TFJL vs. FFUT

Last updated Jun 24, 2026

TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and FFUT (Fidelity Managed Futures ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while FFUT is a Systematic Trend fund actively managed by Fidelity. Both are actively managed. Over the past year, TFJL returned -1.74% vs 18.72% for FFUT. At a correlation of -0.29, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.80%/yr for FFUT.

Performance

TFJL vs. FFUT - 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 Fidelity Managed Futures ETF (FFUT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TFJL achieves a -1.34% return, which is significantly lower than FFUT's 8.83% return.

TFJL

• 1D: 0.15%
• 1M: 1.73%
• YTD: -1.34%
• 6M: -1.61%
• 1Y: -1.74%
• 3Y*: -1.49%
• 5Y*: -3.56%
• 10Y*: —

FFUT

• 1D: -0.36%
• 1M: -2.69%
• YTD: 8.83%
• 6M: 9.28%
• 1Y: 18.72%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TFJL vs. FFUT - Yearly Performance Comparison

	2026 (YTD)	2025
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	-1.34%	-0.98%
FFUT Fidelity Managed Futures ETF	8.83%	8.58%

Correlation

The correlation between TFJL and FFUT is -0.30, 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	-0.30
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025	-0.29

Return for Risk

TFJL vs. FFUT — Risk / Return Rank

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

TFJL

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

FFUT

FFUT Risk / Return Rank: 64
FFUT Sharpe Ratio Rank: 51
FFUT Sortino Ratio Rank: 51
FFUT Omega Ratio Rank: 54
FFUT Calmar Ratio Rank: 84
FFUT Martin Ratio Rank: 79

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. FFUT - 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 Fidelity Managed Futures ETF (FFUT). 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	FFUT	Difference
Sharpe ratio: Return per unit of total volatility	-0.21	1.68	-1.89
Sortino ratio: Return per unit of downside risk	-0.24	2.40	-2.64
Omega ratio: Gain probability vs. loss probability	0.97	1.32	-0.35
Calmar ratio: Return relative to maximum drawdown	-0.21	4.35	-4.55
Martin ratio: Return relative to average drawdown	-0.44	14.55	-14.99

TFJL vs. FFUT - Sharpe Ratio Comparison

The current TFJL Sharpe Ratio is -0.21, which is lower than the FFUT Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of TFJL and FFUT, 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. FFUT - Drawdown Comparison

The maximum TFJL drawdown since its inception was -25.45%, which is greater than FFUT's maximum drawdown of -4.33%. Use the drawdown chart below to compare losses from any high point for TFJL and FFUT.

Drawdown Indicators

	TFJL	FFUT	Difference
Max Drawdown Largest peak-to-trough decline	-25.45%	-4.33%	-21.12%
Max Drawdown (1Y) Largest decline over 1 year	-8.50%	-4.33%	-4.17%
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	-22.04%	-4.33%	-17.71%
Average Drawdown Average peak-to-trough decline	-15.07%	-0.96%	-14.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.01%	1.29%	+2.72%

Volatility

TFJL vs. FFUT - Volatility Comparison

The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 2.05%, while Fidelity Managed Futures ETF (FFUT) has a volatility of 2.93%. This indicates that TFJL experiences smaller price fluctuations and is considered to be less risky than FFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TFJL	FFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.05%	2.93%	-0.88%
Volatility (6M) Calculated over the trailing 6-month period	5.82%	8.97%	-3.15%
Volatility (1Y) Calculated over the trailing 1-year period	8.31%	11.22%	-2.91%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.38%	11.02%	-1.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.02%	11.02%	-2.00%

TFJL vs. FFUT - Expense Ratio Comparison

TFJL has a 0.79% expense ratio, which is lower than FFUT's 0.80% expense ratio.

Dividends

TFJL vs. FFUT - Dividend Comparison

TFJL has not paid dividends to shareholders, while FFUT's dividend yield for the trailing twelve months is around 1.92%.

Position	TTM	2025
FFUT Fidelity Managed Futures ETF	1.92%	2.09%
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly	0.00%	0.00%

Frequently Asked Questions

Can I hold both TFJL and FFUT in my portfolio?

TFJL and FFUT have a correlation of -0.30, 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 FFUT?

FFUT has higher volatility (2.93%) compared to TFJL (2.05%). In terms of maximum drawdown, TFJL dropped -25.45% vs FFUT's -4.33%.

Which ETF is better, TFJL or FFUT?

On 1-year performance, FFUT leads with 18.72% vs -1.74% 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.

Which ETF has performed better, TFJL or FFUT?

Over the 1-year period, FFUT has performed better with a 18.72% return vs -1.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TFJL or FFUT?

TFJL is cheaper with a 0.79% expense ratio, compared with 0.80% for FFUT.

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

FFUT has the higher dividend yield at 1.92%, compared with 0.00% for TFJL.

What is the main difference between TFJL and FFUT?

TFJL is categorized as Defined Outcome, while FFUT is Systematic Trend. They also come from different issuers: Innovator and Fidelity. Their fees differ too: 0.79% for TFJL and 0.80% for FFUT.

Which has better risk-adjusted returns?

FFUT currently has the higher Sharpe Ratio (1.68 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.