SOFR vs. FTSL
SOFR (Amplify Samsung SOFR ETF) and FTSL (First Trust Senior Loan Fund) are both exchange-traded funds - SOFR is a Multisector Bonds fund tracking the Secured Overnight Financing Rate, while FTSL is a Bank Loan fund actively managed by First Trust. SOFR is passively managed, while FTSL is actively managed. Over the past year, SOFR returned 3.78% vs 3.96% for FTSL. Their -0.04 correlation means they have often moved in opposite directions in the past. SOFR charges 0.20%/yr vs 0.70%/yr for FTSL.
Performance
SOFR vs. FTSL - Performance Comparison
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Returns By Period
In the year-to-date period, SOFR achieves a 2.06% return, which is significantly higher than FTSL's 1.33% return.
SOFR
- 1D
- -0.02%
- 1M
- 0.24%
- 6M
- 1.78%
- YTD
- 2.06%
- 1Y
- 3.78%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 4.11%
FTSL
- 1D
- 0.11%
- 1M
- 0.51%
- 6M
- 1.82%
- YTD
- 1.33%
- 1Y
- 3.96%
- 3Y*
- 6.74%
- 5Y*
- 5.15%
- 10Y*
- 4.42%
- ALL TIME*
- 4.00%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $8.60M | $10.00M | $9.63M | |
| $672.00K | $510.60K | $2.25M |
SOFR vs. FTSL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
SOFR Amplify Samsung SOFR ETF | 2.06% | 4.27% | 1.21% |
FTSL First Trust Senior Loan Fund | 1.33% | 5.98% | 2.51% |
Correlation
The correlation between SOFR and FTSL is -0.15, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.15 |
Correlation (All Time) Calculated using the full available price history since Sep 26, 2024 | -0.04 |
The correlation between SOFR and FTSL shifts across timeframes, from -0.15 (1 year) to -0.04 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SOFR vs. FTSL — Risk / Return Rank
SOFR
FTSL
SOFR vs. FTSL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Amplify Samsung SOFR ETF (SOFR) and First Trust Senior Loan Fund (FTSL). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SOFR | FTSL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.47 | ||
| Sortino ratioReturn per unit of downside risk | +3.45 | ||
| Omega ratioGain probability vs. loss probability | 2.99 | 1.41 | +1.58 |
| Calmar ratioReturn relative to maximum drawdown | 9.47 | 1.71 | +7.77 |
| Martin ratioReturn relative to average drawdown | 37.96 | 6.32 | +31.63 |
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Drawdowns
SOFR vs. FTSL - Drawdown Comparison
The maximum SOFR drawdown since its inception was -0.41%, smaller than the maximum FTSL drawdown of -22.67%. Use the drawdown chart below to compare losses from any high point for SOFR and FTSL.
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Drawdown Indicators
| SOFR | FTSL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.41% | -22.67% | +22.26% |
Max Drawdown (1Y)Largest decline over 1 year | -0.41% | -2.33% | +1.92% |
Max Drawdown (3Y)Largest decline over 3 years | — | -2.66% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -6.96% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -22.67% | — |
Current DrawdownCurrent decline from peak | -0.04% | 0.00% | -0.04% |
Average DrawdownAverage peak-to-trough decline | -0.03% | -0.75% | +0.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.10% | 0.63% | -0.53% |
Volatility
SOFR vs. FTSL - Volatility Comparison
The current volatility for Amplify Samsung SOFR ETF (SOFR) is 0.27%, while First Trust Senior Loan Fund (FTSL) has a volatility of 0.47%. This indicates that SOFR experiences smaller price fluctuations and is considered to be less risky than FTSL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOFR | FTSL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.27% | 0.47% | -0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 0.64% | 1.96% | -1.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.89% | 2.15% | -1.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.84% | 3.35% | -2.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.84% | 5.18% | -4.34% |
SOFR vs. FTSL - Expense Ratio Comparison
SOFR has a 0.20% expense ratio, which is lower than FTSL's 0.70% expense ratio.
Dividends
SOFR vs. FTSL - Dividend Comparison
SOFR's dividend yield for the trailing twelve months is around 3.83%, less than FTSL's 6.37% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FTSL First Trust Senior Loan Fund | 6.37% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
SOFR Amplify Samsung SOFR ETF | 3.83% | 4.22% | 1.60% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SOFR and FTSL have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FTSL has higher volatility (0.47%) compared to SOFR (0.27%). In terms of maximum drawdown, SOFR dropped -0.41% vs FTSL's -22.67%.
On 1-year performance, FTSL leads with 3.96% vs 3.78% for SOFR. On fees, SOFR is cheaper at 0.20% per year. On volatility, SOFR has been the lower-risk option at 0.27%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, FTSL has performed better with a 3.96% return vs 3.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SOFR is cheaper with a 0.20% expense ratio, compared with 0.70% for FTSL.
FTSL has the higher dividend yield at 6.37%, compared with 3.83% for SOFR.
SOFR is categorized as Multisector Bonds, while FTSL is Bank Loan. They also come from different issuers: Amplify and First Trust. Their fees differ too: 0.20% for SOFR and 0.70% for FTSL.
SOFR currently has the higher Sharpe Ratio (4.32 vs 1.85), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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