RY vs. USFR
RY (Royal Bank of Canada) is a stock, while USFR (WisdomTree Floating Rate Treasury Fund) is Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index. Over the past 10 years, RY returned 17.49%/yr vs 2.43%/yr for USFR. At a 0.00 correlation, their price movements are largely independent.
Performance
RY vs. USFR - Performance Comparison
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Returns By Period
In the year-to-date period, RY achieves a 20.58% return, which is significantly higher than USFR's 1.78% return. Over the past 10 years, RY has outperformed USFR with an annualized return of 17.49%, while USFR has yielded a comparatively lower 2.43% annualized return.
RY
- 1D
- 0.59%
- 1M
- 6.87%
- YTD
- 20.58%
- 6M
- 21.05%
- 1Y
- 64.10%
- 3Y*
- 34.75%
- 5Y*
- 19.10%
- 10Y*
- 17.49%
USFR
- 1D
- 0.00%
- 1M
- 0.29%
- YTD
- 1.78%
- 6M
- 1.89%
- 1Y
- 3.97%
- 3Y*
- 4.72%
- 5Y*
- 3.70%
- 10Y*
- 2.43%
RY vs. USFR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 20.58% | 46.29% | 23.80% | 12.72% | -8.00% | 34.11% | 8.42% | 20.17% | -12.88% | 24.95% |
USFR WisdomTree Floating Rate Treasury Fund | 1.78% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 2.02% | 2.01% | 1.03% |
Correlation
The correlation between RY and USFR is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Feb 4, 2014 | 0.00 |
The correlation between RY and USFR shifts across timeframes, from -0.14 (1 year) to 0.00 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
RY vs. USFR — Risk / Return Rank
RY
USFR
RY vs. USFR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Royal Bank of Canada (RY) and WisdomTree Floating Rate Treasury Fund (USFR). 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.
| RY | USFR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -10.37 | ||
| Sortino ratioReturn per unit of downside risk | -43.78 | ||
| Omega ratioGain probability vs. loss probability | 1.75 | 13.24 | -11.49 |
| Calmar ratioReturn relative to maximum drawdown | 6.42 | 200.29 | -193.87 |
| Martin ratioReturn relative to average drawdown | 23.93 | 775.73 | -751.81 |
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Drawdowns
RY vs. USFR - Drawdown Comparison
The maximum RY drawdown since its inception was -62.90%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for RY and USFR.
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Drawdown Indicators
| RY | USFR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.90% | -1.36% | -61.54% |
Max Drawdown (1Y)Largest decline over 1 year | -10.04% | -0.02% | -10.02% |
Max Drawdown (3Y)Largest decline over 3 years | -19.88% | -0.06% | -19.82% |
Max Drawdown (5Y)Largest decline over 5 years | -28.36% | -0.18% | -28.18% |
Max Drawdown (10Y)Largest decline over 10 years | -39.95% | -0.80% | -39.15% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -9.31% | -0.15% | -9.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.69% | 0.01% | +2.68% |
Volatility
RY vs. USFR - Volatility Comparison
Royal Bank of Canada (RY) has a higher volatility of 3.15% compared to WisdomTree Floating Rate Treasury Fund (USFR) at 0.08%. This indicates that RY's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RY | USFR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.15% | 0.08% | +3.07% |
Volatility (6M)Calculated over the trailing 6-month period | 11.27% | 0.19% | +11.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.07% | 0.27% | +14.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.99% | 0.40% | +17.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.74% | 0.78% | +18.96% |
Dividends
RY vs. USFR - Dividend Comparison
RY's dividend yield for the trailing twelve months is around 2.28%, less than USFR's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 2.28% | 2.54% | 3.39% | 4.29% | 4.07% | 3.24% | 3.88% | 3.88% | 4.27% | 3.22% | 3.95% | 5.41% |
USFR WisdomTree Floating Rate Treasury Fund | 3.91% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% |
Frequently Asked Questions
RY and USFR have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
RY has higher volatility (3.15%) compared to USFR (0.08%). In terms of maximum drawdown, RY dropped -62.90% vs USFR's -1.36%.
USFR currently has the higher Sharpe Ratio (14.65 vs 4.28), 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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