TFJL vs. COMT
TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and COMT (iShares Commodities Select Strategy ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while COMT is a Commodities fund actively managed by iShares. Both are actively managed. Over the past 5 years, TFJL returned -3.76%/yr vs 13.50%/yr for COMT. At a correlation of -0.18, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.48%/yr for COMT.
Performance
TFJL vs. COMT - Performance Comparison
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Returns By Period
In the year-to-date period, TFJL achieves a -2.35% return, which is significantly lower than COMT's 39.67% return.
TFJL
- 1D
- -0.54%
- 1M
- -0.05%
- YTD
- -2.35%
- 6M
- -4.14%
- 1Y
- -2.72%
- 3Y*
- -1.72%
- 5Y*
- -3.76%
- 10Y*
- —
COMT
- 1D
- 0.78%
- 1M
- -4.35%
- YTD
- 39.67%
- 6M
- 39.06%
- 1Y
- 47.51%
- 3Y*
- 16.86%
- 5Y*
- 13.50%
- 10Y*
- 9.09%
TFJL vs. COMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -2.35% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -1.98% |
COMT iShares Commodities Select Strategy ETF | 39.67% | 6.07% | 5.96% | -6.56% | 19.45% | 36.88% | 4.06% |
Correlation
The correlation between TFJL and COMT is -0.34, 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 | -0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.20 |
Correlation (All Time) Calculated using the full available price history since Aug 19, 2020 | -0.18 |
The correlation between TFJL and COMT shifts across timeframes, from -0.34 (1 year) to -0.18 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
TFJL vs. COMT — Risk / Return Rank
TFJL
COMT
TFJL vs. COMT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) and iShares Commodities Select Strategy ETF (COMT). 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.
| TFJL | COMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.58 | ||
| Sortino ratioReturn per unit of downside risk | -3.30 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.40 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | -0.32 | 5.95 | -6.27 |
| Martin ratioReturn relative to average drawdown | -0.73 | 14.11 | -14.84 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| TFJL | COMT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.33 | 2.24 | -2.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.40 | 0.64 | -1.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.48 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.48 | 0.20 | -0.69 |
Drawdowns
TFJL vs. COMT - Drawdown Comparison
The maximum TFJL drawdown since its inception was -25.45%, smaller than the maximum COMT drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for TFJL and COMT.
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Drawdown Indicators
| TFJL | COMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.45% | -51.89% | +26.44% |
Max Drawdown (1Y)Largest decline over 1 year | -8.50% | -8.02% | -0.48% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -13.31% | +0.59% |
Max Drawdown (5Y)Largest decline over 5 years | -23.45% | -29.00% | +5.55% |
Max Drawdown (10Y)Largest decline over 10 years | — | -39.22% | — |
Current DrawdownCurrent decline from peak | -22.83% | -4.82% | -18.01% |
Average DrawdownAverage peak-to-trough decline | -15.02% | -24.07% | +9.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.74% | 3.38% | +0.36% |
Volatility
TFJL vs. COMT - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 1.99%, while iShares Commodities Select Strategy ETF (COMT) has a volatility of 7.37%. This indicates that TFJL experiences smaller price fluctuations and is considered to be less risky than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TFJL | COMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.99% | 7.37% | -5.38% |
Volatility (6M)Calculated over the trailing 6-month period | 5.67% | 18.80% | -13.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 21.29% | -13.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.34% | 21.06% | -11.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.03% | 18.89% | -9.86% |
TFJL vs. COMT - Expense Ratio Comparison
TFJL has a 0.79% expense ratio, which is higher than COMT's 0.48% expense ratio.
Dividends
TFJL vs. COMT - Dividend Comparison
TFJL has not paid dividends to shareholders, while COMT's dividend yield for the trailing twelve months is around 5.54%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares Commodities Select Strategy ETF | 5.54% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
TFJL and COMT have a correlation of -0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (7.37%) compared to TFJL (1.99%). In terms of maximum drawdown, TFJL dropped -25.45% vs COMT's -51.89%.
On 5-year performance, COMT leads with 13.50% vs -3.76% for TFJL. On fees, COMT is cheaper at 0.48% per year. On volatility, TFJL has been the lower-risk option at 1.99%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, COMT has performed better with a 13.50% return vs -3.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COMT is cheaper with a 0.48% expense ratio, compared with 0.79% for TFJL.
COMT has the higher dividend yield at 5.54%, compared with 0.00% for TFJL.
TFJL is categorized as Defined Outcome, while COMT is Commodities. They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TFJL and 0.48% for COMT.
COMT currently has the higher Sharpe Ratio (2.24 vs -0.33), 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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