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

Key characteristics


HYLSVTV
YTD Return6.16%22.01%
1Y Return12.83%33.46%
3Y Return (Ann)2.02%10.03%
5Y Return (Ann)3.24%11.98%
10Y Return (Ann)3.88%10.75%
Sharpe Ratio2.973.39
Sortino Ratio4.514.76
Omega Ratio1.621.63
Calmar Ratio1.945.86
Martin Ratio18.3722.10
Ulcer Index0.72%1.58%
Daily Std Dev4.43%10.25%
Max Drawdown-22.99%-59.27%
Current Drawdown-0.07%0.00%

Correlation

-0.50.00.51.00.5

The correlation between HYLS and VTV is 0.51, 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. VTV - Performance Comparison

In the year-to-date period, HYLS achieves a 6.16% return, which is significantly lower than VTV's 22.01% return. Over the past 10 years, HYLS has underperformed VTV with an annualized return of 3.88%, while VTV has yielded a comparatively higher 10.75% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.46%
11.94%
HYLS
VTV

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HYLS vs. VTV - Expense Ratio Comparison

HYLS has a 1.01% expense ratio, which is higher than VTV's 0.04% 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 VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

HYLS vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Tactical High Yield ETF (HYLS) and Vanguard Value ETF (VTV). 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
VTV
Sharpe ratio
The chart of Sharpe ratio for VTV, currently valued at 3.39, compared to the broader market-2.000.002.004.006.003.39
Sortino ratio
The chart of Sortino ratio for VTV, currently valued at 4.76, compared to the broader market0.005.0010.004.76
Omega ratio
The chart of Omega ratio for VTV, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for VTV, currently valued at 5.86, compared to the broader market0.005.0010.0015.005.86
Martin ratio
The chart of Martin ratio for VTV, currently valued at 22.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.10

HYLS vs. VTV - Sharpe Ratio Comparison

The current HYLS Sharpe Ratio is 2.97, which is comparable to the VTV Sharpe Ratio of 3.39. The chart below compares the historical Sharpe Ratios of HYLS and VTV, 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
2.97
3.39
HYLS
VTV

Dividends

HYLS vs. VTV - Dividend Comparison

HYLS's dividend yield for the trailing twelve months is around 6.21%, more than VTV's 2.21% 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%
VTV
Vanguard Value ETF
2.21%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

HYLS vs. VTV - Drawdown Comparison

The maximum HYLS drawdown since its inception was -22.99%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for HYLS and VTV. For additional features, visit the drawdowns tool.


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

Volatility

HYLS vs. VTV - Volatility Comparison

The current volatility for First Trust Tactical High Yield ETF (HYLS) is 0.92%, while Vanguard Value ETF (VTV) has a volatility of 3.64%. This indicates that HYLS experiences smaller price fluctuations and is considered to be less risky than VTV 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%
3.64%
HYLS
VTV