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

Key characteristics


PFLTSCHD
YTD Return1.66%13.75%
1Y Return26.51%29.24%
3Y Return (Ann)4.38%6.56%
5Y Return (Ann)10.78%12.61%
10Y Return (Ann)7.79%11.48%
Sharpe Ratio2.002.71
Sortino Ratio2.623.91
Omega Ratio1.371.48
Calmar Ratio1.582.52
Martin Ratio5.2115.22
Ulcer Index5.56%2.02%
Daily Std Dev14.48%11.34%
Max Drawdown-69.77%-33.37%
Current Drawdown-5.38%-2.50%

Correlation

-0.50.00.51.00.4

The correlation between PFLT and SCHD is 0.36, 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

PFLT vs. SCHD - Performance Comparison

In the year-to-date period, PFLT achieves a 1.66% return, which is significantly lower than SCHD's 13.75% return. Over the past 10 years, PFLT has underperformed SCHD with an annualized return of 7.79%, while SCHD has yielded a comparatively higher 11.48% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
4.37%
11.61%
PFLT
SCHD

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

PFLT vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PennantPark Floating Rate Capital Ltd. (PFLT) and Schwab US Dividend Equity ETF (SCHD). 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.


PFLT
Sharpe ratio
The chart of Sharpe ratio for PFLT, currently valued at 2.00, compared to the broader market-4.00-2.000.002.004.002.00
Sortino ratio
The chart of Sortino ratio for PFLT, currently valued at 2.62, compared to the broader market-4.00-2.000.002.004.006.002.62
Omega ratio
The chart of Omega ratio for PFLT, currently valued at 1.37, compared to the broader market0.501.001.502.001.37
Calmar ratio
The chart of Calmar ratio for PFLT, currently valued at 1.58, compared to the broader market0.002.004.006.001.58
Martin ratio
The chart of Martin ratio for PFLT, currently valued at 5.21, compared to the broader market-10.000.0010.0020.0030.005.21
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.71, compared to the broader market-4.00-2.000.002.004.002.71
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.91, compared to the broader market-4.00-2.000.002.004.006.003.91
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.48, compared to the broader market0.501.001.502.001.48
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.52, compared to the broader market0.002.004.006.002.52
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 15.22, compared to the broader market-10.000.0010.0020.0030.0015.22

PFLT vs. SCHD - Sharpe Ratio Comparison

The current PFLT Sharpe Ratio is 2.00, which is comparable to the SCHD Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of PFLT and SCHD, 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 Ratio0.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
2.00
2.71
PFLT
SCHD

Dividends

PFLT vs. SCHD - Dividend Comparison

PFLT's dividend yield for the trailing twelve months is around 10.93%, more than SCHD's 3.48% yield.


TTM20232022202120202019201820172016201520142013
PFLT
PennantPark Floating Rate Capital Ltd.
10.93%9.98%10.38%8.93%10.83%9.36%9.85%8.31%8.08%10.04%7.87%7.63%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

PFLT vs. SCHD - Drawdown Comparison

The maximum PFLT drawdown since its inception was -69.77%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for PFLT and SCHD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-5.38%
-2.50%
PFLT
SCHD

Volatility

PFLT vs. SCHD - Volatility Comparison

PennantPark Floating Rate Capital Ltd. (PFLT) has a higher volatility of 5.35% compared to Schwab US Dividend Equity ETF (SCHD) at 2.72%. This indicates that PFLT's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
5.35%
2.72%
PFLT
SCHD