Collateralized Loan Obligation

The chart shows the growth of an initial investment of $10,000 in Collateralized Loan Obligation, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

Based on dividend-adjusted daily data since Sep 10, 2020, Collateralized Loan Obligation's average daily return is +0.02%, while the average monthly return is +0.33%. At this rate, an investment would double in approximately 17.5 years.

Historically, 83% of months were positive and 17% were negative. The best month was Nov 2022 with a return of +1.2%, while the worst month was May 2022 at -1.3%. The longest winning streak lasted 29 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Collateralized Loan Obligation closed higher 50% of trading days. The best single day was Apr 8, 2025 with a return of +1.4%, while the worst single day was Apr 7, 2025 at -1.8%.

Collateralized Loan Obligation has an annualized alpha of 4.06%, beta of 0.01, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since September 10, 2020.

• This portfolio captured 8.18% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -7.61%) - a profile typical of hedging or uncorrelated assets.
• Beta of 0.01 may look defensive, but with R2 of 0.00 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R2 of 0.00 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Collateralized Loan Obligation has an expense ratio of 0.25%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Collateralized Loan Obligation ranks 82 for risk / return — in the top 82% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The table below presents risk-adjusted performance metrics for Collateralized Loan Obligation and compares them with S&P 500 Index.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Collateralized Loan Obligation Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

• 1-Year: 2.25
• 5-Year: 2.04
• All Time: 1.92

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.62 to 2.49, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Collateralized Loan Obligation compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Collateralized Loan Obligation provided a 4.90% dividend yield over the last twelve months.

The table below shows the monthly dividends paid by this portfolio.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the Collateralized Loan Obligation. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Collateralized Loan Obligation was 2.63%, occurring on Jul 6, 2022. Recovery took 123 trading sessions.

The current Collateralized Loan Obligation drawdown is 0.24%.

The chart below shows the rolling one-month volatility.