TFJL vs. TLT
TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and TLT (iShares 20+ Year Treasury Bond ETF) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. TFJL is actively managed, while TLT is passively managed. Over the past 5 years, TFJL returned -3.76%/yr vs -6.31%/yr for TLT. A 0.79 correlation means they provide meaningful diversification when combined. TFJL charges 0.79%/yr vs 0.15%/yr for TLT.
Performance
TFJL vs. TLT - Performance Comparison
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Returns By Period
In the year-to-date period, TFJL achieves a -2.35% return, which is significantly lower than TLT's -0.27% return.
TFJL
- 1D
- -0.54%
- 1M
- -0.05%
- YTD
- -2.35%
- 6M
- -4.14%
- 1Y
- -2.72%
- 3Y*
- -1.72%
- 5Y*
- -3.76%
- 10Y*
- —
TLT
- 1D
- -0.40%
- 1M
- 0.81%
- YTD
- -0.27%
- 6M
- -2.02%
- 1Y
- 4.93%
- 3Y*
- -1.80%
- 5Y*
- -6.31%
- 10Y*
- -1.66%
TFJL vs. TLT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -2.35% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -1.98% |
TLT iShares 20+ Year Treasury Bond ETF | -0.27% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | -3.76% |
Correlation
The correlation between TFJL and TLT is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Aug 19, 2020 | 0.79 |
The correlation between TFJL and TLT shifts across timeframes, from 0.79 (all time) to 0.95 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
TFJL vs. TLT — Risk / Return Rank
TFJL
TLT
TFJL vs. TLT - 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 20+ Year Treasury Bond ETF (TLT). 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 | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.84 | ||
| Sortino ratioReturn per unit of downside risk | -1.22 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.09 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | -0.32 | 0.65 | -0.97 |
| Martin ratioReturn relative to average drawdown | -0.73 | 1.63 | -2.36 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| TFJL | TLT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.33 | 0.51 | -0.84 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.40 | -0.40 | 0.00 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.11 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.48 | 0.26 | -0.74 |
Drawdowns
TFJL vs. TLT - Drawdown Comparison
The maximum TFJL drawdown since its inception was -25.45%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for TFJL and TLT.
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Drawdown Indicators
| TFJL | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.45% | -48.35% | +22.90% |
Max Drawdown (1Y)Largest decline over 1 year | -8.50% | -7.58% | -0.92% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -19.18% | +6.46% |
Max Drawdown (5Y)Largest decline over 5 years | -23.45% | -43.70% | +20.25% |
Max Drawdown (10Y)Largest decline over 10 years | — | -48.35% | — |
Current DrawdownCurrent decline from peak | -22.83% | -40.44% | +17.61% |
Average DrawdownAverage peak-to-trough decline | -15.02% | -13.82% | -1.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.74% | 3.04% | +0.70% |
Volatility
TFJL vs. TLT - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 1.99%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 2.76%. This indicates that TFJL experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TFJL | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.99% | 2.76% | -0.77% |
Volatility (6M)Calculated over the trailing 6-month period | 5.67% | 6.50% | -0.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 9.77% | -1.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.34% | 15.87% | -6.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.03% | 14.91% | -5.88% |
TFJL vs. TLT - Expense Ratio Comparison
TFJL has a 0.79% expense ratio, which is higher than TLT's 0.15% expense ratio.
Dividends
TFJL vs. TLT - Dividend Comparison
TFJL has not paid dividends to shareholders, while TLT's dividend yield for the trailing twelve months is around 4.59%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.59% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
Frequently Asked Questions
With a correlation of 0.95, TFJL and TLT move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
TLT has higher volatility (2.76%) compared to TFJL (1.99%). In terms of maximum drawdown, TFJL dropped -25.45% vs TLT's -48.35%.
On 5-year performance, TFJL leads with -3.76% vs -6.31% for TLT. On fees, TLT is cheaper at 0.15% per year. On volatility, TFJL has been the lower-risk option at 1.99%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, TFJL has performed better with a -3.76% return vs -6.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TLT is cheaper with a 0.15% expense ratio, compared with 0.79% for TFJL.
TLT has the higher dividend yield at 4.59%, compared with 0.00% for TFJL.
TFJL is categorized as Defined Outcome, while TLT is Government Bonds. They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for TFJL and 0.15% for TLT.
TLT currently has the higher Sharpe Ratio (0.51 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.
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