FTSL vs. SJNK
Compare and contrast key facts about First Trust Senior Loan Fund (FTSL) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK).
FTSL and SJNK 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. SJNK is a passively managed fund by State Street that tracks the performance of the Bloomberg US High Yield 350mn Cash Pay 2% Capped (0-5 Y). It was launched on Mar 15, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FTSL or SJNK.
Key characteristics
| FTSL | SJNK | |
|---|---|---|
| YTD Return | 7.26% | 8.02% |
| 1Y Return | 9.23% | 12.70% |
| 3Y Return (Ann) | 5.47% | 4.62% |
| 5Y Return (Ann) | 4.96% | 5.25% |
| 10Y Return (Ann) | 4.09% | 4.38% |
| Sharpe Ratio | 4.77 | 3.42 |
| Sortino Ratio | 7.27 | 5.45 |
| Omega Ratio | 2.26 | 1.71 |
| Calmar Ratio | 8.54 | 7.59 |
| Martin Ratio | 58.51 | 30.49 |
| Ulcer Index | 0.16% | 0.42% |
| Daily Std Dev | 1.94% | 3.71% |
| Max Drawdown | -22.67% | -19.74% |
| Current Drawdown | -0.02% | -0.47% |
Correlation
The correlation between FTSL and SJNK is 0.42, 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. SJNK - Performance Comparison
In the year-to-date period, FTSL achieves a 7.26% return, which is significantly lower than SJNK's 8.02% return. Over the past 10 years, FTSL has underperformed SJNK with an annualized return of 4.09%, while SJNK has yielded a comparatively higher 4.38% 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. SJNK - Expense Ratio Comparison
FTSL has a 0.86% expense ratio, which is higher than SJNK's 0.40% expense ratio.
Risk-Adjusted Performance
FTSL vs. SJNK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Senior Loan Fund (FTSL) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK). 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. SJNK - Dividend Comparison
FTSL's dividend yield for the trailing twelve months is around 7.64%, more than SJNK's 7.30% 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% |
SJNK SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 7.30% | 7.20% | 5.85% | 4.21% | 5.34% | 5.64% | 5.69% | 5.64% | 5.65% | 5.81% | 5.46% | 5.34% |
Drawdowns
FTSL vs. SJNK - Drawdown Comparison
The maximum FTSL drawdown since its inception was -22.67%, which is greater than SJNK's maximum drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for FTSL and SJNK. For additional features, visit the drawdowns tool.
Volatility
FTSL vs. SJNK - Volatility Comparison
The current volatility for First Trust Senior Loan Fund (FTSL) is 0.49%, while SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) has a volatility of 0.89%. This indicates that FTSL experiences smaller price fluctuations and is considered to be less risky than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.