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USFR vs. FLOT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

USFR vs. FLOT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) and iShares Floating Rate Bond ETF (FLOT). The values are adjusted to include any dividend payments, if applicable.

16.00%18.00%20.00%22.00%24.00%26.00%JuneJulyAugustSeptemberOctoberNovember
18.96%
26.34%
USFR
FLOT

Returns By Period

In the year-to-date period, USFR achieves a 4.79% return, which is significantly lower than FLOT's 5.76% return. Both investments have delivered pretty close results over the past 10 years, with USFR having a 2.38% annualized return and FLOT not far behind at 2.34%.


USFR

YTD

4.79%

1M

0.45%

6M

2.46%

1Y

5.32%

5Y (annualized)

2.52%

10Y (annualized)

2.38%

FLOT

YTD

5.76%

1M

0.79%

6M

2.92%

1Y

6.53%

5Y (annualized)

2.99%

10Y (annualized)

2.34%

Key characteristics


USFRFLOT
Sharpe Ratio15.198.07
Sortino Ratio56.0814.77
Omega Ratio13.954.47
Calmar Ratio90.3414.78
Martin Ratio769.69159.76
Ulcer Index0.01%0.04%
Daily Std Dev0.35%0.81%
Max Drawdown-1.36%-13.54%
Current Drawdown0.00%-0.00%

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USFR vs. FLOT - Expense Ratio Comparison

USFR has a 0.15% expense ratio, which is lower than FLOT's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FLOT
iShares Floating Rate Bond ETF
Expense ratio chart for FLOT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for USFR: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.0

The correlation between USFR and FLOT is 0.04, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

USFR vs. FLOT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) and iShares Floating Rate Bond ETF (FLOT). 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.


Sharpe ratio
The chart of Sharpe ratio for USFR, currently valued at 15.19, compared to the broader market0.002.004.0015.198.07
The chart of Sortino ratio for USFR, currently valued at 56.08, compared to the broader market-2.000.002.004.006.008.0010.0012.0056.0814.77
The chart of Omega ratio for USFR, currently valued at 13.95, compared to the broader market0.501.001.502.002.503.0013.954.47
The chart of Calmar ratio for USFR, currently valued at 90.34, compared to the broader market0.005.0010.0015.0090.3414.78
The chart of Martin ratio for USFR, currently valued at 769.69, compared to the broader market0.0020.0040.0060.0080.00100.00769.69159.76
USFR
FLOT

The current USFR Sharpe Ratio is 15.19, which is higher than the FLOT Sharpe Ratio of 8.07. The chart below compares the historical Sharpe Ratios of USFR and FLOT, 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 Ratio8.0010.0012.0014.0016.00JuneJulyAugustSeptemberOctoberNovember
15.19
8.07
USFR
FLOT

Dividends

USFR vs. FLOT - Dividend Comparison

USFR's dividend yield for the trailing twelve months is around 5.30%, less than FLOT's 5.92% yield.


TTM20232022202120202019201820172016201520142013
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
5.30%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%0.00%0.00%0.00%
FLOT
iShares Floating Rate Bond ETF
5.92%5.66%2.06%0.43%1.25%2.78%2.41%1.45%0.97%0.53%0.44%0.48%

Drawdowns

USFR vs. FLOT - Drawdown Comparison

The maximum USFR drawdown since its inception was -1.36%, smaller than the maximum FLOT drawdown of -13.54%. Use the drawdown chart below to compare losses from any high point for USFR and FLOT. For additional features, visit the drawdowns tool.


-0.40%-0.30%-0.20%-0.10%0.00%JuneJulyAugustSeptemberOctoberNovember00
USFR
FLOT

Volatility

USFR vs. FLOT - Volatility Comparison

The current volatility for WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) is 0.09%, while iShares Floating Rate Bond ETF (FLOT) has a volatility of 0.20%. This indicates that USFR experiences smaller price fluctuations and is considered to be less risky than FLOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%JuneJulyAugustSeptemberOctoberNovember
0.09%
0.20%
USFR
FLOT