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

Performance

TFLR vs. FIQSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Floating Rate ETF (TFLR) and Fidelity Advisor Floating Rate High Income Fund Class Z (FIQSX). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
4.39%
TFLR
FIQSX

Returns By Period

The year-to-date returns for both investments are quite close, with TFLR having a 7.89% return and FIQSX slightly higher at 8.27%.


TFLR

YTD

7.89%

1M

0.93%

6M

4.07%

1Y

10.06%

5Y (annualized)

N/A

10Y (annualized)

N/A

FIQSX

YTD

8.27%

1M

0.90%

6M

4.38%

1Y

10.05%

5Y (annualized)

5.78%

10Y (annualized)

N/A

Key characteristics


TFLRFIQSX
Sharpe Ratio3.973.85
Sortino Ratio6.2811.70
Omega Ratio1.953.48
Calmar Ratio9.6311.64
Martin Ratio57.6561.58
Ulcer Index0.18%0.16%
Daily Std Dev2.56%2.59%
Max Drawdown-1.48%-22.19%
Current Drawdown0.00%0.00%

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TFLR vs. FIQSX - Expense Ratio Comparison

TFLR has a 0.60% expense ratio, which is lower than FIQSX's 0.62% expense ratio.


FIQSX
Fidelity Advisor Floating Rate High Income Fund Class Z
Expense ratio chart for FIQSX: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
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%

Correlation

-0.50.00.51.00.2

The correlation between TFLR and FIQSX is 0.15, 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.

Risk-Adjusted Performance

TFLR vs. FIQSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate ETF (TFLR) and Fidelity Advisor Floating Rate High Income Fund Class Z (FIQSX). 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.


Sharpe ratio
The chart of Sharpe ratio for TFLR, currently valued at 3.94, compared to the broader market0.002.004.003.943.85
The chart of Sortino ratio for TFLR, currently valued at 6.23, compared to the broader market-2.000.002.004.006.008.0010.0012.006.2311.70
The chart of Omega ratio for TFLR, currently valued at 1.95, compared to the broader market0.501.001.502.002.503.001.953.48
The chart of Calmar ratio for TFLR, currently valued at 9.55, compared to the broader market0.005.0010.0015.009.5511.64
The chart of Martin ratio for TFLR, currently valued at 57.02, compared to the broader market0.0020.0040.0060.0080.00100.0057.0261.58
TFLR
FIQSX

The current TFLR Sharpe Ratio is 3.97, which is comparable to the FIQSX Sharpe Ratio of 3.85. The chart below compares the historical Sharpe Ratios of TFLR and FIQSX, 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 Ratio3.003.504.004.505.00JuneJulyAugustSeptemberOctoberNovember
3.94
3.85
TFLR
FIQSX

Dividends

TFLR vs. FIQSX - Dividend Comparison

TFLR's dividend yield for the trailing twelve months is around 8.21%, less than FIQSX's 8.43% yield.


TTM202320222021202020192018
TFLR
T. Rowe Price Floating Rate ETF
8.21%7.76%0.58%0.00%0.00%0.00%0.00%
FIQSX
Fidelity Advisor Floating Rate High Income Fund Class Z
8.43%8.29%5.13%3.33%3.91%5.19%1.37%

Drawdowns

TFLR vs. FIQSX - Drawdown Comparison

The maximum TFLR drawdown since its inception was -1.48%, smaller than the maximum FIQSX drawdown of -22.19%. Use the drawdown chart below to compare losses from any high point for TFLR and FIQSX. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
TFLR
FIQSX

Volatility

TFLR vs. FIQSX - Volatility Comparison

The current volatility for T. Rowe Price Floating Rate ETF (TFLR) is 0.36%, while Fidelity Advisor Floating Rate High Income Fund Class Z (FIQSX) has a volatility of 0.60%. This indicates that TFLR experiences smaller price fluctuations and is considered to be less risky than FIQSX 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
0.36%
0.60%
TFLR
FIQSX