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VVR vs. BKLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VVRBKLN
YTD Return5.54%7.38%
1Y Return9.33%9.65%
3Y Return (Ann)7.36%5.78%
5Y Return (Ann)8.82%4.46%
10Y Return (Ann)6.70%3.58%
Sharpe Ratio0.714.17
Sortino Ratio1.046.42
Omega Ratio1.142.14
Calmar Ratio0.875.83
Martin Ratio2.6049.29
Ulcer Index3.62%0.20%
Daily Std Dev13.25%2.33%
Max Drawdown-73.80%-24.17%
Current Drawdown-8.85%-0.14%

Correlation

-0.50.00.51.00.3

The correlation between VVR and BKLN is 0.30, 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

VVR vs. BKLN - Performance Comparison

In the year-to-date period, VVR achieves a 5.54% return, which is significantly lower than BKLN's 7.38% return. Over the past 10 years, VVR has outperformed BKLN with an annualized return of 6.70%, while BKLN has yielded a comparatively lower 3.58% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-5.67%
4.32%
VVR
BKLN

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Risk-Adjusted Performance

VVR vs. BKLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Senior Income Trust (VVR) and Invesco Senior Loan ETF (BKLN). 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.


VVR
Sharpe ratio
The chart of Sharpe ratio for VVR, currently valued at 0.71, compared to the broader market-4.00-2.000.002.004.000.71
Sortino ratio
The chart of Sortino ratio for VVR, currently valued at 1.04, compared to the broader market-4.00-2.000.002.004.006.001.04
Omega ratio
The chart of Omega ratio for VVR, currently valued at 1.14, compared to the broader market0.501.001.502.001.14
Calmar ratio
The chart of Calmar ratio for VVR, currently valued at 0.87, compared to the broader market0.002.004.006.000.87
Martin ratio
The chart of Martin ratio for VVR, currently valued at 2.60, compared to the broader market0.0010.0020.0030.002.60
BKLN
Sharpe ratio
The chart of Sharpe ratio for BKLN, currently valued at 4.17, compared to the broader market-4.00-2.000.002.004.004.17
Sortino ratio
The chart of Sortino ratio for BKLN, currently valued at 6.42, compared to the broader market-4.00-2.000.002.004.006.006.42
Omega ratio
The chart of Omega ratio for BKLN, currently valued at 2.14, compared to the broader market0.501.001.502.002.14
Calmar ratio
The chart of Calmar ratio for BKLN, currently valued at 5.83, compared to the broader market0.002.004.006.005.83
Martin ratio
The chart of Martin ratio for BKLN, currently valued at 49.29, compared to the broader market0.0010.0020.0030.0049.29

VVR vs. BKLN - Sharpe Ratio Comparison

The current VVR Sharpe Ratio is 0.71, which is lower than the BKLN Sharpe Ratio of 4.17. The chart below compares the historical Sharpe Ratios of VVR and BKLN, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
0.71
4.17
VVR
BKLN

Dividends

VVR vs. BKLN - Dividend Comparison

VVR's dividend yield for the trailing twelve months is around 12.10%, more than BKLN's 8.64% yield.


TTM20232022202120202019201820172016201520142013
VVR
Invesco Senior Income Trust
12.10%11.54%11.46%7.23%6.71%6.22%6.83%6.08%6.49%7.97%7.11%7.18%
BKLN
Invesco Senior Loan ETF
8.64%8.59%4.93%3.11%3.56%4.86%4.51%3.51%4.55%4.11%4.12%4.39%

Drawdowns

VVR vs. BKLN - Drawdown Comparison

The maximum VVR drawdown since its inception was -73.80%, which is greater than BKLN's maximum drawdown of -24.17%. Use the drawdown chart below to compare losses from any high point for VVR and BKLN. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.85%
-0.14%
VVR
BKLN

Volatility

VVR vs. BKLN - Volatility Comparison

Invesco Senior Income Trust (VVR) has a higher volatility of 3.54% compared to Invesco Senior Loan ETF (BKLN) at 0.51%. This indicates that VVR's price experiences larger fluctuations and is considered to be riskier than BKLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.54%
0.51%
VVR
BKLN