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

Key characteristics


TFLRICLO
YTD Return7.61%6.28%
1Y Return10.35%8.06%
Sharpe Ratio4.106.66
Sortino Ratio6.5410.36
Omega Ratio1.993.75
Calmar Ratio10.0413.15
Martin Ratio60.07106.66
Ulcer Index0.18%0.08%
Daily Std Dev2.58%1.23%
Max Drawdown-1.48%-0.83%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.1

The correlation between TFLR and ICLO is 0.08, 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

TFLR vs. ICLO - Performance Comparison

In the year-to-date period, TFLR achieves a 7.61% return, which is significantly higher than ICLO's 6.28% 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%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.85%
3.41%
TFLR
ICLO

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TFLR vs. ICLO - Expense Ratio Comparison

TFLR has a 0.60% expense ratio, which is higher than ICLO's 0.26% expense ratio.


TFLR
T. Rowe Price Floating Rate ETF
Expense ratio chart for TFLR: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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%

Risk-Adjusted Performance

TFLR vs. ICLO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate ETF (TFLR) 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.


TFLR
Sharpe ratio
The chart of Sharpe ratio for TFLR, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Sortino ratio
The chart of Sortino ratio for TFLR, currently valued at 6.54, compared to the broader market0.005.0010.006.54
Omega ratio
The chart of Omega ratio for TFLR, currently valued at 1.99, compared to the broader market1.001.502.002.503.001.99
Calmar ratio
The chart of Calmar ratio for TFLR, currently valued at 10.04, compared to the broader market0.005.0010.0015.0010.04
Martin ratio
The chart of Martin ratio for TFLR, currently valued at 60.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0060.07
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

TFLR vs. ICLO - Sharpe Ratio Comparison

The current TFLR Sharpe Ratio is 4.10, which is lower than the ICLO Sharpe Ratio of 6.66. The chart below compares the historical Sharpe Ratios of TFLR and ICLO, 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 Ratio4.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
4.10
6.66
TFLR
ICLO

Dividends

TFLR vs. ICLO - Dividend Comparison

TFLR's dividend yield for the trailing twelve months is around 8.24%, more than ICLO's 7.20% yield.


TTM20232022
TFLR
T. Rowe Price Floating Rate ETF
8.24%7.76%0.58%
ICLO
Invesco Aaa Clo Floating Rate Note ETF
7.20%7.09%0.00%

Drawdowns

TFLR vs. ICLO - Drawdown Comparison

The maximum TFLR drawdown since its inception was -1.48%, which is greater than ICLO's maximum drawdown of -0.83%. Use the drawdown chart below to compare losses from any high point for TFLR and ICLO. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
TFLR
ICLO

Volatility

TFLR vs. ICLO - Volatility Comparison

T. Rowe Price Floating Rate ETF (TFLR) has a higher volatility of 0.44% compared to Invesco Aaa Clo Floating Rate Note ETF (ICLO) at 0.21%. This indicates that TFLR's price experiences larger fluctuations and is considered to be riskier than ICLO 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%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.44%
0.21%
TFLR
ICLO