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AFRAX vs. EIFAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AFRAXEIFAX
YTD Return6.10%7.53%
1Y Return8.57%11.18%
3Y Return (Ann)5.12%6.25%
5Y Return (Ann)4.96%5.67%
10Y Return (Ann)4.05%5.02%
Sharpe Ratio3.043.73
Sortino Ratio8.6410.89
Omega Ratio2.753.22
Calmar Ratio11.5813.99
Martin Ratio50.8362.93
Ulcer Index0.17%0.18%
Daily Std Dev2.82%3.00%
Max Drawdown-36.01%-38.15%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between AFRAX and EIFAX is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

AFRAX vs. EIFAX - Performance Comparison

In the year-to-date period, AFRAX achieves a 6.10% return, which is significantly lower than EIFAX's 7.53% return. Over the past 10 years, AFRAX has underperformed EIFAX with an annualized return of 4.05%, while EIFAX has yielded a comparatively higher 5.02% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%110.00%120.00%130.00%140.00%150.00%JuneJulyAugustSeptemberOctoberNovember
105.53%
149.66%
AFRAX
EIFAX

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AFRAX vs. EIFAX - Expense Ratio Comparison

AFRAX has a 1.04% expense ratio, which is higher than EIFAX's 0.47% expense ratio.


AFRAX
Invesco Floating Rate ESG Fund
Expense ratio chart for AFRAX: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
Expense ratio chart for EIFAX: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%

Risk-Adjusted Performance

AFRAX vs. EIFAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Floating Rate ESG Fund (AFRAX) and Eaton Vance Floating-Rate Advantage Fund (EIFAX). 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.


AFRAX
Sharpe ratio
The chart of Sharpe ratio for AFRAX, currently valued at 3.04, compared to the broader market0.002.004.003.04
Sortino ratio
The chart of Sortino ratio for AFRAX, currently valued at 8.64, compared to the broader market0.005.0010.008.64
Omega ratio
The chart of Omega ratio for AFRAX, currently valued at 2.75, compared to the broader market1.002.003.004.002.75
Calmar ratio
The chart of Calmar ratio for AFRAX, currently valued at 11.58, compared to the broader market0.005.0010.0015.0020.0011.58
Martin ratio
The chart of Martin ratio for AFRAX, currently valued at 50.83, compared to the broader market0.0020.0040.0060.0080.00100.0050.83
EIFAX
Sharpe ratio
The chart of Sharpe ratio for EIFAX, currently valued at 3.73, compared to the broader market0.002.004.003.73
Sortino ratio
The chart of Sortino ratio for EIFAX, currently valued at 10.89, compared to the broader market0.005.0010.0010.89
Omega ratio
The chart of Omega ratio for EIFAX, currently valued at 3.22, compared to the broader market1.002.003.004.003.22
Calmar ratio
The chart of Calmar ratio for EIFAX, currently valued at 13.99, compared to the broader market0.005.0010.0015.0020.0013.99
Martin ratio
The chart of Martin ratio for EIFAX, currently valued at 62.93, compared to the broader market0.0020.0040.0060.0080.00100.0062.93

AFRAX vs. EIFAX - Sharpe Ratio Comparison

The current AFRAX Sharpe Ratio is 3.04, which is comparable to the EIFAX Sharpe Ratio of 3.73. The chart below compares the historical Sharpe Ratios of AFRAX and EIFAX, 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 Ratio2.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
3.04
3.73
AFRAX
EIFAX

Dividends

AFRAX vs. EIFAX - Dividend Comparison

AFRAX's dividend yield for the trailing twelve months is around 9.17%, less than EIFAX's 9.46% yield.


TTM20232022202120202019201820172016201520142013
AFRAX
Invesco Floating Rate ESG Fund
9.17%8.62%6.89%3.84%4.13%5.52%4.59%4.02%4.43%5.24%4.40%4.21%
EIFAX
Eaton Vance Floating-Rate Advantage Fund
9.46%9.33%5.92%4.03%4.52%5.58%5.10%4.46%5.03%5.29%4.79%4.82%

Drawdowns

AFRAX vs. EIFAX - Drawdown Comparison

The maximum AFRAX drawdown since its inception was -36.01%, smaller than the maximum EIFAX drawdown of -38.15%. Use the drawdown chart below to compare losses from any high point for AFRAX and EIFAX. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
AFRAX
EIFAX

Volatility

AFRAX vs. EIFAX - Volatility Comparison

The current volatility for Invesco Floating Rate ESG Fund (AFRAX) is 0.49%, while Eaton Vance Floating-Rate Advantage Fund (EIFAX) has a volatility of 0.63%. This indicates that AFRAX experiences smaller price fluctuations and is considered to be less risky than EIFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%1.20%JuneJulyAugustSeptemberOctoberNovember
0.49%
0.63%
AFRAX
EIFAX