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Collateralized Loan Obligation

Last updated Feb 21, 2024

CLO, JAAA

Asset Allocation


AAA 100%BondBond
PositionCategory/SectorWeight
AAA
AAF First Priority CLO Bond ETF
Corporate Bonds, Actively Managed

100%

Performance

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 Quarterly


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
4.53%
13.39%
Collateralized Loan Obligation
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2020, corresponding to the inception date of AAA

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Collateralized Loan Obligation1.23%0.59%4.53%8.36%N/AN/A
AAA
AAF First Priority CLO Bond ETF
1.23%0.59%4.53%8.36%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.89%
20231.00%0.91%0.61%0.61%1.14%0.70%

Sharpe Ratio

The current Collateralized Loan Obligation Sharpe ratio is 4.81. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.004.81

The Sharpe ratio of Collateralized Loan Obligation is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.006.007.00SeptemberOctoberNovemberDecember2024February
4.81
1.75
Collateralized Loan Obligation
Benchmark (^GSPC)
Portfolio components

Dividend yield

Collateralized Loan Obligation granted a 6.09% dividend yield in the last twelve months.


TTM2023202220212020
Collateralized Loan Obligation6.09%6.11%2.78%1.05%0.32%
AAA
AAF First Priority CLO Bond ETF
6.09%6.11%2.78%1.05%0.32%

Expense Ratio

The Collateralized Loan Obligation has a high expense ratio of 0.25%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.25%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AAA
AAF First Priority CLO Bond ETF
4.81

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February0
-1.08%
Collateralized Loan Obligation
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

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 2.64%, occurring on Jul 6, 2022. Recovery took 123 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-2.64%Dec 17, 2021137Jul 6, 2022123Dec 29, 2022260
-0.66%Feb 23, 202319Mar 21, 202312Apr 6, 202331
-0.66%Sep 10, 202041Nov 5, 202011Nov 20, 202052
-0.47%Dec 1, 20231Dec 1, 20233Dec 6, 20234
-0.35%Jan 27, 202169May 5, 202162Aug 3, 2021131

Volatility Chart

The current Collateralized Loan Obligation volatility is 0.65%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%SeptemberOctoberNovemberDecember2024February
0.65%
3.37%
Collateralized Loan Obligation
Benchmark (^GSPC)
Portfolio components
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