ICLO vs. USFR
Compare and contrast key facts about Invesco Aaa Clo Floating Rate Note ETF (ICLO) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR).
ICLO and USFR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ICLO is an actively managed fund by Invesco. It was launched on Dec 9, 2022. USFR is a passively managed fund by WisdomTree that tracks the performance of the Bloomberg U.S. Treasury Floating Rate Bond Index. It was launched on Feb 4, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ICLO or USFR.
Key characteristics
| ICLO | USFR | |
|---|---|---|
| YTD Return | 6.28% | 4.69% |
| 1Y Return | 8.06% | 5.32% |
| Sharpe Ratio | 6.66 | 14.71 |
| Sortino Ratio | 10.36 | 52.92 |
| Omega Ratio | 3.75 | 12.62 |
| Calmar Ratio | 13.15 | 88.94 |
| Martin Ratio | 106.66 | 734.59 |
| Ulcer Index | 0.08% | 0.01% |
| Daily Std Dev | 1.23% | 0.36% |
| Max Drawdown | -0.83% | -1.36% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between ICLO and USFR is 0.02, 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. USFR - Performance Comparison
In the year-to-date period, ICLO achieves a 6.28% return, which is significantly higher than USFR's 4.69% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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ICLO vs. USFR - Expense Ratio Comparison
ICLO has a 0.26% expense ratio, which is higher than USFR's 0.15% 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%.
Risk-Adjusted Performance
ICLO vs. USFR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Aaa Clo Floating Rate Note ETF (ICLO) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR). 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.
Dividends
ICLO vs. USFR - Dividend Comparison
ICLO's dividend yield for the trailing twelve months is around 7.20%, more than USFR's 5.30% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
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% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 5.30% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.04% | 0.29% |
Drawdowns
ICLO vs. USFR - Drawdown Comparison
The maximum ICLO drawdown since its inception was -0.83%, smaller than the maximum USFR drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for ICLO and USFR. For additional features, visit the drawdowns tool.
Volatility
ICLO vs. USFR - Volatility Comparison
Invesco Aaa Clo Floating Rate Note ETF (ICLO) has a higher volatility of 0.21% compared to WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) at 0.09%. This indicates that ICLO's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.