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LBAY vs. FTLS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LBAYFTLS
YTD Return4.14%17.93%
1Y Return8.13%20.79%
3Y Return (Ann)6.61%9.59%
Sharpe Ratio0.952.28
Sortino Ratio1.383.21
Omega Ratio1.171.41
Calmar Ratio0.684.99
Martin Ratio3.8416.92
Ulcer Index2.47%1.31%
Daily Std Dev9.99%9.70%
Max Drawdown-15.99%-20.53%
Current Drawdown-6.90%-0.05%

Correlation

-0.50.00.51.00.4

The correlation between LBAY and FTLS is 0.45, 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

LBAY vs. FTLS - Performance Comparison

In the year-to-date period, LBAY achieves a 4.14% return, which is significantly lower than FTLS's 17.93% 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
-1.40%
7.49%
LBAY
FTLS

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LBAY vs. FTLS - Expense Ratio Comparison

LBAY has a 1.09% expense ratio, which is lower than FTLS's 1.60% expense ratio.


FTLS
First Trust Long/Short Equity ETF
Expense ratio chart for FTLS: current value at 1.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.60%
Expense ratio chart for LBAY: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%

Risk-Adjusted Performance

LBAY vs. FTLS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Leatherback Long/Short Alternative Yield ETF (LBAY) and First Trust Long/Short Equity ETF (FTLS). 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.


LBAY
Sharpe ratio
The chart of Sharpe ratio for LBAY, currently valued at 0.95, compared to the broader market-2.000.002.004.000.95
Sortino ratio
The chart of Sortino ratio for LBAY, currently valued at 1.38, compared to the broader market0.005.0010.001.38
Omega ratio
The chart of Omega ratio for LBAY, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for LBAY, currently valued at 0.68, compared to the broader market0.005.0010.0015.000.68
Martin ratio
The chart of Martin ratio for LBAY, currently valued at 3.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.84
FTLS
Sharpe ratio
The chart of Sharpe ratio for FTLS, currently valued at 2.28, compared to the broader market-2.000.002.004.002.28
Sortino ratio
The chart of Sortino ratio for FTLS, currently valued at 3.21, compared to the broader market0.005.0010.003.21
Omega ratio
The chart of Omega ratio for FTLS, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for FTLS, currently valued at 4.99, compared to the broader market0.005.0010.0015.004.99
Martin ratio
The chart of Martin ratio for FTLS, currently valued at 16.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.92

LBAY vs. FTLS - Sharpe Ratio Comparison

The current LBAY Sharpe Ratio is 0.95, which is lower than the FTLS Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of LBAY and FTLS, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.95
2.28
LBAY
FTLS

Dividends

LBAY vs. FTLS - Dividend Comparison

LBAY's dividend yield for the trailing twelve months is around 3.47%, more than FTLS's 1.52% yield.


TTM2023202220212020201920182017201620152014
LBAY
Leatherback Long/Short Alternative Yield ETF
3.47%3.47%2.74%2.96%0.29%0.00%0.00%0.00%0.00%0.00%0.00%
FTLS
First Trust Long/Short Equity ETF
1.52%1.49%0.81%0.01%0.44%0.83%0.87%0.43%1.04%0.49%0.51%

Drawdowns

LBAY vs. FTLS - Drawdown Comparison

The maximum LBAY drawdown since its inception was -15.99%, smaller than the maximum FTLS drawdown of -20.53%. Use the drawdown chart below to compare losses from any high point for LBAY and FTLS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.90%
-0.05%
LBAY
FTLS

Volatility

LBAY vs. FTLS - Volatility Comparison

Leatherback Long/Short Alternative Yield ETF (LBAY) has a higher volatility of 3.22% compared to First Trust Long/Short Equity ETF (FTLS) at 2.52%. This indicates that LBAY's price experiences larger fluctuations and is considered to be riskier than FTLS 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
3.22%
2.52%
LBAY
FTLS