Collateralized Loan Obligation
CLO, JAAA
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AAA AAF First Priority CLO Bond ETF | Corporate Bonds, Actively Managed | 100% |
Performance
Performance Chart
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.
The earliest data available for this chart is Sep 9, 2020, corresponding to the inception date of AAA
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.10% | -6.70% | -9.63% | 5.53% | 13.63% | 9.61% |
| Collateralized Loan Obligation | 0.39% | -0.19% | 1.63% | 4.86% | N/A | N/A |
| Portfolio components: | ||||||
AAA AAF First Priority CLO Bond ETF | 0.39% | -0.19% | 1.63% | 4.86% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of Collateralized Loan Obligation, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.57% | 0.41% | -0.52% | -0.06% | 0.39% | ||||||||
| 2024 | 0.89% | 0.57% | 0.36% | 0.60% | 0.49% | 0.48% | 0.63% | 0.50% | 0.50% | 0.54% | 0.68% | 0.39% | 6.85% |
| 2023 | 0.98% | 0.50% | 0.33% | 0.61% | 0.35% | 0.86% | 1.00% | 0.91% | 0.61% | 0.61% | 1.14% | 0.70% | 8.94% |
| 2022 | -0.04% | -0.41% | -0.18% | 0.09% | -1.33% | -0.50% | 0.16% | 0.69% | -0.52% | 0.22% | 1.18% | 0.82% | 0.15% |
| 2021 | 0.30% | -0.21% | 0.05% | -0.00% | -0.03% | 0.18% | 0.09% | 0.09% | 0.02% | 0.04% | 0.24% | 0.08% | 0.86% |
| 2020 | -0.44% | 0.01% | 0.49% | 0.26% | 0.32% |
Expense Ratio
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 95, Collateralized Loan Obligation is among the top 5% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AAA AAF First Priority CLO Bond ETF | 1.56 | 2.17 | 1.41 | 2.08 | 16.39 |
Dividends
Dividend yield
Collateralized Loan Obligation provided a 5.96% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|
| Portfolio | 5.96% | 6.17% | 6.11% | 2.78% | 1.06% | 0.32% |
| Portfolio components: | ||||||
AAA AAF First Priority CLO Bond ETF | 5.96% | 6.17% | 6.11% | 2.78% | 1.06% | 0.32% |
Monthly Dividends
The table below shows the monthly dividends paid by this portfolio.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | $0.12 | $0.09 | $0.11 | $0.00 | $0.32 | ||||||||
| 2024 | $0.12 | $0.13 | $0.14 | $0.12 | $0.15 | $0.13 | $0.15 | $0.13 | $0.13 | $0.13 | $0.11 | $0.12 | $1.55 |
| 2023 | $0.00 | $0.11 | $0.23 | $0.00 | $0.12 | $0.13 | $0.12 | $0.28 | $0.00 | $0.13 | $0.14 | $0.26 | $1.53 |
| 2022 | $0.00 | $0.02 | $0.02 | $0.02 | $0.03 | $0.04 | $0.04 | $0.06 | $0.08 | $0.07 | $0.09 | $0.21 | $0.68 |
| 2021 | $0.00 | $0.02 | $0.04 | $0.00 | $0.03 | $0.02 | $0.02 | $0.04 | $0.00 | $0.02 | $0.02 | $0.04 | $0.26 |
| 2020 | $0.01 | $0.02 | $0.05 | $0.08 |
Drawdowns
Drawdowns Chart
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.
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 2.63%, occurring on Jul 6, 2022. Recovery took 123 trading sessions.
The current Collateralized Loan Obligation drawdown is 0.90%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -2.63% | Dec 17, 2021 | 137 | Jul 6, 2022 | 123 | Dec 29, 2022 | 260 |
| -2.4% | Mar 7, 2025 | 22 | Apr 7, 2025 | — | — | — |
| -0.66% | Feb 23, 2023 | 19 | Mar 21, 2023 | 12 | Apr 6, 2023 | 31 |
| -0.66% | Sep 10, 2020 | 41 | Nov 5, 2020 | 11 | Nov 20, 2020 | 52 |
| -0.47% | Dec 1, 2023 | 1 | Dec 1, 2023 | 3 | Dec 6, 2023 | 4 |
Volatility
Volatility Chart
The current Collateralized Loan Obligation volatility is 2.71%, 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.
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 1 assets, with an effective number of assets of 1.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.