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FALN vs. BKLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FALN and BKLN is 0.51, 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.


-0.50.00.51.00.5

Performance

FALN vs. BKLN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Fallen Angels USD Bond ETF (FALN) and Invesco Senior Loan ETF (BKLN). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
70.65%
42.44%
FALN
BKLN

Key characteristics

Sharpe Ratio

FALN:

1.58

BKLN:

3.63

Sortino Ratio

FALN:

2.21

BKLN:

5.46

Omega Ratio

FALN:

1.28

BKLN:

1.95

Calmar Ratio

FALN:

1.95

BKLN:

4.99

Martin Ratio

FALN:

10.12

BKLN:

41.57

Ulcer Index

FALN:

0.73%

BKLN:

0.20%

Daily Std Dev

FALN:

4.67%

BKLN:

2.29%

Max Drawdown

FALN:

-29.22%

BKLN:

-24.17%

Current Drawdown

FALN:

-1.52%

BKLN:

-0.24%

Returns By Period

The year-to-date returns for both investments are quite close, with FALN having a 7.61% return and BKLN slightly higher at 7.85%.


FALN

YTD

7.61%

1M

-0.26%

6M

4.72%

1Y

7.12%

5Y*

5.02%

10Y*

N/A

BKLN

YTD

7.85%

1M

0.19%

6M

4.45%

1Y

8.05%

5Y*

4.21%

10Y*

3.75%

Compare stocks, funds, or ETFs

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


FALN vs. BKLN - Expense Ratio Comparison

FALN has a 0.25% expense ratio, which is lower than BKLN's 0.65% expense ratio.


BKLN
Invesco Senior Loan ETF
Expense ratio chart for BKLN: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for FALN: 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%

Risk-Adjusted Performance

FALN vs. BKLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Fallen Angels USD Bond ETF (FALN) and Invesco Senior Loan ETF (BKLN). 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 FALN, currently valued at 1.58, compared to the broader market0.002.004.001.583.63
The chart of Sortino ratio for FALN, currently valued at 2.21, compared to the broader market-2.000.002.004.006.008.0010.002.215.46
The chart of Omega ratio for FALN, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.95
The chart of Calmar ratio for FALN, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.954.99
The chart of Martin ratio for FALN, currently valued at 10.12, compared to the broader market0.0020.0040.0060.0080.00100.0010.1241.57
FALN
BKLN

The current FALN Sharpe Ratio is 1.58, which is lower than the BKLN Sharpe Ratio of 3.63. The chart below compares the historical Sharpe Ratios of FALN and BKLN, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.58
3.63
FALN
BKLN

Dividends

FALN vs. BKLN - Dividend Comparison

FALN's dividend yield for the trailing twelve months is around 6.24%, less than BKLN's 7.82% yield.


TTM20232022202120202019201820172016201520142013
FALN
iShares Fallen Angels USD Bond ETF
6.24%5.38%5.08%3.39%5.14%5.35%5.97%6.99%3.54%0.00%0.00%0.00%
BKLN
Invesco Senior Loan ETF
7.82%8.59%4.93%3.11%3.56%4.86%4.51%3.51%4.55%4.11%4.12%4.39%

Drawdowns

FALN vs. BKLN - Drawdown Comparison

The maximum FALN drawdown since its inception was -29.22%, which is greater than BKLN's maximum drawdown of -24.17%. Use the drawdown chart below to compare losses from any high point for FALN and BKLN. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.52%
-0.24%
FALN
BKLN

Volatility

FALN vs. BKLN - Volatility Comparison

iShares Fallen Angels USD Bond ETF (FALN) has a higher volatility of 1.68% compared to Invesco Senior Loan ETF (BKLN) at 0.36%. This indicates that FALN's price experiences larger fluctuations and is considered to be riskier than BKLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JulyAugustSeptemberOctoberNovemberDecember
1.68%
0.36%
FALN
BKLN
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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