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

Performance

CLOI vs. LQD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VanEck CLO ETF (CLOI) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.50%
3.50%
CLOI
LQD

Returns By Period

In the year-to-date period, CLOI achieves a 7.46% return, which is significantly higher than LQD's 1.89% return.


CLOI

YTD

7.46%

1M

0.67%

6M

3.50%

1Y

8.34%

5Y (annualized)

N/A

10Y (annualized)

N/A

LQD

YTD

1.89%

1M

-1.51%

6M

3.50%

1Y

8.37%

5Y (annualized)

0.17%

10Y (annualized)

2.49%

Key characteristics


CLOILQD
Sharpe Ratio5.701.19
Sortino Ratio9.661.75
Omega Ratio2.701.21
Calmar Ratio19.330.51
Martin Ratio100.544.00
Ulcer Index0.08%2.20%
Daily Std Dev1.47%7.38%
Max Drawdown-2.70%-24.95%
Current Drawdown-0.06%-10.26%

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CLOI vs. LQD - Expense Ratio Comparison

CLOI has a 0.40% expense ratio, which is higher than LQD's 0.15% expense ratio.


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 LQD: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.0

The correlation between CLOI and LQD is 0.03, 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.

Risk-Adjusted Performance

CLOI vs. LQD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck CLO ETF (CLOI) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD). 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
The chart of Sharpe ratio for CLOI, currently valued at 5.70, compared to the broader market0.002.004.006.005.701.19
The chart of Sortino ratio for CLOI, currently valued at 9.66, compared to the broader market-2.000.002.004.006.008.0010.0012.009.661.75
The chart of Omega ratio for CLOI, currently valued at 2.70, compared to the broader market0.501.001.502.002.503.002.701.21
The chart of Calmar ratio for CLOI, currently valued at 19.33, compared to the broader market0.005.0010.0015.0019.331.73
The chart of Martin ratio for CLOI, currently valued at 100.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.00100.544.00
CLOI
LQD

The current CLOI Sharpe Ratio is 5.70, which is higher than the LQD Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of CLOI and LQD, 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 Ratio0.001.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
5.70
1.19
CLOI
LQD

Dividends

CLOI vs. LQD - Dividend Comparison

CLOI's dividend yield for the trailing twelve months is around 6.38%, more than LQD's 4.39% yield.


TTM20232022202120202019201820172016201520142013
CLOI
VanEck CLO ETF
6.38%5.62%2.23%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.39%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%

Drawdowns

CLOI vs. LQD - Drawdown Comparison

The maximum CLOI drawdown since its inception was -2.70%, smaller than the maximum LQD drawdown of -24.95%. Use the drawdown chart below to compare losses from any high point for CLOI and LQD. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.06%
-3.73%
CLOI
LQD

Volatility

CLOI vs. LQD - Volatility Comparison

The current volatility for VanEck CLO ETF (CLOI) is 0.25%, while iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) has a volatility of 2.31%. This indicates that CLOI experiences smaller price fluctuations and is considered to be less risky than LQD 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%2.50%JuneJulyAugustSeptemberOctoberNovember
0.25%
2.31%
CLOI
LQD