TFJL vs. DMAX
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 -1.74% vs 7.75% 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
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Returns By Period
In the year-to-date period, TFJL achieves a -1.34% return, which is significantly lower than DMAX's 2.19% return.
TFJL
- 1D
- 0.15%
- 1M
- 1.73%
- YTD
- -1.34%
- 6M
- -1.61%
- 1Y
- -1.74%
- 3Y*
- -1.49%
- 5Y*
- -3.56%
- 10Y*
- —
DMAX
- 1D
- -0.15%
- 1M
- 0.07%
- YTD
- 2.19%
- 6M
- 2.35%
- 1Y
- 7.75%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
TFJL vs. DMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -1.34% | -0.81% |
DMAX iShares Large Cap Max Buffer December ETF | 2.19% | 7.51% |
Correlation
The correlation between TFJL and DMAX is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025 | 0.14 |
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Return for Risk
TFJL vs. DMAX — Risk / Return Rank
TFJL
DMAX
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.
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 | DMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.56 | ||
| Sortino ratioReturn per unit of downside risk | -5.37 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.70 | -0.73 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 5.51 | -5.72 |
| Martin ratioReturn relative to average drawdown | -0.44 | 27.58 | -28.02 |
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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.
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Drawdown Indicators
| TFJL | DMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -22.04% | -0.38% | -21.66% |
Average DrawdownAverage peak-to-trough decline | -15.07% | -0.38% | -14.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.01% | 0.28% | +3.73% |
Volatility
TFJL vs. DMAX - Volatility Comparison
Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) has a higher volatility of 2.05% compared to iShares Large Cap Max Buffer December ETF (DMAX) at 0.65%. 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.
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Volatility by Period
| TFJL | DMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.05% | 0.65% | +1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 5.82% | 1.65% | +4.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.31% | 2.34% | +5.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.38% | 3.38% | +6.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.02% | 3.38% | +5.64% |
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
TFJL and DMAX have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TFJL has higher volatility (2.05%) compared to DMAX (0.65%). In terms of maximum drawdown, TFJL dropped -25.45% vs DMAX's -3.37%.
On 1-year performance, DMAX leads with 7.75% vs -1.74% for TFJL. On fees, DMAX is cheaper at 0.50% per year. On volatility, DMAX has been the lower-risk option at 0.65%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, DMAX has performed better with a 7.75% return vs -1.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DMAX is cheaper with a 0.50% expense ratio, compared with 0.79% for TFJL.
DMAX has the higher dividend yield at 1.15%, compared with 0.00% for TFJL.
They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TFJL and 0.50% for DMAX.
DMAX currently has the higher Sharpe Ratio (3.35 vs -0.21), 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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