FTSL vs. JNK
Compare and contrast key facts about First Trust Senior Loan Fund (FTSL) and SPDR Barclays High Yield Bond ETF (JNK).
FTSL and JNK are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FTSL is an actively managed fund by First Trust. It was launched on May 1, 2013. JNK is a passively managed fund by State Street that tracks the performance of the Barclays Capital High Yield Very Liquid Index. It was launched on Nov 28, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FTSL or JNK.
Key characteristics
| FTSL | JNK | |
|---|---|---|
| YTD Return | 7.26% | 8.27% |
| 1Y Return | 9.23% | 14.34% |
| 3Y Return (Ann) | 5.47% | 2.51% |
| 5Y Return (Ann) | 4.96% | 3.61% |
| 10Y Return (Ann) | 4.09% | 3.72% |
| Sharpe Ratio | 4.77 | 3.13 |
| Sortino Ratio | 7.27 | 4.90 |
| Omega Ratio | 2.26 | 1.62 |
| Calmar Ratio | 8.54 | 2.16 |
| Martin Ratio | 58.51 | 24.42 |
| Ulcer Index | 0.16% | 0.61% |
| Daily Std Dev | 1.94% | 4.76% |
| Max Drawdown | -22.67% | -38.48% |
| Current Drawdown | -0.02% | -0.06% |
Correlation
The correlation between FTSL and JNK is 0.40, 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
FTSL vs. JNK - Performance Comparison
In the year-to-date period, FTSL achieves a 7.26% return, which is significantly lower than JNK's 8.27% return. Over the past 10 years, FTSL has outperformed JNK with an annualized return of 4.09%, while JNK has yielded a comparatively lower 3.72% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FTSL vs. JNK - Expense Ratio Comparison
FTSL has a 0.86% expense ratio, which is higher than JNK's 0.40% expense ratio.
Risk-Adjusted Performance
FTSL vs. JNK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and SPDR Barclays High Yield Bond ETF (JNK). 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.
Dividends
FTSL vs. JNK - Dividend Comparison
FTSL's dividend yield for the trailing twelve months is around 7.64%, more than JNK's 6.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
JNK SPDR Barclays High Yield Bond ETF | 6.52% | 6.38% | 6.06% | 4.26% | 5.11% | 5.44% | 5.90% | 5.60% | 6.06% | 6.60% | 5.99% | 6.05% |
Drawdowns
FTSL vs. JNK - Drawdown Comparison
The maximum FTSL drawdown since its inception was -22.67%, smaller than the maximum JNK drawdown of -38.48%. Use the drawdown chart below to compare losses from any high point for FTSL and JNK. For additional features, visit the drawdowns tool.
Volatility
FTSL vs. JNK - Volatility Comparison
The current volatility for First Trust Senior Loan Fund (FTSL) is 0.49%, while SPDR Barclays High Yield Bond ETF (JNK) has a volatility of 1.11%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than JNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.