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

Performance

FTSL vs. SCHP - Performance Comparison

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

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.70%
2.81%
FTSL
SCHP

Returns By Period

In the year-to-date period, FTSL achieves a 6.94% return, which is significantly higher than SCHP's 2.55% return. Over the past 10 years, FTSL has outperformed SCHP with an annualized return of 4.03%, while SCHP has yielded a comparatively lower 2.15% annualized return.


FTSL

YTD

6.94%

1M

0.63%

6M

3.77%

1Y

8.66%

5Y (annualized)

4.84%

10Y (annualized)

4.03%

SCHP

YTD

2.55%

1M

-0.84%

6M

2.91%

1Y

5.64%

5Y (annualized)

2.00%

10Y (annualized)

2.15%

Key characteristics


FTSLSCHP
Sharpe Ratio4.331.17
Sortino Ratio6.311.74
Omega Ratio2.121.21
Calmar Ratio8.050.48
Martin Ratio54.024.96
Ulcer Index0.16%1.16%
Daily Std Dev2.02%4.91%
Max Drawdown-22.67%-14.26%
Current Drawdown-0.54%-6.77%

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FTSL vs. SCHP - Expense Ratio Comparison

FTSL has a 0.86% expense ratio, which is higher than SCHP's 0.05% 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 SCHP: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.1

The correlation between FTSL and SCHP is 0.06, 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. SCHP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and Schwab U.S. TIPS ETF (SCHP). 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 4.33, compared to the broader market0.002.004.004.331.17
The chart of Sortino ratio for FTSL, currently valued at 6.31, compared to the broader market-2.000.002.004.006.008.0010.006.311.74
The chart of Omega ratio for FTSL, currently valued at 2.12, compared to the broader market0.501.001.502.002.503.002.121.21
The chart of Calmar ratio for FTSL, currently valued at 8.05, compared to the broader market0.005.0010.0015.008.050.48
The chart of Martin ratio for FTSL, currently valued at 54.02, compared to the broader market0.0020.0040.0060.0080.00100.0054.024.96
FTSL
SCHP

The current FTSL Sharpe Ratio is 4.33, which is higher than the SCHP Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of FTSL and SCHP, 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
4.33
1.17
FTSL
SCHP

Dividends

FTSL vs. SCHP - Dividend Comparison

FTSL's dividend yield for the trailing twelve months is around 7.02%, more than SCHP's 2.84% 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%
SCHP
Schwab U.S. TIPS ETF
2.84%3.02%7.19%4.39%1.11%2.02%2.63%1.90%1.38%0.28%1.30%0.67%

Drawdowns

FTSL vs. SCHP - Drawdown Comparison

The maximum FTSL drawdown since its inception was -22.67%, which is greater than SCHP's maximum drawdown of -14.26%. Use the drawdown chart below to compare losses from any high point for FTSL and SCHP. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.54%
-6.77%
FTSL
SCHP

Volatility

FTSL vs. SCHP - Volatility Comparison

The current volatility for First Trust Senior Loan Fund (FTSL) is 0.77%, while Schwab U.S. TIPS ETF (SCHP) has a volatility of 1.05%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than SCHP 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
0.77%
1.05%
FTSL
SCHP