TFJL vs. DMAX

Last updated Jun 4, 2026

TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and DMAX (iShares Large Cap Max Buffer December ETF) are both Defined Outcome funds. TFJL is actively managed, while DMAX is passively managed. Over the past year, TFJL returned -2.72% vs 8.46% for DMAX. At a 0.14 correlation, their price movements are largely independent. TFJL charges 0.79%/yr vs 0.50%/yr for DMAX.

Performance

TFJL vs. DMAX - 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 iShares Large Cap Max Buffer December ETF (DMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TFJL achieves a -2.35% return, which is significantly lower than DMAX's 2.34% return.

TFJL

• 1D: -0.54%
• 1M: -0.05%
• YTD: -2.35%
• 6M: -4.14%
• 1Y: -2.72%
• 3Y*: -1.72%
• 5Y*: -3.76%
• 10Y*: —

DMAX

• 1D: -0.07%
• 1M: 0.86%
• YTD: 2.34%
• 6M: 3.01%
• 1Y: 8.46%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TFJL vs. DMAX - Yearly Performance Comparison

	2026 (YTD)	2025
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	-2.35%	-0.78%
DMAX iShares Large Cap Max Buffer December ETF	2.34%	7.81%

Correlation

The correlation between TFJL and DMAX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.14

Return for Risk

TFJL vs. DMAX — 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: 5
TFJL Omega Ratio Rank: 5
TFJL Calmar Ratio Rank: 6
TFJL Martin Ratio Rank: 6

DMAX

DMAX Risk / Return Rank: 94
DMAX Sharpe Ratio Rank: 94
DMAX Sortino Ratio Rank: 96
DMAX Omega Ratio Rank: 96
DMAX Calmar Ratio Rank: 91
DMAX Martin Ratio Rank: 95

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. DMAX - 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 Large Cap Max Buffer December ETF (DMAX). 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	DMAX	Difference
Sharpe ratio Return per unit of total volatility	-0.33	3.65	-3.98
Sortino ratio Return per unit of downside risk	-0.42	5.65	-6.07
Omega ratio Gain probability vs. loss probability	0.95	1.79	-0.83
Calmar ratio Return relative to maximum drawdown	-0.32	6.01	-6.33
Martin ratio Return relative to average drawdown	-0.73	30.74	-31.47
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TFJL vs. DMAX - Sharpe Ratio Comparison

The current TFJL Sharpe Ratio is -0.33, which is lower than the DMAX Sharpe Ratio of 3.65. The chart below compares the historical Sharpe Ratios of TFJL and DMAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TFJL	DMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.33	3.65	-3.98
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.40	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.48	2.14	-2.62

Drawdowns

TFJL vs. DMAX - Drawdown Comparison

The maximum TFJL drawdown since its inception was -25.45%, which is greater than DMAX's maximum drawdown of -3.37%. Use the drawdown chart below to compare losses from any high point for TFJL and DMAX.

Drawdown Indicators

	TFJL	DMAX	Difference
Max Drawdown Largest peak-to-trough decline	-25.45%	-3.37%	-22.08%
Max Drawdown (1Y) Largest decline over 1 year	-8.50%	-1.41%	-7.09%
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	-22.83%	-0.07%	-22.76%
Average Drawdown Average peak-to-trough decline	-15.02%	-0.38%	-14.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.74%	0.28%	+3.46%

Volatility

TFJL vs. DMAX - Volatility Comparison

Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) has a higher volatility of 1.99% compared to iShares Large Cap Max Buffer December ETF (DMAX) at 0.32%. This indicates that TFJL's price experiences larger fluctuations and is considered to be riskier than DMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TFJL	DMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.99%	0.32%	+1.67%
Volatility (6M) Calculated over the trailing 6-month period	5.67%	1.54%	+4.13%
Volatility (1Y) Calculated over the trailing 1-year period	8.22%	2.33%	+5.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.34%	3.40%	+5.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.03%	3.40%	+5.63%

TFJL vs. DMAX - Expense Ratio Comparison

TFJL has a 0.79% expense ratio, which is higher than DMAX's 0.50% expense ratio.

Dividends

TFJL vs. DMAX - Dividend Comparison

TFJL has not paid dividends to shareholders, while DMAX's dividend yield for the trailing twelve months is around 1.15%.

Position	TTM	2025
DMAX iShares Large Cap Max Buffer December ETF	1.15%	1.18%
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	0.00%	0.00%

Frequently Asked Questions

Can I hold both TFJL and DMAX in my portfolio?

TFJL and DMAX have a correlation of 0.16, 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 DMAX?

TFJL has higher volatility (1.99%) compared to DMAX (0.32%). In terms of maximum drawdown, TFJL dropped -25.45% vs DMAX's -3.37%.

Which ETF is better, TFJL or DMAX?

On 1-year performance, DMAX leads with 8.46% vs -2.72% for TFJL. On fees, DMAX is cheaper at 0.50% per year. On volatility, DMAX has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TFJL or DMAX?

Over the 1-year period, DMAX has performed better with a 8.46% return vs -2.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TFJL or DMAX?

DMAX is cheaper with a 0.50% expense ratio, compared with 0.79% for TFJL.

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

DMAX has the higher dividend yield at 1.15%, compared with 0.00% for TFJL.

What is the main difference between TFJL and DMAX?

They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TFJL and 0.50% for DMAX.

Which has better risk-adjusted returns?

DMAX currently has the higher Sharpe Ratio (3.65 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.