TFJL vs. COMT
TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while COMT is a Commodities fund tracking the S&P GSCI Dynamic Roll (USD) Total Return Index. TFJL is actively managed, while COMT is passively managed. Over the past 5 years, TFJL returned -4.00%/yr vs 11.75%/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
Loading charts...
Returns By Period
In the year-to-date period, TFJL achieves a -3.71% return, which is significantly lower than COMT's 30.19% return.
TFJL
- 1D
- -0.13%
- 1M
- -2.54%
- 6M
- -4.58%
- YTD
- -3.71%
- 1Y
- -2.68%
- 3Y*
- -1.78%
- 5Y*
- -4.00%
- 10Y*
- —
COMT
- 1D
- -0.49%
- 1M
- 2.53%
- 6M
- 26.18%
- YTD
- 30.19%
- 1Y
- 33.20%
- 3Y*
- 12.71%
- 5Y*
- 11.75%
- 10Y*
- 8.33%
TFJL vs. COMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -3.71% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -2.00% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 30.19% | 6.07% | 5.96% | -6.56% | 19.45% | 36.88% | 4.32% |
Correlation
The correlation between TFJL and COMT is -0.35, 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 | -0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.23 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.20 |
Correlation (All Time) Calculated using the full available price history since Aug 18, 2020 | -0.18 |
The correlation between TFJL and COMT shifts across timeframes, from -0.35 (1 year) to -0.18 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 GSCI Commodity Dynamic Roll 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.
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.
| TFJL | COMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.87 | ||
| Sortino ratioReturn per unit of downside risk | -2.54 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.27 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.32 | 1.90 | -2.21 |
| Martin ratioReturn relative to average drawdown | -0.62 | 6.35 | -6.97 |
Loading charts...
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.
Loading charts...
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% | -17.57% | +9.07% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -17.57% | +4.85% |
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 | -23.91% | -11.28% | -12.63% |
Average DrawdownAverage peak-to-trough decline | -15.15% | -23.95% | +8.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.33% | 5.24% | -0.91% |
Volatility
TFJL vs. COMT - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.65%, while iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) has a volatility of 5.91%. 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.
Loading charts...
Volatility by Period
| TFJL | COMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.65% | 5.91% | -3.26% |
Volatility (6M)Calculated over the trailing 6-month period | 6.04% | 19.67% | -13.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.35% | 21.54% | -13.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.42% | 21.20% | -11.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.02% | 18.85% | -9.83% |
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 5.95%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 5.95% | 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 -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (5.91%) compared to TFJL (2.65%). In terms of maximum drawdown, TFJL dropped -25.45% vs COMT's -51.89%.
On 5-year performance, COMT leads with 11.75% vs -4.00% for TFJL. On fees, COMT is cheaper at 0.48% per year. On volatility, TFJL has been the lower-risk option at 2.65%. 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 11.75% return vs -4.00%. 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 5.95%, 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 (1.55 vs -0.32), 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.
Find the right allocation for TFJL and COMT
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer