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

Performance

FTSL vs. PFFD - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.78%
7.12%
FTSL
PFFD

Returns By Period

In the year-to-date period, FTSL achieves a 7.01% return, which is significantly lower than PFFD's 10.54% return.


FTSL

YTD

7.01%

1M

0.76%

6M

3.77%

1Y

8.73%

5Y (annualized)

4.85%

10Y (annualized)

4.04%

PFFD

YTD

10.54%

1M

-0.67%

6M

7.12%

1Y

16.11%

5Y (annualized)

1.83%

10Y (annualized)

N/A

Key characteristics


FTSLPFFD
Sharpe Ratio4.321.87
Sortino Ratio6.292.64
Omega Ratio2.121.34
Calmar Ratio8.030.86
Martin Ratio53.009.65
Ulcer Index0.16%1.67%
Daily Std Dev2.02%8.64%
Max Drawdown-22.67%-30.93%
Current Drawdown-0.47%-5.82%

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. PFFD - Expense Ratio Comparison

FTSL has a 0.86% expense ratio, which is higher than PFFD's 0.23% 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 PFFD: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Correlation

-0.50.00.51.00.3

The correlation between FTSL and PFFD is 0.33, 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.

Risk-Adjusted Performance

FTSL vs. PFFD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and Global X U.S. Preferred ETF (PFFD). 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 4.32, compared to the broader market0.002.004.004.321.87
The chart of Sortino ratio for FTSL, currently valued at 6.29, compared to the broader market-2.000.002.004.006.008.0010.0012.006.292.64
The chart of Omega ratio for FTSL, currently valued at 2.12, compared to the broader market0.501.001.502.002.503.002.121.34
The chart of Calmar ratio for FTSL, currently valued at 8.03, compared to the broader market0.005.0010.0015.0020.008.030.86
The chart of Martin ratio for FTSL, currently valued at 53.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.0053.009.65
FTSL
PFFD

The current FTSL Sharpe Ratio is 4.32, which is higher than the PFFD Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of FTSL and PFFD, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.32
1.87
FTSL
PFFD

Dividends

FTSL vs. PFFD - Dividend Comparison

FTSL's dividend yield for the trailing twelve months is around 7.02%, more than PFFD's 6.18% yield.


TTM20232022202120202019201820172016201520142013
FTSL
First Trust Senior Loan Fund
7.02%7.59%4.77%3.18%3.48%4.45%4.29%3.64%3.70%3.95%3.75%2.64%
PFFD
Global X U.S. Preferred ETF
6.18%6.49%6.63%5.09%5.19%5.49%6.22%1.94%0.00%0.00%0.00%0.00%

Drawdowns

FTSL vs. PFFD - Drawdown Comparison

The maximum FTSL drawdown since its inception was -22.67%, smaller than the maximum PFFD drawdown of -30.93%. Use the drawdown chart below to compare losses from any high point for FTSL and PFFD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.47%
-5.82%
FTSL
PFFD

Volatility

FTSL vs. PFFD - Volatility Comparison

The current volatility for First Trust Senior Loan Fund (FTSL) is 0.77%, while Global X U.S. Preferred ETF (PFFD) has a volatility of 2.92%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than PFFD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
0.77%
2.92%
FTSL
PFFD