TFJL vs. FAAR
TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while FAAR is a Commodities fund actively managed by First Trust. Both are actively managed. Over the past 5 years, TFJL returned -3.56%/yr vs 7.72%/yr for FAAR. At a correlation of -0.15, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.95%/yr for FAAR.
Performance
TFJL vs. FAAR - 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 FAAR's 19.14% return.
TFJL
- 1D
- 0.15%
- 1M
- 1.73%
- YTD
- -1.34%
- 6M
- -1.61%
- 1Y
- -1.74%
- 3Y*
- -1.49%
- 5Y*
- -3.56%
- 10Y*
- —
FAAR
- 1D
- -0.91%
- 1M
- -5.21%
- YTD
- 19.14%
- 6M
- 18.06%
- 1Y
- 28.33%
- 3Y*
- 10.57%
- 5Y*
- 7.72%
- 10Y*
- 4.69%
TFJL vs. FAAR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -1.34% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -2.00% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 19.14% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 4.24% |
Correlation
The correlation between TFJL and FAAR is -0.28, 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 | -0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.17 |
Correlation (All Time) Calculated using the full available price history since Aug 18, 2020 | -0.15 |
The correlation between TFJL and FAAR shifts across timeframes, from -0.28 (1 year) to -0.15 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
TFJL vs. FAAR — Risk / Return Rank
TFJL
FAAR
TFJL vs. FAAR - 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 First Trust Alternative Absolute Return Strategy ETF (FAAR). 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 | FAAR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.36 | ||
| Sortino ratioReturn per unit of downside risk | -3.34 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.37 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 4.52 | -4.73 |
| Martin ratioReturn relative to average drawdown | -0.44 | 15.18 | -15.61 |
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Drawdowns
TFJL vs. FAAR - Drawdown Comparison
The maximum TFJL drawdown since its inception was -25.45%, which is greater than FAAR's maximum drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for TFJL and FAAR.
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Drawdown Indicators
| TFJL | FAAR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.45% | -18.03% | -7.42% |
Max Drawdown (1Y)Largest decline over 1 year | -8.50% | -6.29% | -2.21% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -11.54% | -1.18% |
Max Drawdown (5Y)Largest decline over 5 years | -23.45% | -18.03% | -5.42% |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.03% | — |
Current DrawdownCurrent decline from peak | -22.04% | -6.29% | -15.75% |
Average DrawdownAverage peak-to-trough decline | -15.07% | -7.82% | -7.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.01% | 1.87% | +2.14% |
Volatility
TFJL vs. FAAR - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.05%, while First Trust Alternative Absolute Return Strategy ETF (FAAR) has a volatility of 2.55%. This indicates that TFJL experiences smaller price fluctuations and is considered to be less risky than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TFJL | FAAR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.05% | 2.55% | -0.50% |
Volatility (6M)Calculated over the trailing 6-month period | 5.82% | 9.68% | -3.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.31% | 13.38% | -5.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.38% | 12.96% | -3.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.02% | 11.54% | -2.52% |
TFJL vs. FAAR - Expense Ratio Comparison
TFJL has a 0.79% expense ratio, which is lower than FAAR's 0.95% expense ratio.
Dividends
TFJL vs. FAAR - Dividend Comparison
TFJL has not paid dividends to shareholders, while FAAR's dividend yield for the trailing twelve months is around 9.66%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 9.66% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% |
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% |
Frequently Asked Questions
TFJL and FAAR have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FAAR has higher volatility (2.55%) compared to TFJL (2.05%). In terms of maximum drawdown, TFJL dropped -25.45% vs FAAR's -18.03%.
On 5-year performance, FAAR leads with 7.72% vs -3.56% for TFJL. On fees, TFJL is cheaper at 0.79% per year. On volatility, TFJL has been the lower-risk option at 2.05%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FAAR has performed better with a 7.72% return vs -3.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TFJL is cheaper with a 0.79% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 9.66%, compared with 0.00% for TFJL.
TFJL is categorized as Defined Outcome, while FAAR is Commodities. They also come from different issuers: Innovator and First Trust. Their fees differ too: 0.79% for TFJL and 0.95% for FAAR.
FAAR currently has the higher Sharpe Ratio (2.15 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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