TSDLX vs. JAAA

Last updated Jun 24, 2026

TSDLX (T. Rowe Price Short Duration Income Fund) and JAAA (Janus Henderson AAA CLO ETF) are both funds - TSDLX is a Short-Term Bond fund managed by T. Rowe Price, while JAAA is a CLO fund actively managed by Janus Henderson. Over the past 5 years, TSDLX returned 4.43%/yr vs 4.80%/yr for JAAA. At a 0.04 correlation, their price movements are largely independent. TSDLX charges 0.40%/yr vs 0.20%/yr for JAAA.

Performance

TSDLX vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Short Duration Income Fund (TSDLX) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TSDLX achieves a 0.58% return, which is significantly lower than JAAA's 2.07% return.

TSDLX

• 1D: -0.11%
• 1M: 0.18%
• YTD: 0.58%
• 6M: 1.10%
• 1Y: 4.13%
• 3Y*: 8.60%
• 5Y*: 4.43%
• 10Y*: —

JAAA

• 1D: -0.02%
• 1M: 0.29%
• YTD: 2.07%
• 6M: 2.31%
• 1Y: 4.95%
• 3Y*: 6.58%
• 5Y*: 4.80%
• 10Y*: —

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

TSDLX vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
TSDLX T. Rowe Price Short Duration Income Fund	0.58%	7.65%	10.89%	9.91%	-5.69%	0.77%	0.10%
JAAA Janus Henderson AAA CLO ETF	2.07%	5.16%	7.43%	8.59%	0.49%	1.39%	0.12%

Correlation

The correlation between TSDLX and JAAA is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.02
Correlation (3Y) Calculated over the trailing 3-year period	-0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.04
Correlation (All Time) Calculated using the full available price history since Dec 8, 2020	0.04

Return for Risk

TSDLX vs. JAAA — Risk / Return Rank

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

TSDLX

TSDLX Risk / Return Rank: 86
TSDLX Sharpe Ratio Rank: 79
TSDLX Sortino Ratio Rank: 95
TSDLX Omega Ratio Rank: 92
TSDLX Calmar Ratio Rank: 81
TSDLX Martin Ratio Rank: 84

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 99
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.

TSDLX vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Short Duration Income Fund (TSDLX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	TSDLX	JAAA	Difference
Sharpe ratio: Return per unit of total volatility	2.40	6.04	-3.65
Sortino ratio: Return per unit of downside risk	4.66	10.01	-5.34
Omega ratio: Gain probability vs. loss probability	1.66	2.72	-1.06
Calmar ratio: Return relative to maximum drawdown	3.48	12.81	-9.33
Martin ratio: Return relative to average drawdown	14.52	69.26	-54.74

TSDLX vs. JAAA - Sharpe Ratio Comparison

The current TSDLX Sharpe Ratio is 2.40, which is lower than the JAAA Sharpe Ratio of 6.04. The chart below compares the historical Sharpe Ratios of TSDLX 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.

Drawdowns

TSDLX vs. JAAA - Drawdown Comparison

The maximum TSDLX drawdown since its inception was -7.86%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for TSDLX and JAAA.

Drawdown Indicators

	TSDLX	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-7.86%	-2.64%	-5.22%
Max Drawdown (1Y) Largest decline over 1 year	-1.26%	-0.39%	-0.87%
Max Drawdown (3Y) Largest decline over 3 years	-1.26%	-1.46%	+0.20%
Max Drawdown (5Y) Largest decline over 5 years	-7.86%	-2.64%	-5.22%
Current Drawdown Current decline from peak	-0.42%	-0.02%	-0.40%
Average Drawdown Average peak-to-trough decline	-1.50%	-0.25%	-1.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	0.07%	+0.23%

Volatility

TSDLX vs. JAAA - Volatility Comparison

T. Rowe Price Short Duration Income Fund (TSDLX) has a higher volatility of 0.57% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.12%. This indicates that TSDLX'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

	TSDLX	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.57%	0.12%	+0.45%
Volatility (6M) Calculated over the trailing 6-month period	1.33%	0.63%	+0.70%
Volatility (1Y) Calculated over the trailing 1-year period	1.83%	0.83%	+1.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.45%	1.67%	+0.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.33%	1.64%	+0.69%

TSDLX vs. JAAA - Expense Ratio Comparison

TSDLX has a 0.40% expense ratio, which is higher than JAAA's 0.20% expense ratio.

Dividends

TSDLX vs. JAAA - Dividend Comparison

TSDLX's dividend yield for the trailing twelve months is around 4.71%, less than JAAA's 4.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	4.99%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%
TSDLX T. Rowe Price Short Duration Income Fund	4.71%	6.06%	9.64%	7.72%	1.82%	1.69%	0.00%

Frequently Asked Questions

Can I hold both TSDLX and JAAA in my portfolio?

TSDLX and JAAA have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TSDLX or JAAA?

TSDLX has higher volatility (0.57%) compared to JAAA (0.12%). In terms of maximum drawdown, TSDLX dropped -7.86% vs JAAA's -2.64%.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.04 vs 2.40), 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.