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

Performance

TFLR vs. VCIT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Floating Rate ETF (TFLR) and Vanguard Intermediate-Term Corporate Bond ETF (VCIT). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.09%
3.99%
TFLR
VCIT

Returns By Period

In the year-to-date period, TFLR achieves a 7.85% return, which is significantly higher than VCIT's 3.58% return.


TFLR

YTD

7.85%

1M

0.84%

6M

4.09%

1Y

10.11%

5Y (annualized)

N/A

10Y (annualized)

N/A

VCIT

YTD

3.58%

1M

-1.26%

6M

3.99%

1Y

9.16%

5Y (annualized)

1.00%

10Y (annualized)

2.80%

Key characteristics


TFLRVCIT
Sharpe Ratio4.061.67
Sortino Ratio6.452.48
Omega Ratio1.981.29
Calmar Ratio9.910.73
Martin Ratio59.376.62
Ulcer Index0.18%1.42%
Daily Std Dev2.57%5.63%
Max Drawdown-1.48%-20.56%
Current Drawdown-0.01%-4.84%

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TFLR vs. VCIT - Expense Ratio Comparison

TFLR has a 0.60% expense ratio, which is higher than VCIT's 0.04% 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 VCIT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.00.2

The correlation between TFLR and VCIT is 0.17, 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. VCIT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Floating Rate ETF (TFLR) and Vanguard Intermediate-Term Corporate Bond ETF (VCIT). 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 4.06, compared to the broader market0.002.004.006.004.061.67
The chart of Sortino ratio for TFLR, currently valued at 6.45, compared to the broader market-2.000.002.004.006.008.0010.0012.006.452.48
The chart of Omega ratio for TFLR, currently valued at 1.98, compared to the broader market0.501.001.502.002.503.001.981.29
The chart of Calmar ratio for TFLR, currently valued at 9.91, compared to the broader market0.005.0010.0015.009.912.73
The chart of Martin ratio for TFLR, currently valued at 59.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0059.376.62
TFLR
VCIT

The current TFLR Sharpe Ratio is 4.06, which is higher than the VCIT Sharpe Ratio of 1.67. The chart below compares the historical Sharpe Ratios of TFLR and VCIT, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.06
1.67
TFLR
VCIT

Dividends

TFLR vs. VCIT - Dividend Comparison

TFLR's dividend yield for the trailing twelve months is around 8.22%, more than VCIT's 4.29% yield.


TTM20232022202120202019201820172016201520142013
TFLR
T. Rowe Price Floating Rate ETF
8.22%7.76%0.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VCIT
Vanguard Intermediate-Term Corporate Bond ETF
4.29%3.72%3.04%2.88%2.78%3.37%3.61%3.21%3.29%3.34%3.34%4.00%

Drawdowns

TFLR vs. VCIT - Drawdown Comparison

The maximum TFLR drawdown since its inception was -1.48%, smaller than the maximum VCIT drawdown of -20.56%. Use the drawdown chart below to compare losses from any high point for TFLR and VCIT. For additional features, visit the drawdowns tool.


-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.01%
-2.72%
TFLR
VCIT

Volatility

TFLR vs. VCIT - Volatility Comparison

The current volatility for T. Rowe Price Floating Rate ETF (TFLR) is 0.36%, while Vanguard Intermediate-Term Corporate Bond ETF (VCIT) has a volatility of 1.63%. This indicates that TFLR experiences smaller price fluctuations and is considered to be less risky than VCIT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.36%
1.63%
TFLR
VCIT