VMFXX vs. ICLO

Last updated Jun 5, 2026

VMFXX (Vanguard Federal Money Market Fund) and ICLO (Invesco Aaa CLO Floating Rate Note ETF) are both funds - VMFXX is a Money Market fund managed by Vanguard, while ICLO is a CLO fund actively managed by Invesco. Over the past 3 years, VMFXX returned 3.35%/yr vs 6.74%/yr for ICLO. At a 0.04 correlation, their price movements are largely independent. VMFXX charges 0.11%/yr vs 0.26%/yr for ICLO.

Performance

VMFXX vs. ICLO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Federal Money Market Fund (VMFXX) 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, VMFXX achieves a 1.50% return, which is significantly lower than ICLO's 2.17% return.

VMFXX

• 1D: 0.00%
• 1M: 0.30%
• YTD: 1.50%
• 6M: 1.82%
• 1Y: 3.95%
• 3Y*: 3.35%
• 5Y*: 2.39%
• 10Y*: —

ICLO

• 1D: 0.06%
• 1M: 0.47%
• YTD: 2.17%
• 6M: 2.56%
• 1Y: 5.69%
• 3Y*: 6.74%
• 5Y*: —
• 10Y*: —

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

VMFXX vs. ICLO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
VMFXX Vanguard Federal Money Market Fund	1.50%	4.24%	1.64%	4.64%	0.00%
ICLO Invesco Aaa CLO Floating Rate Note ETF	2.17%	5.27%	7.05%	8.90%	0.38%

Correlation

The correlation between VMFXX 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	0.06
Correlation (All Time) Calculated using the full available price history since Dec 12, 2022	0.04

VMFXX vs. ICLO - Sectors Allocation Comparison

Sectors	VMFXX	ICLO
Financial Services	17.5%	6.6%
Basic Materials	-	2.2%
Communication Services	-	-
Consumer Cyclical	-	3.3%
Consumer Defensive	-	-
Energy	-	-
Healthcare	-	-
Industrials	-	-
Real Estate	-	-
Technology	-	-
Utilities	-	-

Return for Risk

VMFXX vs. ICLO — Risk / Return Rank

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

ICLO

ICLO Risk / Return Rank: 98
ICLO Sharpe Ratio Rank: 96
ICLO Sortino Ratio Rank: 98
ICLO Omega Ratio Rank: 98
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.

VMFXX vs. ICLO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Federal Money Market Fund (VMFXX) 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.

	VMFXX	ICLO	Difference
Sharpe ratio: Return per unit of total volatility	3.67	4.19	-0.51
Sortino ratio: Return per unit of downside risk	—	7.11	—
Omega ratio: Gain probability vs. loss probability	—	2.01	—
Calmar ratio: Return relative to maximum drawdown	—	16.25	—
Martin ratio: Return relative to average drawdown	—	70.21	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VMFXX vs. ICLO - Sharpe Ratio Comparison

The current VMFXX Sharpe Ratio is 3.67, which is comparable to the ICLO Sharpe Ratio of 4.19. The chart below compares the historical Sharpe Ratios of VMFXX 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.

Sharpe Ratios by Period

	VMFXX	ICLO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.67	4.19	-0.51
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	2.60	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	2.60	2.84	-0.24

Drawdowns

VMFXX vs. ICLO - Drawdown Comparison

The maximum VMFXX drawdown since its inception was 0.00%, smaller than the maximum ICLO drawdown of -3.47%. Use the drawdown chart below to compare losses from any high point for VMFXX and ICLO.

Drawdown Indicators

	VMFXX	ICLO	Difference
Max Drawdown Largest peak-to-trough decline	0.00%	-3.47%	+3.47%
Max Drawdown (1Y) Largest decline over 1 year	0.00%	-0.35%	+0.35%
Max Drawdown (3Y) Largest decline over 3 years	0.00%	-3.47%	+3.47%
Max Drawdown (5Y) Largest decline over 5 years	0.00%	—	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	0.00%	-0.06%	+0.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.00%	0.08%	-0.08%

Volatility

VMFXX vs. ICLO - Volatility Comparison

Vanguard Federal Money Market Fund (VMFXX) and Invesco Aaa CLO Floating Rate Note ETF (ICLO) have volatilities of 0.30% and 0.31%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VMFXX	ICLO	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.30%	0.31%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	0.79%	0.78%	+0.01%
Volatility (1Y) Calculated over the trailing 1-year period	1.12%	1.36%	-0.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	0.94%	2.42%	-1.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	0.94%	2.42%	-1.48%

VMFXX vs. ICLO - Expense Ratio Comparison

VMFXX has a 0.11% 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

VMFXX vs. ICLO - Dividend Comparison

VMFXX's dividend yield for the trailing twelve months is around 3.87%, less than ICLO's 5.11% yield.

Position	TTM	2025	2024	2023
ICLO Invesco Aaa CLO Floating Rate Note ETF	5.11%	5.49%	6.51%	7.01%
VMFXX Vanguard Federal Money Market Fund	3.87%	4.14%	1.63%	4.53%

Frequently Asked Questions

Can I hold both VMFXX and ICLO in my portfolio?

VMFXX 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, VMFXX or ICLO?

ICLO has higher volatility (0.31%) compared to VMFXX (0.30%). In terms of maximum drawdown, VMFXX dropped 0.00% vs ICLO's -3.47%.

Which has better risk-adjusted returns?

ICLO currently has the higher Sharpe Ratio (4.19 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.