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ICLO vs. CLOA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ICLOCLOA
YTD Return6.24%6.42%
1Y Return7.91%7.96%
Sharpe Ratio6.509.61
Sortino Ratio10.1117.16
Omega Ratio3.655.09
Calmar Ratio12.8527.27
Martin Ratio104.08238.07
Ulcer Index0.08%0.03%
Daily Std Dev1.23%0.82%
Max Drawdown-0.83%-1.34%
Current Drawdown-0.04%0.00%

Correlation

-0.50.00.51.00.1

The correlation between ICLO and CLOA is 0.12, 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

ICLO vs. CLOA - Performance Comparison

The year-to-date returns for both investments are quite close, with ICLO having a 6.24% return and CLOA slightly higher at 6.42%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
3.37%
3.31%
ICLO
CLOA

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ICLO vs. CLOA - Expense Ratio Comparison

ICLO has a 0.26% expense ratio, which is higher than CLOA's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ICLO
Invesco Aaa Clo Floating Rate Note ETF
Expense ratio chart for ICLO: current value at 0.26% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.26%
Expense ratio chart for CLOA: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

ICLO vs. CLOA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Aaa Clo Floating Rate Note ETF (ICLO) and BlackRock AAA CLO ETF (CLOA). 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.


ICLO
Sharpe ratio
The chart of Sharpe ratio for ICLO, currently valued at 6.50, compared to the broader market-2.000.002.004.006.006.50
Sortino ratio
The chart of Sortino ratio for ICLO, currently valued at 10.11, compared to the broader market-2.000.002.004.006.008.0010.0012.0010.11
Omega ratio
The chart of Omega ratio for ICLO, currently valued at 3.65, compared to the broader market1.001.502.002.503.003.65
Calmar ratio
The chart of Calmar ratio for ICLO, currently valued at 12.85, compared to the broader market0.005.0010.0015.0012.85
Martin ratio
The chart of Martin ratio for ICLO, currently valued at 104.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.00104.08
CLOA
Sharpe ratio
The chart of Sharpe ratio for CLOA, currently valued at 9.61, compared to the broader market-2.000.002.004.006.009.61
Sortino ratio
The chart of Sortino ratio for CLOA, currently valued at 17.16, compared to the broader market-2.000.002.004.006.008.0010.0012.0017.16
Omega ratio
The chart of Omega ratio for CLOA, currently valued at 5.09, compared to the broader market1.001.502.002.503.005.09
Calmar ratio
The chart of Calmar ratio for CLOA, currently valued at 27.27, compared to the broader market0.005.0010.0015.0027.27
Martin ratio
The chart of Martin ratio for CLOA, currently valued at 238.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.00238.07

ICLO vs. CLOA - Sharpe Ratio Comparison

The current ICLO Sharpe Ratio is 6.50, which is lower than the CLOA Sharpe Ratio of 9.61. The chart below compares the historical Sharpe Ratios of ICLO and CLOA, 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 Ratio6.007.008.009.0010.00JuneJulyAugustSeptemberOctoberNovember
6.50
9.61
ICLO
CLOA

Dividends

ICLO vs. CLOA - Dividend Comparison

ICLO's dividend yield for the trailing twelve months is around 7.21%, more than CLOA's 6.13% yield.


TTM2023
ICLO
Invesco Aaa Clo Floating Rate Note ETF
7.21%7.09%
CLOA
BlackRock AAA CLO ETF
6.13%5.88%

Drawdowns

ICLO vs. CLOA - Drawdown Comparison

The maximum ICLO drawdown since its inception was -0.83%, smaller than the maximum CLOA drawdown of -1.34%. Use the drawdown chart below to compare losses from any high point for ICLO and CLOA. For additional features, visit the drawdowns tool.


-0.60%-0.50%-0.40%-0.30%-0.20%-0.10%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.04%
0
ICLO
CLOA

Volatility

ICLO vs. CLOA - Volatility Comparison

Invesco Aaa Clo Floating Rate Note ETF (ICLO) has a higher volatility of 0.22% compared to BlackRock AAA CLO ETF (CLOA) at 0.20%. This indicates that ICLO's price experiences larger fluctuations and is considered to be riskier than CLOA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%JuneJulyAugustSeptemberOctoberNovember
0.22%
0.20%
ICLO
CLOA