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FTSL vs. HYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTSLHYG
YTD Return7.26%8.47%
1Y Return9.23%14.53%
3Y Return (Ann)5.47%2.81%
5Y Return (Ann)4.96%3.61%
10Y Return (Ann)4.09%3.97%
Sharpe Ratio4.773.03
Sortino Ratio7.274.79
Omega Ratio2.261.60
Calmar Ratio8.542.32
Martin Ratio58.5123.48
Ulcer Index0.16%0.61%
Daily Std Dev1.94%4.76%
Max Drawdown-22.67%-34.24%
Current Drawdown-0.02%-0.51%

Correlation

-0.50.00.51.00.4

The correlation between FTSL and HYG is 0.39, 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.

Performance

FTSL vs. HYG - Performance Comparison

In the year-to-date period, FTSL achieves a 7.26% return, which is significantly lower than HYG's 8.47% return. Both investments have delivered pretty close results over the past 10 years, with FTSL having a 4.09% annualized return and HYG not far behind at 3.97%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.07%
6.74%
FTSL
HYG

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FTSL vs. HYG - Expense Ratio Comparison

FTSL has a 0.86% expense ratio, which is higher than HYG's 0.49% 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 HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

FTSL vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.


FTSL
Sharpe ratio
The chart of Sharpe ratio for FTSL, currently valued at 4.77, compared to the broader market-2.000.002.004.006.004.77
Sortino ratio
The chart of Sortino ratio for FTSL, currently valued at 7.27, compared to the broader market-2.000.002.004.006.008.0010.0012.007.27
Omega ratio
The chart of Omega ratio for FTSL, currently valued at 2.26, compared to the broader market1.001.502.002.503.002.26
Calmar ratio
The chart of Calmar ratio for FTSL, currently valued at 8.54, compared to the broader market0.005.0010.0015.008.54
Martin ratio
The chart of Martin ratio for FTSL, currently valued at 58.51, compared to the broader market0.0020.0040.0060.0080.00100.0058.51
HYG
Sharpe ratio
The chart of Sharpe ratio for HYG, currently valued at 3.03, compared to the broader market-2.000.002.004.006.003.03
Sortino ratio
The chart of Sortino ratio for HYG, currently valued at 4.79, compared to the broader market-2.000.002.004.006.008.0010.0012.004.79
Omega ratio
The chart of Omega ratio for HYG, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for HYG, currently valued at 2.32, compared to the broader market0.005.0010.0015.002.32
Martin ratio
The chart of Martin ratio for HYG, currently valued at 23.48, compared to the broader market0.0020.0040.0060.0080.00100.0023.48

FTSL vs. HYG - Sharpe Ratio Comparison

The current FTSL Sharpe Ratio is 4.77, which is higher than the HYG Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of FTSL and HYG, 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 Ratio2.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.77
3.03
FTSL
HYG

Dividends

FTSL vs. HYG - Dividend Comparison

FTSL's dividend yield for the trailing twelve months is around 7.64%, more than HYG's 5.89% yield.


TTM20232022202120202019201820172016201520142013
FTSL
First Trust Senior Loan Fund
7.64%7.59%4.77%3.18%3.48%4.45%4.29%3.64%3.70%3.95%3.75%2.64%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.89%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

FTSL vs. HYG - Drawdown Comparison

The maximum FTSL drawdown since its inception was -22.67%, smaller than the maximum HYG drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for FTSL and HYG. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
-0.51%
FTSL
HYG

Volatility

FTSL vs. HYG - Volatility Comparison

The current volatility for First Trust Senior Loan Fund (FTSL) is 0.49%, while iShares iBoxx $ High Yield Corporate Bond ETF (HYG) has a volatility of 1.13%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
0.49%
1.13%
FTSL
HYG