ICLO vs. VMFXX
ICLO (Invesco Aaa CLO Floating Rate Note ETF) and VMFXX (Vanguard Federal Money Market Fund) are both funds - ICLO is a CLO fund actively managed by Invesco, while VMFXX is a Money Market fund managed by Vanguard. Over the past 3 years, ICLO returned 6.60%/yr vs 4.42%/yr for VMFXX. At a 0.04 correlation, their price movements are largely independent. ICLO charges 0.26%/yr vs 0.11%/yr for VMFXX.
Performance
ICLO vs. VMFXX - Performance Comparison
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Returns By Period
In the year-to-date period, ICLO achieves a 2.38% return, which is significantly higher than VMFXX's 1.50% return.
ICLO
- 1D
- 0.00%
- 1M
- 0.61%
- YTD
- 2.38%
- 6M
- 2.48%
- 1Y
- 5.52%
- 3Y*
- 6.60%
- 5Y*
- —
- 10Y*
- —
VMFXX
- 1D
- 0.00%
- 1M
- 0.30%
- YTD
- 1.50%
- 6M
- 1.82%
- 1Y
- 3.95%
- 3Y*
- 4.42%
- 5Y*
- 3.02%
- 10Y*
- —
ICLO vs. VMFXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
ICLO Invesco Aaa CLO Floating Rate Note ETF | 2.38% | 5.27% | 7.05% | 8.90% | 0.38% |
VMFXX Vanguard Federal Money Market Fund | 1.50% | 4.24% | 4.83% | 4.64% | 0.00% |
Correlation
The correlation between ICLO and VMFXX is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Dec 9, 2022 | 0.04 |
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Return for Risk
ICLO vs. VMFXX — Risk / Return Rank
ICLO
VMFXX
Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.
ICLO vs. VMFXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Aaa CLO Floating Rate Note ETF (ICLO) and Vanguard Federal Money Market Fund (VMFXX). 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.
| ICLO | VMFXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.33 | ||
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 1.94 | — | — |
| Calmar ratioReturn relative to maximum drawdown | 15.78 | — | — |
| Martin ratioReturn relative to average drawdown | 65.95 | — | — |
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Drawdowns
ICLO vs. VMFXX - Drawdown Comparison
The maximum ICLO drawdown since its inception was -3.47%, which is greater than VMFXX's maximum drawdown of 0.00%. Use the drawdown chart below to compare losses from any high point for ICLO and VMFXX.
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Drawdown Indicators
| ICLO | VMFXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.47% | 0.00% | -3.47% |
Max Drawdown (1Y)Largest decline over 1 year | -0.35% | 0.00% | -0.35% |
Max Drawdown (3Y)Largest decline over 3 years | -3.47% | 0.00% | -3.47% |
Max Drawdown (5Y)Largest decline over 5 years | — | 0.00% | — |
Current DrawdownCurrent decline from peak | -0.09% | 0.00% | -0.09% |
Average DrawdownAverage peak-to-trough decline | -0.06% | 0.00% | -0.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.08% | 0.00% | +0.08% |
Volatility
ICLO vs. VMFXX - Volatility Comparison
Invesco Aaa CLO Floating Rate Note ETF (ICLO) has a higher volatility of 0.53% compared to Vanguard Federal Money Market Fund (VMFXX) at 0.30%. This indicates that ICLO's price experiences larger fluctuations and is considered to be riskier than VMFXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ICLO | VMFXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.53% | 0.30% | +0.23% |
Volatility (6M)Calculated over the trailing 6-month period | 0.88% | 0.72% | +0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.39% | 1.12% | +0.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.42% | 1.08% | +1.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.42% | 1.07% | +1.35% |
ICLO vs. VMFXX - Expense Ratio Comparison
ICLO has a 0.26% expense ratio, which is higher than VMFXX's 0.11% 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%.
Dividends
ICLO vs. VMFXX - Dividend Comparison
ICLO's dividend yield for the trailing twelve months is around 5.50%, more than VMFXX's 3.87% yield.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
ICLO Invesco Aaa CLO Floating Rate Note ETF | 5.50% | 5.49% | 6.51% | 7.01% |
VMFXX Vanguard Federal Money Market Fund | 3.87% | 4.14% | 4.70% | 4.53% |
Frequently Asked Questions
ICLO and VMFXX have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ICLO has higher volatility (0.53%) compared to VMFXX (0.30%). In terms of maximum drawdown, ICLO dropped -3.47% vs VMFXX's 0.00%.
ICLO currently has the higher Sharpe Ratio (4.01 vs 3.67), 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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