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CLOI vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CLOIGLD
YTD Return7.34%24.30%
1Y Return8.48%30.48%
Sharpe Ratio5.802.14
Sortino Ratio9.842.86
Omega Ratio2.741.37
Calmar Ratio19.674.10
Martin Ratio102.3913.62
Ulcer Index0.08%2.32%
Daily Std Dev1.47%14.79%
Max Drawdown-2.70%-45.56%
Current Drawdown0.00%-7.72%

Correlation

-0.50.00.51.00.0

The correlation between CLOI and GLD is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CLOI vs. GLD - Performance Comparison

In the year-to-date period, CLOI achieves a 7.34% return, which is significantly lower than GLD's 24.30% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.62%
7.58%
CLOI
GLD

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CLOI vs. GLD - Expense Ratio Comparison

Both CLOI and GLD have an expense ratio of 0.40%.


CLOI
VanEck CLO ETF
Expense ratio chart for CLOI: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

CLOI vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck CLO ETF (CLOI) and SPDR Gold Trust (GLD). 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.


CLOI
Sharpe ratio
The chart of Sharpe ratio for CLOI, currently valued at 5.80, compared to the broader market-2.000.002.004.005.80
Sortino ratio
The chart of Sortino ratio for CLOI, currently valued at 9.84, compared to the broader market-2.000.002.004.006.008.0010.0012.009.84
Omega ratio
The chart of Omega ratio for CLOI, currently valued at 2.74, compared to the broader market1.001.502.002.503.002.74
Calmar ratio
The chart of Calmar ratio for CLOI, currently valued at 19.67, compared to the broader market0.005.0010.0015.0019.67
Martin ratio
The chart of Martin ratio for CLOI, currently valued at 102.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.00102.39
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 2.14, compared to the broader market-2.000.002.004.002.14
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 2.86, compared to the broader market-2.000.002.004.006.008.0010.0012.002.86
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 4.10, compared to the broader market0.005.0010.0015.004.10
Martin ratio
The chart of Martin ratio for GLD, currently valued at 13.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.62

CLOI vs. GLD - Sharpe Ratio Comparison

The current CLOI Sharpe Ratio is 5.80, which is higher than the GLD Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of CLOI and GLD, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
5.80
2.14
CLOI
GLD

Dividends

CLOI vs. GLD - Dividend Comparison

CLOI's dividend yield for the trailing twelve months is around 6.39%, while GLD has not paid dividends to shareholders.


TTM20232022
CLOI
VanEck CLO ETF
6.39%5.62%2.23%
GLD
SPDR Gold Trust
0.00%0.00%0.00%

Drawdowns

CLOI vs. GLD - Drawdown Comparison

The maximum CLOI drawdown since its inception was -2.70%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for CLOI and GLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-7.72%
CLOI
GLD

Volatility

CLOI vs. GLD - Volatility Comparison

The current volatility for VanEck CLO ETF (CLOI) is 0.27%, while SPDR Gold Trust (GLD) has a volatility of 5.47%. This indicates that CLOI experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.27%
5.47%
CLOI
GLD