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

Key characteristics


ICLOFXAIX
YTD Return6.28%27.28%
1Y Return8.06%37.86%
Sharpe Ratio6.663.24
Sortino Ratio10.364.29
Omega Ratio3.751.61
Calmar Ratio13.154.74
Martin Ratio106.6621.47
Ulcer Index0.08%1.86%
Daily Std Dev1.23%12.29%
Max Drawdown-0.83%-33.79%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.1

The correlation between ICLO and FXAIX is 0.06, 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. FXAIX - Performance Comparison

In the year-to-date period, ICLO achieves a 6.28% return, which is significantly lower than FXAIX's 27.28% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.41%
15.14%
ICLO
FXAIX

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ICLO vs. FXAIX - Expense Ratio Comparison

ICLO has a 0.26% expense ratio, which is higher than FXAIX's 0.02% 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 FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

ICLO vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Aaa Clo Floating Rate Note ETF (ICLO) and Fidelity 500 Index Fund (FXAIX). 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 6.66, compared to the broader market-2.000.002.004.006.006.66
Sortino ratio
The chart of Sortino ratio for ICLO, currently valued at 10.36, compared to the broader market0.005.0010.0010.36
Omega ratio
The chart of Omega ratio for ICLO, currently valued at 3.75, compared to the broader market1.001.502.002.503.003.75
Calmar ratio
The chart of Calmar ratio for ICLO, currently valued at 13.15, compared to the broader market0.005.0010.0015.0013.15
Martin ratio
The chart of Martin ratio for ICLO, currently valued at 106.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.00106.66
FXAIX
Sharpe ratio
The chart of Sharpe ratio for FXAIX, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Sortino ratio
The chart of Sortino ratio for FXAIX, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Omega ratio
The chart of Omega ratio for FXAIX, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for FXAIX, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for FXAIX, currently valued at 21.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.47

ICLO vs. FXAIX - Sharpe Ratio Comparison

The current ICLO Sharpe Ratio is 6.66, which is higher than the FXAIX Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of ICLO and FXAIX, 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 Ratio2.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
6.66
3.24
ICLO
FXAIX

Dividends

ICLO vs. FXAIX - Dividend Comparison

ICLO's dividend yield for the trailing twelve months is around 7.20%, more than FXAIX's 1.21% yield.


TTM20232022202120202019201820172016201520142013
ICLO
Invesco Aaa Clo Floating Rate Note ETF
7.20%7.09%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FXAIX
Fidelity 500 Index Fund
1.21%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

ICLO vs. FXAIX - Drawdown Comparison

The maximum ICLO drawdown since its inception was -0.83%, smaller than the maximum FXAIX drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for ICLO and FXAIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
ICLO
FXAIX

Volatility

ICLO vs. FXAIX - Volatility Comparison

The current volatility for Invesco Aaa Clo Floating Rate Note ETF (ICLO) is 0.21%, while Fidelity 500 Index Fund (FXAIX) has a volatility of 3.88%. This indicates that ICLO experiences smaller price fluctuations and is considered to be less risky than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.21%
3.88%
ICLO
FXAIX