TFJL vs. DCMT

Last updated Jul 17, 2026

TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and DCMT (DoubleLine Commodity Strategy ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while DCMT is a Commodities fund actively managed by DoubleLine. Both are actively managed. Over the past year, TFJL returned -2.68% vs 29.43% for DCMT. At a correlation of -0.24, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.66%/yr for DCMT.

Performance

TFJL vs. DCMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) and DoubleLine Commodity Strategy ETF (DCMT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TFJL achieves a -3.71% return, which is significantly lower than DCMT's 26.32% return.

TFJL

• 1D: -0.13%
• 1M: -2.54%
• 6M: -4.58%
• YTD: -3.71%
• 1Y: -2.68%
• 3Y*: -1.78%
• 5Y*: -4.00%
• 10Y*: —

DCMT

• 1D: -0.62%
• 1M: 2.50%
• 6M: 21.40%
• YTD: 26.32%
• 1Y: 29.43%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TFJL vs. DCMT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	-3.71%	-0.81%	-4.89%
DCMT DoubleLine Commodity Strategy ETF	26.32%	6.04%	3.65%

Correlation

The correlation between TFJL and DCMT 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 (All Time) Calculated using the full available price history since Feb 1, 2024	-0.24

The correlation between TFJL and DCMT shifts across timeframes, from -0.34 (1 year) to -0.24 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TFJL vs. DCMT — Risk / Return Rank

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

TFJL

TFJL Risk / Return Rank: 6
TFJL Sharpe Ratio Rank: 6
TFJL Sortino Ratio Rank: 6
TFJL Omega Ratio Rank: 6
TFJL Calmar Ratio Rank: 7
TFJL Martin Ratio Rank: 6

DCMT

DCMT Risk / Return Rank: 52
DCMT Sharpe Ratio Rank: 58
DCMT Sortino Ratio Rank: 56
DCMT Omega Ratio Rank: 54
DCMT Calmar Ratio Rank: 44
DCMT Martin Ratio Rank: 49

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.

TFJL vs. DCMT - 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 DoubleLine Commodity Strategy ETF (DCMT). 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	DCMT	Difference
Sharpe ratio: Return per unit of total volatility	-0.32	1.58	-1.90
Sortino ratio: Return per unit of downside risk	-0.40	2.18	-2.58
Omega ratio: Gain probability vs. loss probability	0.96	1.27	-0.32
Calmar ratio: Return relative to maximum drawdown	-0.32	1.85	-2.17
Martin ratio: Return relative to average drawdown	-0.62	6.54	-7.16

TFJL vs. DCMT - Sharpe Ratio Comparison

The current TFJL Sharpe Ratio is -0.32, which is lower than the DCMT Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of TFJL and DCMT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

TFJL vs. DCMT - Drawdown Comparison

The maximum TFJL drawdown since its inception was -25.45%, which is greater than DCMT's maximum drawdown of -15.96%. Use the drawdown chart below to compare losses from any high point for TFJL and DCMT.

Drawdown Indicators

	TFJL	DCMT	Difference
Max Drawdown Largest peak-to-trough decline	-25.45%	-15.96%	-9.49%
Max Drawdown (1Y) Largest decline over 1 year	-8.50%	-15.96%	+7.46%
Max Drawdown (3Y) Largest decline over 3 years	-12.72%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-23.45%	—	—
Current Drawdown Current decline from peak	-23.91%	-9.33%	-14.58%
Average Drawdown Average peak-to-trough decline	-15.15%	-3.54%	-11.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.33%	4.51%	-0.18%

Volatility

TFJL vs. DCMT - Volatility Comparison

The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.65%, while DoubleLine Commodity Strategy ETF (DCMT) has a volatility of 5.79%. This indicates that TFJL experiences smaller price fluctuations and is considered to be less risky than DCMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TFJL	DCMT	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.65%	5.79%	-3.14%
Volatility (6M) Calculated over the trailing 6-month period	6.04%	16.87%	-10.83%
Volatility (1Y) Calculated over the trailing 1-year period	8.35%	18.76%	-10.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.42%	16.01%	-6.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.02%	16.01%	-6.99%

TFJL vs. DCMT - Expense Ratio Comparison

TFJL has a 0.79% expense ratio, which is higher than DCMT's 0.66% expense ratio.

Dividends

TFJL vs. DCMT - Dividend Comparison

TFJL has not paid dividends to shareholders, while DCMT's dividend yield for the trailing twelve months is around 2.91%.

Position	TTM	2025	2024
DCMT DoubleLine Commodity Strategy ETF	2.91%	3.67%	1.59%
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TFJL and DCMT in my portfolio?

TFJL and DCMT 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.

Which is riskier, TFJL or DCMT?

DCMT has higher volatility (5.79%) compared to TFJL (2.65%). In terms of maximum drawdown, TFJL dropped -25.45% vs DCMT's -15.96%.

Which ETF is better, TFJL or DCMT?

On 1-year performance, DCMT leads with 29.43% vs -2.68% for TFJL. On fees, DCMT is cheaper at 0.66% 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.

Which ETF has performed better, TFJL or DCMT?

Over the 1-year period, DCMT has performed better with a 29.43% return vs -2.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TFJL or DCMT?

DCMT is cheaper with a 0.66% expense ratio, compared with 0.79% for TFJL.

Which ETF pays a higher dividend yield, TFJL or DCMT?

DCMT has the higher dividend yield at 2.91%, compared with 0.00% for TFJL.

What is the main difference between TFJL and DCMT?

TFJL is categorized as Defined Outcome, while DCMT is Commodities. They also come from different issuers: Innovator and DoubleLine. Their fees differ too: 0.79% for TFJL and 0.66% for DCMT.

Which has better risk-adjusted returns?

DCMT currently has the higher Sharpe Ratio (1.58 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.