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TOTR vs. TOTL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TOTRTOTL
YTD Return3.30%3.94%
1Y Return10.06%10.78%
3Y Return (Ann)-2.83%-1.17%
Sharpe Ratio1.541.53
Sortino Ratio2.282.23
Omega Ratio1.281.30
Calmar Ratio0.560.72
Martin Ratio6.177.55
Ulcer Index1.50%1.31%
Daily Std Dev5.99%6.48%
Max Drawdown-19.63%-16.48%
Current Drawdown-8.24%-4.45%

Correlation

-0.50.00.51.00.9

The correlation between TOTR and TOTL is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

TOTR vs. TOTL - Performance Comparison

In the year-to-date period, TOTR achieves a 3.30% return, which is significantly lower than TOTL's 3.94% 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%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.91%
4.57%
TOTR
TOTL

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TOTR vs. TOTL - Expense Ratio Comparison

TOTR has a 0.31% expense ratio, which is lower than TOTL's 0.55% expense ratio.


TOTL
SPDR DoubleLine Total Return Tactical ETF
Expense ratio chart for TOTL: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for TOTR: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%

Risk-Adjusted Performance

TOTR vs. TOTL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Total Return ETF (TOTR) and SPDR DoubleLine Total Return Tactical ETF (TOTL). 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.


TOTR
Sharpe ratio
The chart of Sharpe ratio for TOTR, currently valued at 1.54, compared to the broader market-2.000.002.004.006.001.54
Sortino ratio
The chart of Sortino ratio for TOTR, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.0012.002.28
Omega ratio
The chart of Omega ratio for TOTR, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for TOTR, currently valued at 0.56, compared to the broader market0.005.0010.0015.000.56
Martin ratio
The chart of Martin ratio for TOTR, currently valued at 6.17, compared to the broader market0.0020.0040.0060.0080.00100.006.17
TOTL
Sharpe ratio
The chart of Sharpe ratio for TOTL, currently valued at 1.53, compared to the broader market-2.000.002.004.006.001.53
Sortino ratio
The chart of Sortino ratio for TOTL, currently valued at 2.23, compared to the broader market-2.000.002.004.006.008.0010.0012.002.23
Omega ratio
The chart of Omega ratio for TOTL, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for TOTL, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for TOTL, currently valued at 7.55, compared to the broader market0.0020.0040.0060.0080.00100.007.55

TOTR vs. TOTL - Sharpe Ratio Comparison

The current TOTR Sharpe Ratio is 1.54, which is comparable to the TOTL Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of TOTR and TOTL, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.54
1.53
TOTR
TOTL

Dividends

TOTR vs. TOTL - Dividend Comparison

TOTR's dividend yield for the trailing twelve months is around 5.23%, which matches TOTL's 5.18% yield.


TTM202320222021202020192018201720162015
TOTR
T. Rowe Price Total Return ETF
5.23%4.71%3.45%0.56%0.00%0.00%0.00%0.00%0.00%0.00%
TOTL
SPDR DoubleLine Total Return Tactical ETF
5.18%4.85%4.68%3.07%2.91%3.31%3.41%2.99%3.25%2.67%

Drawdowns

TOTR vs. TOTL - Drawdown Comparison

The maximum TOTR drawdown since its inception was -19.63%, which is greater than TOTL's maximum drawdown of -16.48%. Use the drawdown chart below to compare losses from any high point for TOTR and TOTL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-8.24%
-3.94%
TOTR
TOTL

Volatility

TOTR vs. TOTL - Volatility Comparison

T. Rowe Price Total Return ETF (TOTR) has a higher volatility of 1.94% compared to SPDR DoubleLine Total Return Tactical ETF (TOTL) at 1.61%. This indicates that TOTR's price experiences larger fluctuations and is considered to be riskier than TOTL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
1.94%
1.61%
TOTR
TOTL