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FTSM vs. PSDYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FTSM and PSDYX is 0.17, 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.


-0.50.00.51.00.2

Performance

FTSM vs. PSDYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Enhanced Short Maturity ETF (FTSM) and Putnam Ultra Short Duration Income Fund (PSDYX). The values are adjusted to include any dividend payments, if applicable.

19.00%20.00%21.00%22.00%23.00%24.00%JulyAugustSeptemberOctoberNovemberDecember
21.85%
23.76%
FTSM
PSDYX

Key characteristics

Sharpe Ratio

FTSM:

10.30

PSDYX:

3.62

Sortino Ratio

FTSM:

24.77

PSDYX:

13.97

Omega Ratio

FTSM:

5.48

PSDYX:

4.39

Calmar Ratio

FTSM:

78.46

PSDYX:

29.47

Martin Ratio

FTSM:

298.55

PSDYX:

81.16

Ulcer Index

FTSM:

0.02%

PSDYX:

0.07%

Daily Std Dev

FTSM:

0.51%

PSDYX:

1.62%

Max Drawdown

FTSM:

-4.12%

PSDYX:

-2.58%

Current Drawdown

FTSM:

0.00%

PSDYX:

-0.10%

Returns By Period

The year-to-date returns for both investments are quite close, with FTSM having a 5.07% return and PSDYX slightly higher at 5.27%. Over the past 10 years, FTSM has underperformed PSDYX with an annualized return of 2.00%, while PSDYX has yielded a comparatively higher 2.16% annualized return.


FTSM

YTD

5.07%

1M

0.42%

6M

2.67%

1Y

5.21%

5Y*

2.47%

10Y*

2.00%

PSDYX

YTD

5.27%

1M

0.43%

6M

2.94%

1Y

5.85%

5Y*

2.81%

10Y*

2.16%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FTSM vs. PSDYX - Expense Ratio Comparison

FTSM has a 0.25% expense ratio, which is lower than PSDYX's 0.30% expense ratio.


PSDYX
Putnam Ultra Short Duration Income Fund
Expense ratio chart for PSDYX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for FTSM: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

FTSM vs. PSDYX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Enhanced Short Maturity ETF (FTSM) and Putnam Ultra Short Duration Income Fund (PSDYX). 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 FTSM, currently valued at 10.30, compared to the broader market0.002.004.0010.303.62
The chart of Sortino ratio for FTSM, currently valued at 24.77, compared to the broader market-2.000.002.004.006.008.0010.0024.7713.97
The chart of Omega ratio for FTSM, currently valued at 5.48, compared to the broader market0.501.001.502.002.503.005.484.39
The chart of Calmar ratio for FTSM, currently valued at 78.46, compared to the broader market0.005.0010.0015.0078.4629.47
The chart of Martin ratio for FTSM, currently valued at 298.55, compared to the broader market0.0020.0040.0060.0080.00100.00298.5581.16
FTSM
PSDYX

The current FTSM Sharpe Ratio is 10.30, which is higher than the PSDYX Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of FTSM and PSDYX, 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 Ratio4.006.008.0010.0012.00JulyAugustSeptemberOctoberNovemberDecember
10.30
3.62
FTSM
PSDYX

Dividends

FTSM vs. PSDYX - Dividend Comparison

FTSM's dividend yield for the trailing twelve months is around 4.93%, less than PSDYX's 5.26% yield.


TTM20232022202120202019201820172016201520142013
FTSM
First Trust Enhanced Short Maturity ETF
4.93%4.62%1.62%0.39%1.20%2.38%2.15%1.38%1.03%0.48%0.19%0.00%
PSDYX
Putnam Ultra Short Duration Income Fund
5.26%4.85%1.77%0.38%1.09%2.52%2.21%1.27%0.89%0.57%0.63%0.69%

Drawdowns

FTSM vs. PSDYX - Drawdown Comparison

The maximum FTSM drawdown since its inception was -4.12%, which is greater than PSDYX's maximum drawdown of -2.58%. Use the drawdown chart below to compare losses from any high point for FTSM and PSDYX. For additional features, visit the drawdowns tool.


-0.20%-0.15%-0.10%-0.05%0.00%JulyAugustSeptemberOctoberNovemberDecember0
-0.10%
FTSM
PSDYX

Volatility

FTSM vs. PSDYX - Volatility Comparison

The current volatility for First Trust Enhanced Short Maturity ETF (FTSM) is 0.16%, while Putnam Ultra Short Duration Income Fund (PSDYX) has a volatility of 0.49%. This indicates that FTSM experiences smaller price fluctuations and is considered to be less risky than PSDYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%0.60%JulyAugustSeptemberOctoberNovemberDecember
0.16%
0.49%
FTSM
PSDYX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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