PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TFLR vs. FLTR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TFLRFLTR
YTD Return7.61%6.44%
1Y Return10.35%7.68%
Sharpe Ratio4.107.29
Sortino Ratio6.5411.81
Omega Ratio1.993.74
Calmar Ratio10.0410.37
Martin Ratio60.07114.30
Ulcer Index0.18%0.07%
Daily Std Dev2.58%1.06%
Max Drawdown-1.48%-17.84%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.1

The correlation between TFLR and FLTR 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.

Performance

TFLR vs. FLTR - Performance Comparison

In the year-to-date period, TFLR achieves a 7.61% return, which is significantly higher than FLTR's 6.44% 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%JuneJulyAugustSeptemberOctoberNovember
3.86%
3.07%
TFLR
FLTR

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TFLR vs. FLTR - Expense Ratio Comparison

TFLR has a 0.60% expense ratio, which is higher than FLTR's 0.14% 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 FLTR: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

TFLR vs. FLTR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate ETF (TFLR) and VanEck Vectors Investment Grade Floating Rate ETF (FLTR). 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
FLTR
Sharpe ratio
The chart of Sharpe ratio for FLTR, currently valued at 7.29, compared to the broader market-2.000.002.004.006.007.29
Sortino ratio
The chart of Sortino ratio for FLTR, currently valued at 11.81, compared to the broader market0.005.0010.0011.81
Omega ratio
The chart of Omega ratio for FLTR, currently valued at 3.74, compared to the broader market1.001.502.002.503.003.74
Calmar ratio
The chart of Calmar ratio for FLTR, currently valued at 10.37, compared to the broader market0.005.0010.0015.0010.37
Martin ratio
The chart of Martin ratio for FLTR, currently valued at 114.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.00114.30

TFLR vs. FLTR - Sharpe Ratio Comparison

The current TFLR Sharpe Ratio is 4.10, which is lower than the FLTR Sharpe Ratio of 7.29. The chart below compares the historical Sharpe Ratios of TFLR and FLTR, 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 Ratio3.004.005.006.007.008.009.00JuneJulyAugustSeptemberOctoberNovember
4.10
7.29
TFLR
FLTR

Dividends

TFLR vs. FLTR - Dividend Comparison

TFLR's dividend yield for the trailing twelve months is around 8.24%, more than FLTR's 6.11% yield.


TTM20232022202120202019201820172016201520142013
TFLR
T. Rowe Price Floating Rate ETF
8.24%7.76%0.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
6.11%6.08%2.30%0.63%1.49%3.05%2.67%1.69%1.16%0.71%0.66%0.65%

Drawdowns

TFLR vs. FLTR - Drawdown Comparison

The maximum TFLR drawdown since its inception was -1.48%, smaller than the maximum FLTR drawdown of -17.84%. Use the drawdown chart below to compare losses from any high point for TFLR and FLTR. For additional features, visit the drawdowns tool.


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

Volatility

TFLR vs. FLTR - Volatility Comparison

T. Rowe Price Floating Rate ETF (TFLR) has a higher volatility of 0.44% compared to VanEck Vectors Investment Grade Floating Rate ETF (FLTR) at 0.27%. This indicates that TFLR's price experiences larger fluctuations and is considered to be riskier than FLTR 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%
0.27%
TFLR
FLTR