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

Performance

UCON vs. FTSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust TCW Unconstrained Plus Bond ETF (UCON) and First Trust Enhanced Short Maturity ETF (FTSM). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
2.73%
UCON
FTSM

Returns By Period

In the year-to-date period, UCON achieves a 4.31% return, which is significantly lower than FTSM's 4.64% return.


UCON

YTD

4.31%

1M

-0.26%

6M

3.71%

1Y

7.78%

5Y (annualized)

2.79%

10Y (annualized)

N/A

FTSM

YTD

4.64%

1M

0.27%

6M

2.74%

1Y

5.51%

5Y (annualized)

2.41%

10Y (annualized)

1.95%

Key characteristics


UCONFTSM
Sharpe Ratio2.1110.89
Sortino Ratio3.1327.60
Omega Ratio1.426.08
Calmar Ratio3.3082.41
Martin Ratio10.34331.94
Ulcer Index0.73%0.02%
Daily Std Dev3.56%0.51%
Max Drawdown-15.31%-4.12%
Current Drawdown-1.27%-0.03%

Compare stocks, funds, or ETFs

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


UCON vs. FTSM - Expense Ratio Comparison

UCON has a 0.76% expense ratio, which is higher than FTSM's 0.25% expense ratio.


UCON
First Trust TCW Unconstrained Plus Bond ETF
Expense ratio chart for UCON: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
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%

Correlation

-0.50.00.51.00.3

The correlation between UCON and FTSM is 0.29, 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.

Risk-Adjusted Performance

UCON vs. FTSM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust TCW Unconstrained Plus Bond ETF (UCON) and First Trust Enhanced Short Maturity ETF (FTSM). 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 UCON, currently valued at 2.11, compared to the broader market0.002.004.002.1110.89
The chart of Sortino ratio for UCON, currently valued at 3.13, compared to the broader market-2.000.002.004.006.008.0010.0012.003.1327.60
The chart of Omega ratio for UCON, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.426.08
The chart of Calmar ratio for UCON, currently valued at 3.30, compared to the broader market0.005.0010.0015.003.3082.41
The chart of Martin ratio for UCON, currently valued at 10.34, compared to the broader market0.0020.0040.0060.0080.00100.0010.34331.94
UCON
FTSM

The current UCON Sharpe Ratio is 2.11, which is lower than the FTSM Sharpe Ratio of 10.89. The chart below compares the historical Sharpe Ratios of UCON and FTSM, 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 Ratio2.004.006.008.0010.0012.00JuneJulyAugustSeptemberOctoberNovember
2.11
10.89
UCON
FTSM

Dividends

UCON vs. FTSM - Dividend Comparison

UCON's dividend yield for the trailing twelve months is around 4.61%, less than FTSM's 4.95% yield.


TTM2023202220212020201920182017201620152014
UCON
First Trust TCW Unconstrained Plus Bond ETF
4.61%4.75%3.12%2.20%3.14%3.51%1.76%0.00%0.00%0.00%0.00%
FTSM
First Trust Enhanced Short Maturity ETF
4.95%4.62%1.62%0.39%1.20%2.38%2.15%1.38%1.03%0.48%0.19%

Drawdowns

UCON vs. FTSM - Drawdown Comparison

The maximum UCON drawdown since its inception was -15.31%, which is greater than FTSM's maximum drawdown of -4.12%. Use the drawdown chart below to compare losses from any high point for UCON and FTSM. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.27%
-0.03%
UCON
FTSM

Volatility

UCON vs. FTSM - Volatility Comparison

First Trust TCW Unconstrained Plus Bond ETF (UCON) has a higher volatility of 0.80% compared to First Trust Enhanced Short Maturity ETF (FTSM) at 0.13%. This indicates that UCON's price experiences larger fluctuations and is considered to be riskier than FTSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.20%0.40%0.60%0.80%1.00%1.20%JuneJulyAugustSeptemberOctoberNovember
0.80%
0.13%
UCON
FTSM