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EFR vs. SRLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFR and SRLN is 0.28, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

EFR vs. SRLN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Senior Floating-Rate Trust (EFR) and SPDR Blackstone Senior Loan ETF (SRLN). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
3.44%
4.68%
EFR
SRLN

Key characteristics

Sharpe Ratio

EFR:

1.57

SRLN:

4.52

Sortino Ratio

EFR:

2.06

SRLN:

6.73

Omega Ratio

EFR:

1.29

SRLN:

2.22

Calmar Ratio

EFR:

2.26

SRLN:

6.26

Martin Ratio

EFR:

9.62

SRLN:

50.01

Ulcer Index

EFR:

1.49%

SRLN:

0.17%

Daily Std Dev

EFR:

9.15%

SRLN:

1.89%

Max Drawdown

EFR:

-60.55%

SRLN:

-22.29%

Current Drawdown

EFR:

-0.82%

SRLN:

-0.20%

Returns By Period

In the year-to-date period, EFR achieves a 12.10% return, which is significantly higher than SRLN's 8.21% return. Over the past 10 years, EFR has outperformed SRLN with an annualized return of 7.12%, while SRLN has yielded a comparatively lower 4.03% annualized return.


EFR

YTD

12.10%

1M

0.48%

6M

3.68%

1Y

13.45%

5Y*

7.78%

10Y*

7.12%

SRLN

YTD

8.21%

1M

0.45%

6M

4.73%

1Y

8.31%

5Y*

4.29%

10Y*

4.03%

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Risk-Adjusted Performance

EFR vs. SRLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Senior Floating-Rate Trust (EFR) and SPDR Blackstone Senior Loan ETF (SRLN). 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 EFR, currently valued at 1.57, compared to the broader market-4.00-2.000.002.001.574.52
The chart of Sortino ratio for EFR, currently valued at 2.06, compared to the broader market-4.00-2.000.002.004.002.066.73
The chart of Omega ratio for EFR, currently valued at 1.29, compared to the broader market0.501.001.502.001.292.22
The chart of Calmar ratio for EFR, currently valued at 2.26, compared to the broader market0.002.004.006.002.266.26
The chart of Martin ratio for EFR, currently valued at 9.62, compared to the broader market-5.000.005.0010.0015.0020.0025.009.6250.01
EFR
SRLN

The current EFR Sharpe Ratio is 1.57, which is lower than the SRLN Sharpe Ratio of 4.52. The chart below compares the historical Sharpe Ratios of EFR and SRLN, 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 Ratio1.002.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
1.57
4.52
EFR
SRLN

Dividends

EFR vs. SRLN - Dividend Comparison

EFR's dividend yield for the trailing twelve months is around 10.63%, more than SRLN's 8.60% yield.


TTM20232022202120202019201820172016201520142013
EFR
Eaton Vance Senior Floating-Rate Trust
10.63%9.42%9.63%5.60%5.87%7.34%7.46%5.43%5.82%7.59%6.14%7.03%
SRLN
SPDR Blackstone Senior Loan ETF
8.60%8.44%5.72%4.45%4.91%5.39%4.98%4.01%3.94%4.43%3.66%1.91%

Drawdowns

EFR vs. SRLN - Drawdown Comparison

The maximum EFR drawdown since its inception was -60.55%, which is greater than SRLN's maximum drawdown of -22.29%. Use the drawdown chart below to compare losses from any high point for EFR and SRLN. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.82%
-0.20%
EFR
SRLN

Volatility

EFR vs. SRLN - Volatility Comparison

Eaton Vance Senior Floating-Rate Trust (EFR) has a higher volatility of 2.56% compared to SPDR Blackstone Senior Loan ETF (SRLN) at 0.45%. This indicates that EFR's price experiences larger fluctuations and is considered to be riskier than SRLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.56%
0.45%
EFR
SRLN
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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