FTSL vs. SCHP
Compare and contrast key facts about First Trust Senior Loan Fund (FTSL) and Schwab U.S. TIPS ETF (SCHP).
FTSL and SCHP 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. SCHP is a passively managed fund by Charles Schwab that tracks the performance of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). It was launched on Aug 5, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FTSL or SCHP.
Key characteristics
| FTSL | SCHP | |
|---|---|---|
| YTD Return | 7.28% | 3.02% |
| 1Y Return | 9.31% | 7.16% |
| 3Y Return (Ann) | 5.48% | -2.07% |
| 5Y Return (Ann) | 4.94% | 2.22% |
| 10Y Return (Ann) | 4.10% | 2.20% |
| Sharpe Ratio | 4.84 | 1.45 |
| Sortino Ratio | 7.36 | 2.16 |
| Omega Ratio | 2.28 | 1.26 |
| Calmar Ratio | 8.65 | 0.57 |
| Martin Ratio | 59.26 | 6.79 |
| Ulcer Index | 0.16% | 1.06% |
| Daily Std Dev | 1.95% | 5.00% |
| Max Drawdown | -22.67% | -14.26% |
| Current Drawdown | 0.00% | -6.34% |
Correlation
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.
Performance
FTSL vs. SCHP - Performance Comparison
In the year-to-date period, FTSL achieves a 7.28% return, which is significantly higher than SCHP's 3.02% return. Over the past 10 years, FTSL has outperformed SCHP with an annualized return of 4.10%, while SCHP has yielded a comparatively lower 2.20% 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. SCHP - Expense Ratio Comparison
FTSL has a 0.86% expense ratio, which is higher than SCHP's 0.05% expense ratio.
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.
Dividends
FTSL vs. SCHP - Dividend Comparison
FTSL's dividend yield for the trailing twelve months is around 7.63%, more than SCHP's 2.82% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FTSL First Trust Senior Loan Fund | 7.63% | 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 | 2.82% | 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.
Volatility
FTSL vs. SCHP - Volatility Comparison
The current volatility for First Trust Senior Loan Fund (FTSL) is 0.49%, while Schwab U.S. TIPS ETF (SCHP) has a volatility of 1.18%. 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.