THYF vs. TAXE

Last updated Jun 4, 2026

THYF (T. Rowe Price U.S. High Yield ETF) and TAXE (T. Rowe Price Intermediate Municipal Income ETF) are both exchange-traded funds - THYF is a High Yield Bonds fund actively managed by T. Rowe Price, while TAXE is a Municipal Bonds fund actively managed by T. Rowe Price. Both are actively managed. Over the past year, THYF returned 7.02% vs 7.44% for TAXE. At a 0.29 correlation, their price movements are largely independent. THYF charges 0.56%/yr vs 0.24%/yr for TAXE.

Performance

THYF vs. TAXE - 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 T. Rowe Price Intermediate Municipal Income ETF (TAXE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, THYF achieves a 1.50% return, which is significantly lower than TAXE's 1.80% return.

THYF

• 1D: -0.35%
• 1M: 0.61%
• YTD: 1.50%
• 6M: 1.90%
• 1Y: 7.02%
• 3Y*: 8.57%
• 5Y*: —
• 10Y*: —

TAXE

• 1D: 0.01%
• 1M: 0.61%
• YTD: 1.80%
• 6M: 2.08%
• 1Y: 7.44%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

THYF vs. TAXE - Yearly Performance Comparison

	2026 (YTD)	2025	2024
THYF T. Rowe Price U.S. High Yield ETF	1.50%	7.77%	4.04%
TAXE T. Rowe Price Intermediate Municipal Income ETF	1.80%	5.78%	1.55%

Correlation

The correlation between THYF and TAXE is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
Correlation (All Time) Calculated using the full available price history since Jul 11, 2024	0.29

Return for Risk

THYF vs. TAXE — Risk / Return Rank

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

THYF

THYF Risk / Return Rank: 61
THYF Sharpe Ratio Rank: 59
THYF Sortino Ratio Rank: 66
THYF Omega Ratio Rank: 64
THYF Calmar Ratio Rank: 51
THYF Martin Ratio Rank: 63

TAXE

TAXE Risk / Return Rank: 80
TAXE Sharpe Ratio Rank: 92
TAXE Sortino Ratio Rank: 95
TAXE Omega Ratio Rank: 96
TAXE Calmar Ratio Rank: 60
TAXE Martin Ratio Rank: 58

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. TAXE - 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 T. Rowe Price Intermediate Municipal Income ETF (TAXE). 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	TAXE	Difference
Sharpe ratio: Return per unit of total volatility	2.01	3.33	-1.33
Sortino ratio: Return per unit of downside risk	3.08	5.08	-2.00
Omega ratio: Gain probability vs. loss probability	1.39	1.80	-0.41
Calmar ratio: Return relative to maximum drawdown	2.51	2.96	-0.44
Martin ratio: Return relative to average drawdown	11.49	10.09	+1.40
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. TAXE - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 2.01, which is lower than the TAXE Sharpe Ratio of 3.33. The chart below compares the historical Sharpe Ratios of THYF and TAXE, 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	TAXE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	3.33	-1.33
Sharpe Ratio (All Time) Calculated using the full available price history	1.47	1.54	-0.07

Drawdowns

THYF vs. TAXE - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, which is greater than TAXE's maximum drawdown of -3.72%. Use the drawdown chart below to compare losses from any high point for THYF and TAXE.

Drawdown Indicators

	THYF	TAXE	Difference
Max Drawdown Largest peak-to-trough decline	-5.24%	-3.72%	-1.52%
Max Drawdown (1Y) Largest decline over 1 year	-2.80%	-2.53%	-0.27%
Max Drawdown (3Y) Largest decline over 3 years	-5.07%	—	—
Current Drawdown Current decline from peak	-0.35%	-0.57%	+0.22%
Average Drawdown Average peak-to-trough decline	-0.82%	-0.71%	-0.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.61%	0.74%	-0.13%

Volatility

THYF vs. TAXE - Volatility Comparison

T. Rowe Price U.S. High Yield ETF (THYF) has a higher volatility of 1.12% compared to T. Rowe Price Intermediate Municipal Income ETF (TAXE) at 0.76%. This indicates that THYF's price experiences larger fluctuations and is considered to be riskier than TAXE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	THYF	TAXE	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.12%	0.76%	+0.36%
Volatility (6M) Calculated over the trailing 6-month period	2.72%	1.65%	+1.07%
Volatility (1Y) Calculated over the trailing 1-year period	3.52%	2.24%	+1.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.82%	3.15%	+2.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.82%	3.15%	+2.67%

THYF vs. TAXE - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than TAXE's 0.24% expense ratio.

Dividends

THYF vs. TAXE - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.02%, more than TAXE's 3.56% yield.

Position	TTM	2025	2024	2023	2022
TAXE T. Rowe Price Intermediate Municipal Income ETF	3.56%	3.46%	1.74%	0.00%	0.00%
THYF T. Rowe Price U.S. High Yield ETF	7.02%	7.17%	7.30%	8.02%	1.50%

Frequently Asked Questions

Can I hold both THYF and TAXE in my portfolio?

THYF and TAXE have a correlation of 0.33, 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 TAXE?

THYF has higher volatility (1.12%) compared to TAXE (0.76%). In terms of maximum drawdown, THYF dropped -5.24% vs TAXE's -3.72%.

Which ETF is better, THYF or TAXE?

On 1-year performance, TAXE leads with 7.44% vs 7.02% for THYF. On fees, TAXE is cheaper at 0.24% per year. On volatility, TAXE has been the lower-risk option at 0.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, THYF or TAXE?

Over the 1-year period, TAXE has performed better with a 7.44% return vs 7.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, THYF or TAXE?

TAXE is cheaper with a 0.24% expense ratio, compared with 0.56% for THYF.

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

THYF has the higher dividend yield at 7.02%, compared with 3.56% for TAXE.

What is the main difference between THYF and TAXE?

THYF is categorized as High Yield Bonds, while TAXE is Municipal Bonds. Their fees differ too: 0.56% for THYF and 0.24% for TAXE.

Which has better risk-adjusted returns?

TAXE currently has the higher Sharpe Ratio (3.33 vs 2.01), 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.