THYF vs. JAAA

Last updated Jun 3, 2026

THYF (T. Rowe Price U.S. High Yield ETF) and JAAA (Janus Henderson AAA CLO ETF) are both exchange-traded funds - THYF is a High Yield Bonds fund actively managed by T. Rowe Price, while JAAA is a CLO fund actively managed by Janus Henderson. Both are actively managed. Over the past 3 years, THYF returned 8.70%/yr vs 6.72%/yr for JAAA. At a 0.14 correlation, their price movements are largely independent. THYF charges 0.56%/yr vs 0.21%/yr for JAAA.

Performance

THYF vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. High Yield ETF (THYF) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with THYF having a 1.86% return and JAAA slightly higher at 1.89%.

THYF

• 1D: 0.04%
• 1M: 0.61%
• YTD: 1.86%
• 6M: 2.44%
• 1Y: 7.58%
• 3Y*: 8.70%
• 5Y*: —
• 10Y*: —

JAAA

• 1D: 0.02%
• 1M: 0.47%
• YTD: 1.89%
• 6M: 2.49%
• 1Y: 5.14%
• 3Y*: 6.72%
• 5Y*: 4.80%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

THYF vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
THYF T. Rowe Price U.S. High Yield ETF	1.86%	7.77%	8.51%	11.32%	1.53%
JAAA Janus Henderson AAA CLO ETF	1.89%	5.16%	7.43%	8.59%	2.18%

Correlation

The correlation between THYF and JAAA is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (All Time) Calculated using the full available price history since Oct 27, 2022	0.14

Return for Risk

THYF vs. JAAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

THYF

THYF Risk / Return Rank: 65
THYF Sharpe Ratio Rank: 65
THYF Sortino Ratio Rank: 73
THYF Omega Ratio Rank: 71
THYF Calmar Ratio Rank: 53
THYF Martin Ratio Rank: 66

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 98
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

THYF vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. High Yield ETF (THYF) and Janus Henderson AAA CLO ETF (JAAA). 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.

	THYF	JAAA	Difference
Sharpe ratio Return per unit of total volatility	2.18	6.08	-3.90
Sortino ratio Return per unit of downside risk	3.35	10.21	-6.86
Omega ratio Gain probability vs. loss probability	1.43	2.72	-1.29
Calmar ratio Return relative to maximum drawdown	2.68	13.29	-10.61
Martin ratio Return relative to average drawdown	12.28	71.37	-59.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

THYF vs. JAAA - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 2.18, which is lower than the JAAA Sharpe Ratio of 6.08. The chart below compares the historical Sharpe Ratios of THYF and JAAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	THYF	JAAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.18	6.08	-3.90
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	2.88	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.49	2.78	-1.29

Drawdowns

THYF vs. JAAA - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for THYF and JAAA.

Drawdown Indicators

	THYF	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-5.24%	-2.64%	-2.60%
Max Drawdown (1Y) Largest decline over 1 year	-2.80%	-0.39%	-2.41%
Max Drawdown (3Y) Largest decline over 3 years	-5.07%	-1.46%	-3.61%
Max Drawdown (5Y) Largest decline over 5 years	—	-2.64%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.82%	-0.25%	-0.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.61%	0.07%	+0.54%

Volatility

THYF vs. JAAA - Volatility Comparison

T. Rowe Price U.S. High Yield ETF (THYF) has a higher volatility of 1.12% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.13%. This indicates that THYF's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	THYF	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.12%	0.13%	+0.99%
Volatility (6M) Calculated over the trailing 6-month period	2.70%	0.64%	+2.06%
Volatility (1Y) Calculated over the trailing 1-year period	3.50%	0.85%	+2.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.82%	1.68%	+4.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.82%	1.64%	+4.18%

THYF vs. JAAA - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than JAAA's 0.21% expense ratio.

Dividends

THYF vs. JAAA - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 6.99%, more than JAAA's 5.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	5.00%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%
THYF T. Rowe Price U.S. High Yield ETF	6.99%	7.17%	7.30%	8.02%	1.50%	0.00%	0.00%

Frequently Asked Questions

Can I hold both THYF and JAAA in my portfolio?

THYF and JAAA have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, THYF or JAAA?

THYF has higher volatility (1.12%) compared to JAAA (0.13%). In terms of maximum drawdown, THYF dropped -5.24% vs JAAA's -2.64%.

Which ETF is better, THYF or JAAA?

On 3-year performance, THYF leads with 8.70% vs 6.72% for JAAA. On fees, JAAA is cheaper at 0.21% per year. On volatility, JAAA has been the lower-risk option at 0.13%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, THYF or JAAA?

Over the 3-year period, THYF has performed better with a 8.70% return vs 6.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, THYF or JAAA?

JAAA is cheaper with a 0.21% expense ratio, compared with 0.56% for THYF.

Which ETF pays a higher dividend yield, THYF or JAAA?

THYF has the higher dividend yield at 6.99%, compared with 5.00% for JAAA.

What is the main difference between THYF and JAAA?

THYF is categorized as High Yield Bonds, while JAAA is CLO. They also come from different issuers: T. Rowe Price and Janus Henderson. Their fees differ too: 0.56% for THYF and 0.21% for JAAA.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.08 vs 2.18), 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.