PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CLOA vs. LQDH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CLOALQDH
YTD Return6.19%7.11%
1Y Return7.81%10.38%
Sharpe Ratio9.653.66
Sortino Ratio17.255.57
Omega Ratio5.111.79
Calmar Ratio27.435.70
Martin Ratio237.9728.80
Ulcer Index0.03%0.36%
Daily Std Dev0.82%2.83%
Max Drawdown-1.34%-24.63%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.0-0.0

The correlation between CLOA and LQDH is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

CLOA vs. LQDH - Performance Comparison

In the year-to-date period, CLOA achieves a 6.19% return, which is significantly lower than LQDH's 7.11% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.30%
3.67%
CLOA
LQDH

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CLOA vs. LQDH - Expense Ratio Comparison

CLOA has a 0.20% expense ratio, which is lower than LQDH's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


LQDH
iShares Interest Rate Hedged Corporate Bond ETF
Expense ratio chart for LQDH: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for CLOA: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

CLOA vs. LQDH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock AAA CLO ETF (CLOA) and iShares Interest Rate Hedged Corporate Bond ETF (LQDH). 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.


CLOA
Sharpe ratio
The chart of Sharpe ratio for CLOA, currently valued at 9.65, compared to the broader market-2.000.002.004.006.009.65
Sortino ratio
The chart of Sortino ratio for CLOA, currently valued at 17.25, compared to the broader market-2.000.002.004.006.008.0010.0012.0017.25
Omega ratio
The chart of Omega ratio for CLOA, currently valued at 5.11, compared to the broader market1.001.502.002.503.005.11
Calmar ratio
The chart of Calmar ratio for CLOA, currently valued at 27.43, compared to the broader market0.005.0010.0015.0027.43
Martin ratio
The chart of Martin ratio for CLOA, currently valued at 237.97, compared to the broader market0.0020.0040.0060.0080.00100.00120.00237.97
LQDH
Sharpe ratio
The chart of Sharpe ratio for LQDH, currently valued at 3.66, compared to the broader market-2.000.002.004.006.003.66
Sortino ratio
The chart of Sortino ratio for LQDH, currently valued at 5.57, compared to the broader market-2.000.002.004.006.008.0010.0012.005.57
Omega ratio
The chart of Omega ratio for LQDH, currently valued at 1.79, compared to the broader market1.001.502.002.503.001.79
Calmar ratio
The chart of Calmar ratio for LQDH, currently valued at 5.70, compared to the broader market0.005.0010.0015.005.70
Martin ratio
The chart of Martin ratio for LQDH, currently valued at 28.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.80

CLOA vs. LQDH - Sharpe Ratio Comparison

The current CLOA Sharpe Ratio is 9.65, which is higher than the LQDH Sharpe Ratio of 3.66. The chart below compares the historical Sharpe Ratios of CLOA and LQDH, 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 Ratio2.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
9.65
3.66
CLOA
LQDH

Dividends

CLOA vs. LQDH - Dividend Comparison

CLOA's dividend yield for the trailing twelve months is around 6.14%, less than LQDH's 7.99% yield.


TTM2023202220212020201920182017201620152014
CLOA
BlackRock AAA CLO ETF
6.14%5.88%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LQDH
iShares Interest Rate Hedged Corporate Bond ETF
7.99%7.69%3.73%1.64%2.22%3.09%5.08%2.37%2.33%2.98%2.19%

Drawdowns

CLOA vs. LQDH - Drawdown Comparison

The maximum CLOA drawdown since its inception was -1.34%, smaller than the maximum LQDH drawdown of -24.63%. Use the drawdown chart below to compare losses from any high point for CLOA and LQDH. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember00
CLOA
LQDH

Volatility

CLOA vs. LQDH - Volatility Comparison

The current volatility for BlackRock AAA CLO ETF (CLOA) is 0.21%, while iShares Interest Rate Hedged Corporate Bond ETF (LQDH) has a volatility of 0.84%. This indicates that CLOA experiences smaller price fluctuations and is considered to be less risky than LQDH 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%1.40%JuneJulyAugustSeptemberOctoberNovember
0.21%
0.84%
CLOA
LQDH