JAAA vs. ICLO

Last updated Jun 23, 2026

JAAA (Janus Henderson AAA CLO ETF) and ICLO (Invesco Aaa CLO Floating Rate Note ETF) are both CLO funds. Both are actively managed. Over the past 3 years, JAAA returned 6.59%/yr vs 6.60%/yr for ICLO. At a 0.25 correlation, their price movements are largely independent. JAAA charges 0.20%/yr vs 0.26%/yr for ICLO.

Performance

JAAA vs. ICLO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson AAA CLO ETF (JAAA) and Invesco Aaa CLO Floating Rate Note ETF (ICLO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JAAA achieves a 2.09% return, which is significantly lower than ICLO's 2.38% return.

JAAA

• 1D: 0.02%
• 1M: 0.31%
• YTD: 2.09%
• 6M: 2.37%
• 1Y: 5.12%
• 3Y*: 6.59%
• 5Y*: 4.82%
• 10Y*: —

ICLO

• 1D: 0.00%
• 1M: 0.61%
• YTD: 2.38%
• 6M: 2.48%
• 1Y: 5.52%
• 3Y*: 6.60%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

JAAA vs. ICLO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
JAAA Janus Henderson AAA CLO ETF	2.09%	5.16%	7.43%	8.59%	0.59%
ICLO Invesco Aaa CLO Floating Rate Note ETF	2.38%	5.27%	7.05%	8.90%	0.38%

Correlation

The correlation between JAAA and ICLO 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	0.20
Correlation (All Time) Calculated using the full available price history since Dec 9, 2022	0.25

The correlation between JAAA and ICLO shifts across timeframes, from 0.11 (1 year) to 0.25 (all time), reflecting how their relationship changes across market environments.

Return for Risk

JAAA vs. ICLO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 99
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

ICLO

ICLO Risk / Return Rank: 97
ICLO Sharpe Ratio Rank: 96
ICLO Sortino Ratio Rank: 98
ICLO Omega Ratio Rank: 97
ICLO Calmar Ratio Rank: 98
ICLO Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JAAA vs. ICLO - Risk-Adjusted Trends Comparison

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

	JAAA	ICLO	Difference
Sharpe ratio: Return per unit of total volatility	6.19	4.01	+2.18
Sortino ratio: Return per unit of downside risk	10.34	6.72	+3.62
Omega ratio: Gain probability vs. loss probability	2.79	1.94	+0.85
Calmar ratio: Return relative to maximum drawdown	13.24	15.78	-2.55
Martin ratio: Return relative to average drawdown	71.33	65.95	+5.38

JAAA vs. ICLO - Sharpe Ratio Comparison

The current JAAA Sharpe Ratio is 6.19, which is higher than the ICLO Sharpe Ratio of 4.01. The chart below compares the historical Sharpe Ratios of JAAA and ICLO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JAAA vs. ICLO - Drawdown Comparison

The maximum JAAA drawdown since its inception was -2.64%, smaller than the maximum ICLO drawdown of -3.47%. Use the drawdown chart below to compare losses from any high point for JAAA and ICLO.

Drawdown Indicators

	JAAA	ICLO	Difference
Max Drawdown Largest peak-to-trough decline	-2.64%	-3.47%	+0.83%
Max Drawdown (1Y) Largest decline over 1 year	-0.39%	-0.35%	-0.04%
Max Drawdown (3Y) Largest decline over 3 years	-1.46%	-3.47%	+2.01%
Max Drawdown (5Y) Largest decline over 5 years	-2.64%	—	—
Current Drawdown Current decline from peak	0.00%	-0.09%	+0.09%
Average Drawdown Average peak-to-trough decline	-0.25%	-0.06%	-0.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	0.08%	-0.01%

Volatility

JAAA vs. ICLO - Volatility Comparison

The current volatility for Janus Henderson AAA CLO ETF (JAAA) is 0.12%, while Invesco Aaa CLO Floating Rate Note ETF (ICLO) has a volatility of 0.53%. This indicates that JAAA experiences smaller price fluctuations and is considered to be less risky than ICLO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JAAA	ICLO	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.12%	0.53%	-0.41%
Volatility (6M) Calculated over the trailing 6-month period	0.64%	0.88%	-0.24%
Volatility (1Y) Calculated over the trailing 1-year period	0.83%	1.39%	-0.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.67%	2.42%	-0.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.64%	2.42%	-0.78%

JAAA vs. ICLO - Expense Ratio Comparison

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

Dividends

JAAA vs. ICLO - Dividend Comparison

JAAA's dividend yield for the trailing twelve months is around 4.99%, less than ICLO's 5.50% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
ICLO Invesco Aaa CLO Floating Rate Note ETF	5.50%	5.49%	6.51%	7.01%	0.00%	0.00%	0.00%
JAAA Janus Henderson AAA CLO ETF	4.99%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%

Frequently Asked Questions

Can I hold both JAAA and ICLO in my portfolio?

JAAA and ICLO 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.

Which is riskier, JAAA or ICLO?

ICLO has higher volatility (0.53%) compared to JAAA (0.12%). In terms of maximum drawdown, JAAA dropped -2.64% vs ICLO's -3.47%.

Which ETF is better, JAAA or ICLO?

On 3-year performance, ICLO leads with 6.60% vs 6.59% for JAAA. On fees, JAAA is cheaper at 0.20% per year. On volatility, JAAA has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JAAA or ICLO?

Over the 3-year period, ICLO has performed better with a 6.60% return vs 6.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JAAA or ICLO?

JAAA is cheaper with a 0.20% expense ratio, compared with 0.26% for ICLO.

Which ETF pays a higher dividend yield, JAAA or ICLO?

ICLO has the higher dividend yield at 5.50%, compared with 4.99% for JAAA.

What is the main difference between JAAA and ICLO?

They also come from different issuers: Janus Henderson and Invesco. Their fees differ too: 0.20% for JAAA and 0.26% for ICLO.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.19 vs 4.01), 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.