THYF vs. TCAL

Last updated Jun 4, 2026

THYF (T. Rowe Price U.S. High Yield ETF) and TCAL (T. Rowe Price Capital Appreciation Premium Income ETF) are both exchange-traded funds - THYF is a High Yield Bonds fund actively managed by T. Rowe Price, while TCAL is a Derivative Income fund actively managed by T. Rowe Price. Both are actively managed. Over the past year, THYF returned 7.02% vs -1.87% for TCAL. At a 0.32 correlation, their price movements are largely independent. THYF charges 0.56%/yr vs 0.34%/yr for TCAL.

Performance

THYF vs. TCAL - 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 Capital Appreciation Premium Income ETF (TCAL). 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 higher than TCAL's -2.88% return.

THYF

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

TCAL

• 1D: 0.23%
• 1M: -1.26%
• YTD: -2.88%
• 6M: -2.97%
• 1Y: -1.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

THYF vs. TCAL - Yearly Performance Comparison

	2026 (YTD)	2025
THYF T. Rowe Price U.S. High Yield ETF	1.50%	7.21%
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	-2.88%	1.58%

Correlation

The correlation between THYF and TCAL is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (All Time) Calculated using the full available price history since Mar 28, 2025	0.32

THYF vs. TCAL - Sectors Allocation Comparison

Sectors	THYF	TCAL
Financial Services	34.0%	15.0%
Basic Materials	18.3%	1.7%
Healthcare	9.8%	18.7%
Consumer Cyclical	8.1%	8.7%
Real Estate	6.8%	2.2%
Industrials	6.1%	19.3%
Energy	4.3%	1.3%
Consumer Defensive	3.9%	11.3%
Technology	3.7%	11.3%
Communication Services	3.7%	0.9%
Utilities	1.4%	9.8%

Return for Risk

THYF vs. TCAL — 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

TCAL

TCAL Risk / Return Rank: 6
TCAL Sharpe Ratio Rank: 7
TCAL Sortino Ratio Rank: 6
TCAL Omega Ratio Rank: 6
TCAL Calmar Ratio Rank: 6
TCAL Martin Ratio Rank: 5

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. TCAL - 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 Capital Appreciation Premium Income ETF (TCAL). 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	TCAL	Difference
Sharpe ratio: Return per unit of total volatility	2.01	-0.20	+2.21
Sortino ratio: Return per unit of downside risk	3.08	-0.22	+3.30
Omega ratio: Gain probability vs. loss probability	1.39	0.97	+0.42
Calmar ratio: Return relative to maximum drawdown	2.51	-0.27	+2.78
Martin ratio: Return relative to average drawdown	11.49	-0.70	+12.19
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. TCAL - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 2.01, which is higher than the TCAL Sharpe Ratio of -0.20. The chart below compares the historical Sharpe Ratios of THYF and TCAL, 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	TCAL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	-0.20	+2.21
Sharpe Ratio (All Time) Calculated using the full available price history	1.47	-0.10	+1.57

Drawdowns

THYF vs. TCAL - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, smaller than the maximum TCAL drawdown of -7.24%. Use the drawdown chart below to compare losses from any high point for THYF and TCAL.

Drawdown Indicators

	THYF	TCAL	Difference
Max Drawdown Largest peak-to-trough decline	-5.24%	-7.24%	+2.00%
Max Drawdown (1Y) Largest decline over 1 year	-2.80%	-7.00%	+4.20%
Max Drawdown (3Y) Largest decline over 3 years	-5.07%	—	—
Current Drawdown Current decline from peak	-0.35%	-5.92%	+5.57%
Average Drawdown Average peak-to-trough decline	-0.82%	-2.02%	+1.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.61%	2.67%	-2.06%

Volatility

THYF vs. TCAL - Volatility Comparison

The current volatility for T. Rowe Price U.S. High Yield ETF (THYF) is 1.12%, while T. Rowe Price Capital Appreciation Premium Income ETF (TCAL) has a volatility of 2.46%. This indicates that THYF experiences smaller price fluctuations and is considered to be less risky than TCAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	THYF	TCAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.12%	2.46%	-1.34%
Volatility (6M) Calculated over the trailing 6-month period	2.72%	7.08%	-4.36%
Volatility (1Y) Calculated over the trailing 1-year period	3.52%	9.31%	-5.79%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.82%	11.25%	-5.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.82%	11.25%	-5.43%

THYF vs. TCAL - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than TCAL's 0.34% expense ratio.

Dividends

THYF vs. TCAL - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.02%, less than TCAL's 11.96% yield.

Position	TTM	2025	2024	2023	2022
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	11.96%	8.34%	0.00%	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 TCAL in my portfolio?

THYF and TCAL have a correlation of 0.27, 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 TCAL?

TCAL has higher volatility (2.46%) compared to THYF (1.12%). In terms of maximum drawdown, THYF dropped -5.24% vs TCAL's -7.24%.

Which ETF is better, THYF or TCAL?

On 1-year performance, THYF leads with 7.02% vs -1.87% for TCAL. On fees, TCAL is cheaper at 0.34% per year. On volatility, THYF has been the lower-risk option at 1.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, THYF or TCAL?

Over the 1-year period, THYF has performed better with a 7.02% return vs -1.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, THYF or TCAL?

TCAL is cheaper with a 0.34% expense ratio, compared with 0.56% for THYF.

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

TCAL has the higher dividend yield at 11.96%, compared with 7.02% for THYF.

What is the main difference between THYF and TCAL?

THYF is categorized as High Yield Bonds, while TCAL is Derivative Income. Their fees differ too: 0.56% for THYF and 0.34% for TCAL.

Which has better risk-adjusted returns?

THYF currently has the higher Sharpe Ratio (2.01 vs -0.20), 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.