF (HYLS) and Vanguard S&P 500 ETF (VOO). 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 HYLS, currently valued at 2.62, compared to the broader market0.002.004.006.002.622.69
The chart of Sortino ratio for HYLS, currently valued at 3.89, compared to the broader market-2.000.002.004.006.008.0010.0012.003.893.59
The chart of Omega ratio for HYLS, currently valued at 1.53, compared to the broader market0.501.001.502.002.503.001.531.50
The chart of Calmar ratio for HYLS, currently valued at 2.04, compared to the broader market0.005.0010.0015.002.043.89
The chart of Martin ratio for HYLS, currently valued at 15.59, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.5917.64
HYLS
VOO

The current HYLS Sharpe Ratio is 2.62, which is comparable to the VOO Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of HYLS and VOO, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.62
2.69
HYLS
VOO

Dividends

HYLS vs. VOO - Dividend Comparison

HYLS's dividend yield for the trailing twelve months is around 6.22%, more than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
HYLS
First Trust Tactical High Yield ETF
6.22%5.98%7.38%5.48%5.09%5.17%5.81%5.53%5.37%6.11%5.78%5.10%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

HYLS vs. VOO - Drawdown Comparison

The maximum HYLS drawdown since its inception was -22.99%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for HYLS and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.31%
-1.40%
HYLS
VOO

Volatility

HYLS vs. VOO - Volatility Comparison

The current volatility for First Trust Tactical High Yield ETF (HYLS) is 0.89%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.10%. This indicates that HYLS experiences smaller price fluctuations and is considered to be less risky than VOO 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
0.89%
4.10%
HYLS
VOO