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

Key characteristics


CLOIJAAAX
YTD Return7.30%6.89%
1Y Return8.51%9.45%
Sharpe Ratio5.892.55
Sortino Ratio10.123.44
Omega Ratio2.791.57
Calmar Ratio20.254.06
Martin Ratio105.4117.26
Ulcer Index0.08%0.55%
Daily Std Dev1.49%3.71%
Max Drawdown-2.70%-12.09%
Current Drawdown-0.00%-0.25%

Correlation

-0.50.00.51.00.0

The correlation between CLOI and JAAAX is 0.00, 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. JAAAX - Performance Comparison

In the year-to-date period, CLOI achieves a 7.30% return, which is significantly higher than JAAAX's 6.89% 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
3.56%
3.26%
CLOI
JAAAX

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CLOI vs. JAAAX - Expense Ratio Comparison

CLOI has a 0.40% expense ratio, which is lower than JAAAX's 0.72% expense ratio.


JAAAX
John Hancock Funds Alternative Asset Allocation Fund
Expense ratio chart for JAAAX: current value at 0.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.72%
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%

Risk-Adjusted Performance

CLOI vs. JAAAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck CLO ETF (CLOI) and John Hancock Funds Alternative Asset Allocation Fund (JAAAX). 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 5.89, compared to the broader market-2.000.002.004.005.89
Sortino ratio
The chart of Sortino ratio for CLOI, currently valued at 10.12, compared to the broader market0.005.0010.0010.12
Omega ratio
The chart of Omega ratio for CLOI, currently valued at 2.79, compared to the broader market1.001.502.002.503.002.79
Calmar ratio
The chart of Calmar ratio for CLOI, currently valued at 20.25, compared to the broader market0.005.0010.0015.0020.25
Martin ratio
The chart of Martin ratio for CLOI, currently valued at 105.41, compared to the broader market0.0020.0040.0060.0080.00100.00105.41
JAAAX
Sharpe ratio
The chart of Sharpe ratio for JAAAX, currently valued at 2.55, compared to the broader market-2.000.002.004.002.55
Sortino ratio
The chart of Sortino ratio for JAAAX, currently valued at 3.44, compared to the broader market0.005.0010.003.44
Omega ratio
The chart of Omega ratio for JAAAX, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for JAAAX, currently valued at 4.06, compared to the broader market0.005.0010.0015.004.06
Martin ratio
The chart of Martin ratio for JAAAX, currently valued at 17.26, compared to the broader market0.0020.0040.0060.0080.00100.0017.26

CLOI vs. JAAAX - Sharpe Ratio Comparison

The current CLOI Sharpe Ratio is 5.89, which is higher than the JAAAX Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of CLOI and JAAAX, 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
5.89
2.55
CLOI
JAAAX

Dividends

CLOI vs. JAAAX - Dividend Comparison

CLOI's dividend yield for the trailing twelve months is around 6.39%, more than JAAAX's 1.60% yield.


TTM20232022202120202019201820172016201520142013
CLOI
VanEck CLO ETF
6.39%5.62%2.23%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JAAAX
John Hancock Funds Alternative Asset Allocation Fund
1.60%1.72%3.02%1.72%0.74%3.38%1.99%1.23%0.77%2.78%2.00%1.74%

Drawdowns

CLOI vs. JAAAX - Drawdown Comparison

The maximum CLOI drawdown since its inception was -2.70%, smaller than the maximum JAAAX drawdown of -12.09%. Use the drawdown chart below to compare losses from any high point for CLOI and JAAAX. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.00%
-0.25%
CLOI
JAAAX

Volatility

CLOI vs. JAAAX - Volatility Comparison

The current volatility for VanEck CLO ETF (CLOI) is 0.27%, while John Hancock Funds Alternative Asset Allocation Fund (JAAAX) has a volatility of 0.98%. This indicates that CLOI experiences smaller price fluctuations and is considered to be less risky than JAAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.27%
0.98%
CLOI
JAAAX