XLF vs. JAAA
XLF (State Street Financial Select Sector SPDR ETF) and JAAA (Janus Henderson AAA CLO ETF) are both exchange-traded funds - XLF is a Financials Equities fund tracking the Financial Select Sector Index, while JAAA is a CLO fund actively managed by Janus Henderson. XLF is passively managed, while JAAA is actively managed. Over the past 5 years, XLF returned 9.15%/yr vs 4.76%/yr for JAAA. At a 0.12 correlation, their price movements are largely independent. XLF charges 0.08%/yr vs 0.20%/yr for JAAA.
Performance
XLF vs. JAAA - Performance Comparison
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Returns By Period
In the year-to-date period, XLF achieves a -2.11% return, which is significantly lower than JAAA's 1.99% return.
XLF
- 1D
- 1.37%
- 1M
- 4.61%
- YTD
- -2.11%
- 6M
- -2.09%
- 1Y
- 6.20%
- 3Y*
- 18.86%
- 5Y*
- 9.15%
- 10Y*
- 13.33%
JAAA
- 1D
- 0.02%
- 1M
- 0.33%
- YTD
- 1.99%
- 6M
- 2.49%
- 1Y
- 4.99%
- 3Y*
- 6.67%
- 5Y*
- 4.76%
- 10Y*
- —
XLF vs. JAAA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
XLF State Street Financial Select Sector SPDR ETF | -2.11% | 14.90% | 30.56% | 12.03% | -10.59% | 34.80% | 18.60% |
JAAA Janus Henderson AAA CLO ETF | 1.99% | 5.16% | 7.43% | 8.59% | 0.49% | 1.39% | 0.76% |
Correlation
The correlation between XLF and JAAA is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Oct 19, 2020 | 0.12 |
The correlation between XLF and JAAA shifts across timeframes, from 0.12 (all time) to 0.23 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
XLF vs. JAAA — Risk / Return Rank
XLF
JAAA
XLF vs. JAAA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street Financial Select Sector SPDR ETF (XLF) 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.
| XLF | JAAA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -5.60 | ||
| Sortino ratioReturn per unit of downside risk | -9.40 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 2.72 | -1.64 |
| Calmar ratioReturn relative to maximum drawdown | 0.42 | 12.91 | -12.49 |
| Martin ratioReturn relative to average drawdown | 1.08 | 69.57 | -68.49 |
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Drawdowns
XLF vs. JAAA - Drawdown Comparison
The maximum XLF drawdown since its inception was -82.69%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for XLF and JAAA.
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Drawdown Indicators
| XLF | JAAA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.69% | -2.64% | -80.05% |
Max Drawdown (1Y)Largest decline over 1 year | -14.79% | -0.39% | -14.40% |
Max Drawdown (3Y)Largest decline over 3 years | -15.54% | -1.46% | -14.08% |
Max Drawdown (5Y)Largest decline over 5 years | -25.81% | -2.64% | -23.17% |
Max Drawdown (10Y)Largest decline over 10 years | -42.86% | — | — |
Current DrawdownCurrent decline from peak | -4.94% | 0.00% | -4.94% |
Average DrawdownAverage peak-to-trough decline | -20.01% | -0.25% | -19.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.76% | 0.07% | +5.69% |
Volatility
XLF vs. JAAA - Volatility Comparison
State Street Financial Select Sector SPDR ETF (XLF) has a higher volatility of 4.23% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.12%. This indicates that XLF'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.
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Volatility by Period
| XLF | JAAA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.23% | 0.12% | +4.11% |
Volatility (6M)Calculated over the trailing 6-month period | 11.26% | 0.63% | +10.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.69% | 0.83% | +13.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.66% | 1.67% | +16.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.17% | 1.64% | +20.53% |
XLF vs. JAAA - Expense Ratio Comparison
XLF has a 0.08% expense ratio, which is lower than JAAA'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%.
Dividends
XLF vs. JAAA - Dividend Comparison
XLF's dividend yield for the trailing twelve months is around 1.49%, less than JAAA's 4.99% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JAAA Janus Henderson AAA CLO ETF | 4.99% | 5.30% | 6.35% | 6.11% | 2.74% | 1.21% | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLF State Street Financial Select Sector SPDR ETF | 1.49% | 1.31% | 1.42% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 21.10% | 1.95% |
Frequently Asked Questions
XLF and JAAA have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XLF has higher volatility (4.23%) compared to JAAA (0.12%). In terms of maximum drawdown, XLF dropped -82.69% vs JAAA's -2.64%.
On 5-year performance, XLF leads with 9.15% vs 4.76% for JAAA. On fees, XLF is cheaper at 0.08% per year. On volatility, JAAA has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, XLF has performed better with a 9.15% return vs 4.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
XLF is cheaper with a 0.08% expense ratio, compared with 0.20% for JAAA.
JAAA has the higher dividend yield at 4.99%, compared with 1.49% for XLF.
XLF is categorized as Financials Equities, while JAAA is CLO. They also come from different issuers: State Street and Janus Henderson. Their fees differ too: 0.08% for XLF and 0.20% for JAAA.
JAAA currently has the higher Sharpe Ratio (6.03 vs 0.42), 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.
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