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TOTL vs. BKLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TOTLBKLN
YTD Return3.88%7.53%
1Y Return10.47%9.91%
3Y Return (Ann)-1.03%5.85%
5Y Return (Ann)0.05%4.49%
Sharpe Ratio1.674.37
Sortino Ratio2.456.74
Omega Ratio1.332.21
Calmar Ratio0.796.11
Martin Ratio8.1151.74
Ulcer Index1.32%0.20%
Daily Std Dev6.43%2.32%
Max Drawdown-16.48%-24.17%
Current Drawdown-4.50%0.00%

Correlation

-0.50.00.51.00.0

The correlation between TOTL and BKLN is 0.03, 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

TOTL vs. BKLN - Performance Comparison

In the year-to-date period, TOTL achieves a 3.88% return, which is significantly lower than BKLN's 7.53% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.30%
4.48%
TOTL
BKLN

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TOTL vs. BKLN - Expense Ratio Comparison

TOTL has a 0.55% expense ratio, which is lower than BKLN's 0.65% expense ratio.


BKLN
Invesco Senior Loan ETF
Expense ratio chart for BKLN: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for TOTL: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

TOTL vs. BKLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR DoubleLine Total Return Tactical ETF (TOTL) and Invesco Senior Loan ETF (BKLN). 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.


TOTL
Sharpe ratio
The chart of Sharpe ratio for TOTL, currently valued at 1.67, compared to the broader market-2.000.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for TOTL, currently valued at 2.45, compared to the broader market0.005.0010.002.45
Omega ratio
The chart of Omega ratio for TOTL, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for TOTL, currently valued at 0.79, compared to the broader market0.005.0010.0015.000.79
Martin ratio
The chart of Martin ratio for TOTL, currently valued at 8.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.11
BKLN
Sharpe ratio
The chart of Sharpe ratio for BKLN, currently valued at 4.37, compared to the broader market-2.000.002.004.006.004.37
Sortino ratio
The chart of Sortino ratio for BKLN, currently valued at 6.74, compared to the broader market0.005.0010.006.74
Omega ratio
The chart of Omega ratio for BKLN, currently valued at 2.21, compared to the broader market1.001.502.002.503.002.21
Calmar ratio
The chart of Calmar ratio for BKLN, currently valued at 6.11, compared to the broader market0.005.0010.0015.006.11
Martin ratio
The chart of Martin ratio for BKLN, currently valued at 51.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0051.74

TOTL vs. BKLN - Sharpe Ratio Comparison

The current TOTL Sharpe Ratio is 1.67, which is lower than the BKLN Sharpe Ratio of 4.37. The chart below compares the historical Sharpe Ratios of TOTL and BKLN, 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 Ratio0.001.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.67
4.37
TOTL
BKLN

Dividends

TOTL vs. BKLN - Dividend Comparison

TOTL's dividend yield for the trailing twelve months is around 5.18%, less than BKLN's 8.63% yield.


TTM20232022202120202019201820172016201520142013
TOTL
SPDR DoubleLine Total Return Tactical ETF
5.18%4.85%4.68%3.07%2.91%3.31%3.41%2.99%3.25%2.67%0.00%0.00%
BKLN
Invesco Senior Loan ETF
8.63%8.59%4.93%3.11%3.56%4.86%4.51%3.51%4.55%4.11%4.12%4.39%

Drawdowns

TOTL vs. BKLN - Drawdown Comparison

The maximum TOTL drawdown since its inception was -16.48%, smaller than the maximum BKLN drawdown of -24.17%. Use the drawdown chart below to compare losses from any high point for TOTL and BKLN. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.50%
0
TOTL
BKLN

Volatility

TOTL vs. BKLN - Volatility Comparison

SPDR DoubleLine Total Return Tactical ETF (TOTL) has a higher volatility of 1.60% compared to Invesco Senior Loan ETF (BKLN) at 0.49%. This indicates that TOTL's price experiences larger fluctuations and is considered to be riskier than BKLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.60%
0.49%
TOTL
BKLN