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TFLR vs. CLOZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TFLRCLOZ
YTD Return7.61%10.18%
1Y Return10.35%13.62%
Sharpe Ratio4.106.25
Sortino Ratio6.549.26
Omega Ratio1.993.17
Calmar Ratio10.049.95
Martin Ratio60.0760.40
Ulcer Index0.18%0.23%
Daily Std Dev2.58%2.21%
Max Drawdown-1.48%-2.70%
Current Drawdown0.00%-0.07%

Correlation

-0.50.00.51.00.1

The correlation between TFLR and CLOZ is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

TFLR vs. CLOZ - Performance Comparison

In the year-to-date period, TFLR achieves a 7.61% return, which is significantly lower than CLOZ's 10.18% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.86%
5.20%
TFLR
CLOZ

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TFLR vs. CLOZ - Expense Ratio Comparison

TFLR has a 0.60% expense ratio, which is higher than CLOZ's 0.50% expense ratio.


TFLR
T. Rowe Price Floating Rate ETF
Expense ratio chart for TFLR: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for CLOZ: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

TFLR vs. CLOZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate ETF (TFLR) and Panagram Bbb-B Clo ETF (CLOZ). 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.


TFLR
Sharpe ratio
The chart of Sharpe ratio for TFLR, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Sortino ratio
The chart of Sortino ratio for TFLR, currently valued at 6.54, compared to the broader market0.005.0010.006.54
Omega ratio
The chart of Omega ratio for TFLR, currently valued at 1.99, compared to the broader market1.001.502.002.503.001.99
Calmar ratio
The chart of Calmar ratio for TFLR, currently valued at 10.04, compared to the broader market0.005.0010.0015.0010.04
Martin ratio
The chart of Martin ratio for TFLR, currently valued at 60.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0060.07
CLOZ
Sharpe ratio
The chart of Sharpe ratio for CLOZ, currently valued at 6.25, compared to the broader market-2.000.002.004.006.006.25
Sortino ratio
The chart of Sortino ratio for CLOZ, currently valued at 9.26, compared to the broader market0.005.0010.009.26
Omega ratio
The chart of Omega ratio for CLOZ, currently valued at 3.17, compared to the broader market1.001.502.002.503.003.17
Calmar ratio
The chart of Calmar ratio for CLOZ, currently valued at 9.95, compared to the broader market0.005.0010.0015.009.95
Martin ratio
The chart of Martin ratio for CLOZ, currently valued at 60.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.0060.40

TFLR vs. CLOZ - Sharpe Ratio Comparison

The current TFLR Sharpe Ratio is 4.10, which is lower than the CLOZ Sharpe Ratio of 6.25. The chart below compares the historical Sharpe Ratios of TFLR and CLOZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio3.004.005.006.007.008.00JuneJulyAugustSeptemberOctoberNovember
4.10
6.25
TFLR
CLOZ

Dividends

TFLR vs. CLOZ - Dividend Comparison

TFLR's dividend yield for the trailing twelve months is around 8.24%, less than CLOZ's 9.03% yield.


TTM20232022
TFLR
T. Rowe Price Floating Rate ETF
8.24%7.76%0.58%
CLOZ
Panagram Bbb-B Clo ETF
9.03%8.81%0.00%

Drawdowns

TFLR vs. CLOZ - Drawdown Comparison

The maximum TFLR drawdown since its inception was -1.48%, smaller than the maximum CLOZ drawdown of -2.70%. Use the drawdown chart below to compare losses from any high point for TFLR and CLOZ. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.07%
TFLR
CLOZ

Volatility

TFLR vs. CLOZ - Volatility Comparison

The current volatility for T. Rowe Price Floating Rate ETF (TFLR) is 0.44%, while Panagram Bbb-B Clo ETF (CLOZ) has a volatility of 0.51%. This indicates that TFLR experiences smaller price fluctuations and is considered to be less risky than CLOZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.44%
0.51%
TFLR
CLOZ