First Trust Senior Loan Fund

10-Year Study

FTSL.US · · US · ETF

Executive Summary: First Trust Senior Loan Fund has compounded at 4.4% annually over the last 10 years, with a maximum drawdown of 12.3% and an annualized volatility of 6.0%.

1Y CAGR
+4.1%
3Y CAGR
+7.4%
5Y CAGR
+5.0%
10Y CAGR
+4.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
12.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.03
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.03
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
5.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +11.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -2.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-0.5-1.40.60.6————————-0.7%
20250.6-0.1-0.10.41.00.70.60.60.30.41.30.56.5%
20240.21.30.80.10.8-0.11.30.50.50.71.50.48.3%
20232.80.30.30.30.11.71.01.30.6-0.01.21.511.6%
2022-0.0-0.5-0.40.2-3.4-2.23.00.8-2.62.01.2-0.4-2.5%
20211.00.20.20.20.50.3-0.10.50.10.3-0.51.23.9%
20200.4-1.7-10.75.63.6-0.32.01.2-0.4-0.22.91.73.0%
20193.52.0-0.82.1-0.8-0.10.9-0.21.1-0.21.11.210.1%
20181.0-0.10.20.4-0.0-0.10.80.40.5-0.1-1.0-3.2-1.3%
20170.20.6-0.20.40.5-0.00.7-0.2-0.10.6-0.20.32.6%
2016———1.30.5-0.41.60.40.50.1-0.11.05.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 6.0%. The dominant macroeconomic risk driver is SHV.US, accounting for 57.8% of variance. Idiosyncratic stock-specific factors contribute 7.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110130.607747059681
2016-05-0110179.260778864347
2016-06-0110134.662166376736
2016-07-0110298.2250653212
2016-08-0110336.620762785282
2016-09-0110390.125236507794
2016-10-0110405.130053296554
2016-11-0110398.71921933369
2016-12-0110503.406405289457
2017-01-0110520.698330410918
2017-02-0110581.583926479863
2017-03-0110559.821744162677
2017-04-0110605.702523442862
2017-05-0110653.870411055743
2017-06-0110649.504113329684
2017-07-0110728.825188686436
2017-08-0110706.820434273359
2017-09-0110700.1670282146
2017-10-0110762.404097389233
2017-11-0110741.369631359721
2017-12-0110775.95348160264
2018-01-0110880.363442305961
2018-02-0110870.2447205916
2018-03-0110891.69502449978
2018-04-0110933.00158711457
2018-05-0110932.966933958014
2018-06-0110921.462085981413
2018-07-0111009.585063103399
2018-08-0111052.10448619765
2018-09-0111102.836707395678
2018-10-0111088.836832147043
2018-11-0110982.07045679791
2018-12-0110635.746810176941
2019-01-0111005.5652969429
2019-02-0111226.998967335938
2019-03-0111135.514634028013
2019-04-0111370.878873356576
2019-05-0111278.077720099524
2019-06-0111267.127322627819
2019-07-0111373.062022219605
2019-08-0111347.730564777145
2019-09-0111467.041382799558
2019-10-0111442.888132680007
2019-11-0111568.020681003834
2019-12-0111710.722379701569
2020-01-0111759.583330445572
2020-02-0111558.941553986153
2020-03-0110318.115977184363
2020-04-0110895.5415248775
2020-05-0111286.498437142638
2020-06-0111247.513636017105
2020-07-0111469.501756915037
2020-08-0111607.07478844248
2020-09-0111560.604905500843
2020-10-0111534.372465987928
2020-11-0111864.79031374968
2020-12-0112060.753914074034
2021-01-0112176.183578562173
2021-02-0112198.950702419485
2021-03-0112229.27221440601
2021-04-0112254.60367184847
2021-05-0112313.548691150278
2021-06-0112354.647334825728
2021-07-0112337.909860209167
2021-08-0112397.374676859314
2021-09-0112414.805214606999
2021-10-0112452.403889470292
2021-11-0112385.142112595036
2021-12-0112535.88334361377
2022-01-0112532.48733427128
2022-02-0112464.879025830462
2022-03-0112420.834863847747
2022-04-0112445.057420280415
2022-05-0112022.150297670616
2022-06-0111754.07347855316
2022-07-0112107.674288050897
2022-08-0112202.623937014423
2022-09-0111885.097063491514
2022-10-0112125.20878526825
2022-11-0112276.469813635325
2022-12-0112221.925745216133
2023-01-0112568.97710812478
2023-02-0112603.734224150478
2023-03-0112636.481457095928
2023-04-0112668.431667440587
2023-05-0112683.921628421132
2023-06-0112895.097964473585
2023-07-0113026.43342782094
2023-08-0113200.288314262545
2023-09-0113278.431182296397
2023-10-0113276.871790251374
2023-11-0113442.132693867086
2023-12-0113637.12600580787
2024-01-0113665.957432062487
2024-02-0113845.356823553057
2024-03-0113950.563806857168
2024-04-0113961.063713293644
2024-05-0114074.275575762196
2024-06-0114064.330119830614
2024-07-0114245.18494389654
2024-08-0114313.555621781588
2024-09-0114388.233174159835
2024-10-0114488.554062389545
2024-11-0114700.180889477224
2024-12-0114765.328823802562
2025-01-0114860.451738548865
2025-02-0114845.065737037989
2025-03-0114828.744100300097
2025-04-0114890.426718969833
2025-05-0115046.573842411306
2025-06-0115159.231254374963
2025-07-0115252.517551823796
2025-08-0115347.363241317653
2025-09-0115389.050988654559
2025-10-0115458.184035983839
2025-11-0115654.979312065538
2025-12-0115732.221198028928
2026-01-0115656.157519388444
2026-02-0115434.51593005607
2026-03-0115524.61413710175
2026-04-0115618.177659803032
Annual Return Matrix
YearAnnual Return
20170.025948446227495037
2018-0.013011068734202436
20190.10107194057083269
20200.029889832840643837
20210.03939467075812675
2022-0.02504471282891918
20230.11579192101913005
20240.0827302481119705
20250.06548397165850317
2026-0.007249042381897386
Total Factor Risk
0.05991277338056358
VTI.US Exposure
0.3382824548375466
VEA.US Exposure
0.025508479717219076
VWO.US Exposure
0.0017919464026501253
QQQ.US Exposure
-0.05124297686588963
VTV.US Exposure
-0.05634358367874025
IJR.US Exposure
-0.01504825479362533
QUAL.US Exposure
-0.036963127611228996
SHV.US Exposure
0.5780912659310585
TLT.US Exposure
-0.0039031508688070655
LQD.US Exposure
0.0020765174314775203
HYG.US Exposure
0.11014871755239794
GLD.US Exposure
-0.0005490176489862165
USO.US Exposure
0.0006205375458647382
VNQ.US Exposure
0.04528203070058273
BTC-USD.CC Exposure
0.004079294453316815
CPER.US Exposure
0.013214365732940327
VIX.INDX Exposure
-0.027231587445873697
UUP.US Exposure
0.000032359131807236214
TIP.US Exposure
0.00008182595475564866
Idiosyncratic Exposure
0.07207190352153384
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
79.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
6.0%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →6.64%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$165
Avg Yield on Cost
1.65%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$164.61.65%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.2% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.06
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Senior Loan Fund a high-risk investment?

First Trust Senior Loan Fund (FTSL.US) has an annualized volatility of 6.0% and experienced a maximum drawdown of 12.3% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of FTSL.US?

Over the past 10 years, FTSL.US has generated a Compound Annual Growth Rate (CAGR) of 4.4%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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