FRA vs. CFOIX
FRA (BlackRock Floating Rate Income Strategies Fund Inc) and CFOIX (Calvert Floating-Rate Advantage Fund) are both Bank Loan funds. Over the past 5 years, FRA returned 6.55%/yr vs 4.30%/yr for CFOIX. At a 0.27 correlation, their price movements are largely independent. FRA charges 2.17%/yr vs 0.78%/yr for CFOIX.
Performance
FRA vs. CFOIX - Performance Comparison
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Returns By Period
In the year-to-date period, FRA achieves a -1.25% return, which is significantly lower than CFOIX's -0.04% return.
FRA
- 1D
- 0.37%
- 1M
- -0.32%
- YTD
- -1.25%
- 6M
- -0.58%
- 1Y
- -4.46%
- 3Y*
- 8.76%
- 5Y*
- 6.55%
- 10Y*
- 6.60%
CFOIX
- 1D
- 0.00%
- 1M
- 0.25%
- YTD
- -0.04%
- 6M
- 0.24%
- 1Y
- 3.16%
- 3Y*
- 6.38%
- 5Y*
- 4.30%
- 10Y*
- —
FRA vs. CFOIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
FRA BlackRock Floating Rate Income Strategies Fund Inc | -1.25% | -3.75% | 21.56% | 25.46% | -10.59% | 17.81% | -2.38% | 20.82% | -12.89% |
CFOIX Calvert Floating-Rate Advantage Fund | -0.04% | 3.48% | 8.92% | 12.09% | -4.21% | 4.37% | 0.62% | 9.36% | -2.14% |
Correlation
The correlation between FRA and CFOIX is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since Feb 28, 2018 | 0.27 |
The correlation between FRA and CFOIX shifts across timeframes, from 0.07 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FRA vs. CFOIX — Risk / Return Rank
FRA
CFOIX
FRA vs. CFOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Floating Rate Income Strategies Fund Inc (FRA) and Calvert Floating-Rate Advantage Fund (CFOIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FRA | CFOIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.08 | ||
| Sortino ratioReturn per unit of downside risk | -4.21 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.59 | -0.66 |
| Calmar ratioReturn relative to maximum drawdown | -0.29 | 3.59 | -3.88 |
| Martin ratioReturn relative to average drawdown | -0.57 | 8.98 | -9.55 |
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Drawdowns
FRA vs. CFOIX - Drawdown Comparison
The maximum FRA drawdown since its inception was -51.43%, which is greater than CFOIX's maximum drawdown of -22.38%. Use the drawdown chart below to compare losses from any high point for FRA and CFOIX.
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Drawdown Indicators
| FRA | CFOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.43% | -22.38% | -29.05% |
Max Drawdown (1Y)Largest decline over 1 year | -15.47% | -0.88% | -14.59% |
Max Drawdown (3Y)Largest decline over 3 years | -18.77% | -3.18% | -15.59% |
Max Drawdown (5Y)Largest decline over 5 years | -18.77% | -7.93% | -10.84% |
Max Drawdown (10Y)Largest decline over 10 years | -42.80% | — | — |
Current DrawdownCurrent decline from peak | -9.67% | -0.27% | -9.40% |
Average DrawdownAverage peak-to-trough decline | -7.22% | -1.29% | -5.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.83% | 0.35% | +7.48% |
Volatility
FRA vs. CFOIX - Volatility Comparison
BlackRock Floating Rate Income Strategies Fund Inc (FRA) has a higher volatility of 2.22% compared to Calvert Floating-Rate Advantage Fund (CFOIX) at 0.25%. This indicates that FRA's price experiences larger fluctuations and is considered to be riskier than CFOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FRA | CFOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.22% | 0.25% | +1.97% |
Volatility (6M)Calculated over the trailing 6-month period | 8.17% | 1.24% | +6.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.96% | 1.95% | +8.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.90% | 3.06% | +9.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.53% | 4.73% | +10.80% |
FRA vs. CFOIX - Expense Ratio Comparison
FRA has a 2.17% expense ratio, which is higher than CFOIX's 0.78% expense ratio.
Dividends
FRA vs. CFOIX - Dividend Comparison
FRA's dividend yield for the trailing twelve months is around 13.65%, more than CFOIX's 5.89% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFOIX Calvert Floating-Rate Advantage Fund | 5.89% | 6.88% | 8.62% | 7.42% | 5.02% | 3.96% | 4.23% | 5.05% | 4.20% | 0.00% | 0.00% | 0.00% |
FRA BlackRock Floating Rate Income Strategies Fund Inc | 13.65% | 12.62% | 10.81% | 10.44% | 6.88% | 5.96% | 7.61% | 6.44% | 6.90% | 5.31% | 5.65% | 6.17% |
Frequently Asked Questions
FRA and CFOIX have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FRA has higher volatility (2.22%) compared to CFOIX (0.25%). In terms of maximum drawdown, FRA dropped -51.43% vs CFOIX's -22.38%.
CFOIX currently has the higher Sharpe Ratio (1.63 vs -0.45), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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