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

Performance

FTSL vs. AVUV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Senior Loan Fund (FTSL) and Avantis U.S. Small Cap Value ETF (AVUV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
11.71%
FTSL
AVUV

Returns By Period

In the year-to-date period, FTSL achieves a 7.52% return, which is significantly lower than AVUV's 13.81% return.


FTSL

YTD

7.52%

1M

1.20%

6M

4.31%

1Y

9.34%

5Y (annualized)

4.95%

10Y (annualized)

4.11%

AVUV

YTD

13.81%

1M

4.94%

6M

10.37%

1Y

29.33%

5Y (annualized)

16.23%

10Y (annualized)

N/A

Key characteristics


FTSLAVUV
Sharpe Ratio4.791.31
Sortino Ratio7.302.01
Omega Ratio2.271.25
Calmar Ratio8.562.53
Martin Ratio58.736.63
Ulcer Index0.16%4.19%
Daily Std Dev1.94%21.10%
Max Drawdown-22.67%-49.42%
Current Drawdown0.00%-3.72%

Compare stocks, funds, or ETFs

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


FTSL vs. AVUV - Expense Ratio Comparison

FTSL has a 0.86% expense ratio, which is higher than AVUV's 0.25% expense ratio.


FTSL
First Trust Senior Loan Fund
Expense ratio chart for FTSL: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
Expense ratio chart for AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.4

The correlation between FTSL and AVUV is 0.44, 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

FTSL vs. AVUV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and Avantis U.S. Small Cap Value ETF (AVUV). 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 FTSL, currently valued at 4.79, compared to the broader market0.002.004.004.791.31
The chart of Sortino ratio for FTSL, currently valued at 7.30, compared to the broader market-2.000.002.004.006.008.0010.0012.007.302.01
The chart of Omega ratio for FTSL, currently valued at 2.27, compared to the broader market0.501.001.502.002.503.002.271.25
The chart of Calmar ratio for FTSL, currently valued at 8.56, compared to the broader market0.005.0010.0015.008.562.53
The chart of Martin ratio for FTSL, currently valued at 58.73, compared to the broader market0.0020.0040.0060.0080.00100.0058.736.63
FTSL
AVUV

The current FTSL Sharpe Ratio is 4.79, which is higher than the AVUV Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of FTSL and AVUV, 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 Ratio0.001.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.79
1.31
FTSL
AVUV

Dividends

FTSL vs. AVUV - Dividend Comparison

FTSL's dividend yield for the trailing twelve months is around 6.98%, more than AVUV's 1.55% yield.


TTM20232022202120202019201820172016201520142013
FTSL
First Trust Senior Loan Fund
6.98%7.59%4.77%3.18%3.48%4.45%4.29%3.64%3.70%3.95%3.75%2.64%
AVUV
Avantis U.S. Small Cap Value ETF
1.55%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FTSL vs. AVUV - Drawdown Comparison

The maximum FTSL drawdown since its inception was -22.67%, smaller than the maximum AVUV drawdown of -49.42%. Use the drawdown chart below to compare losses from any high point for FTSL and AVUV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.72%
FTSL
AVUV

Volatility

FTSL vs. AVUV - Volatility Comparison

The current volatility for First Trust Senior Loan Fund (FTSL) is 0.49%, while Avantis U.S. Small Cap Value ETF (AVUV) has a volatility of 8.43%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than AVUV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
0.49%
8.43%
FTSL
AVUV