ZTWO vs. PAAA

Last updated Jun 4, 2026

ZTWO (F/M 2-Year Investment Grade Corporate Bond ETF) and PAAA (PGIM AAA CLO ETF) are both exchange-traded funds - ZTWO is a Short-Term Bond fund tracking the ICE 2-Year US Target Maturity Corporate Index - Benchmark TR Gross, while PAAA is a CLO fund actively managed by PGIM. ZTWO is passively managed, while PAAA is actively managed. Over the past year, ZTWO returned 4.02% vs 5.26% for PAAA. At a correlation of -0.01, they often move in opposite directions. ZTWO charges 0.15%/yr vs 0.19%/yr for PAAA.

Performance

ZTWO vs. PAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in F/M 2-Year Investment Grade Corporate Bond ETF (ZTWO) and PGIM AAA CLO ETF (PAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZTWO achieves a 0.89% return, which is significantly lower than PAAA's 2.03% return.

ZTWO

• 1D: 0.00%
• 1M: 0.30%
• YTD: 0.89%
• 6M: 1.21%
• 1Y: 4.02%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PAAA

• 1D: -0.01%
• 1M: 0.40%
• YTD: 2.03%
• 6M: 2.45%
• 1Y: 5.26%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

ZTWO vs. PAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ZTWO F/M 2-Year Investment Grade Corporate Bond ETF	0.89%	5.49%	0.36%
PAAA PGIM AAA CLO ETF	2.03%	5.37%	0.19%

Correlation

The correlation between ZTWO and PAAA is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.13
Correlation (All Time) Calculated using the full available price history since Dec 20, 2024	-0.01

The correlation between ZTWO and PAAA shifts across timeframes, from -0.01 (all time) to 0.13 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ZTWO vs. PAAA — Risk / Return Rank

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

ZTWO

ZTWO Risk / Return Rank: 90
ZTWO Sharpe Ratio Rank: 90
ZTWO Sortino Ratio Rank: 94
ZTWO Omega Ratio Rank: 93
ZTWO Calmar Ratio Rank: 82
ZTWO Martin Ratio Rank: 90

PAAA

PAAA Risk / Return Rank: 99
PAAA Sharpe Ratio Rank: 99
PAAA Sortino Ratio Rank: 99
PAAA Omega Ratio Rank: 100
PAAA Calmar Ratio Rank: 99
PAAA Martin Ratio Rank: 99

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.

ZTWO vs. PAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for F/M 2-Year Investment Grade Corporate Bond ETF (ZTWO) and PGIM AAA CLO ETF (PAAA). 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.

	ZTWO	PAAA	Difference
Sharpe ratio Return per unit of total volatility	3.09	10.83	-7.74
Sortino ratio Return per unit of downside risk	4.96	21.80	-16.84
Omega ratio Gain probability vs. loss probability	1.64	6.72	-5.08
Calmar ratio Return relative to maximum drawdown	4.32	30.32	-26.00
Martin ratio Return relative to average drawdown	20.46	187.65	-167.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZTWO vs. PAAA - Sharpe Ratio Comparison

The current ZTWO Sharpe Ratio is 3.09, which is lower than the PAAA Sharpe Ratio of 10.83. The chart below compares the historical Sharpe Ratios of ZTWO and PAAA, 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

	ZTWO	PAAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.09	10.83	-7.74
Sharpe Ratio (All Time) Calculated using the full available price history	3.16	6.78	-3.63

Drawdowns

ZTWO vs. PAAA - Drawdown Comparison

The maximum ZTWO drawdown since its inception was -0.93%, smaller than the maximum PAAA drawdown of -1.04%. Use the drawdown chart below to compare losses from any high point for ZTWO and PAAA.

Drawdown Indicators

	ZTWO	PAAA	Difference
Max Drawdown Largest peak-to-trough decline	-0.93%	-1.04%	+0.11%
Max Drawdown (1Y) Largest decline over 1 year	-0.93%	-0.17%	-0.76%
Current Drawdown Current decline from peak	-0.11%	-0.01%	-0.10%
Average Drawdown Average peak-to-trough decline	-0.10%	-0.02%	-0.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.20%	0.03%	+0.17%

Volatility

ZTWO vs. PAAA - Volatility Comparison

F/M 2-Year Investment Grade Corporate Bond ETF (ZTWO) has a higher volatility of 0.42% compared to PGIM AAA CLO ETF (PAAA) at 0.11%. This indicates that ZTWO's price experiences larger fluctuations and is considered to be riskier than PAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZTWO	PAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.42%	0.11%	+0.31%
Volatility (6M) Calculated over the trailing 6-month period	0.97%	0.36%	+0.61%
Volatility (1Y) Calculated over the trailing 1-year period	1.31%	0.49%	+0.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.49%	0.98%	+0.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.49%	0.98%	+0.51%

ZTWO vs. PAAA - Expense Ratio Comparison

ZTWO has a 0.15% expense ratio, which is lower than PAAA's 0.19% 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

ZTWO vs. PAAA - Dividend Comparison

ZTWO's dividend yield for the trailing twelve months is around 4.12%, less than PAAA's 4.88% yield.

Position	TTM	2025	2024	2023
PAAA PGIM AAA CLO ETF	4.88%	5.12%	5.88%	2.76%
ZTWO F/M 2-Year Investment Grade Corporate Bond ETF	4.12%	4.31%	0.39%	0.00%

Frequently Asked Questions

Can I hold both ZTWO and PAAA in my portfolio?

ZTWO and PAAA have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZTWO or PAAA?

ZTWO has higher volatility (0.42%) compared to PAAA (0.11%). In terms of maximum drawdown, ZTWO dropped -0.93% vs PAAA's -1.04%.

Which ETF is better, ZTWO or PAAA?

On 1-year performance, PAAA leads with 5.26% vs 4.02% for ZTWO. On fees, ZTWO is cheaper at 0.15% per year. On volatility, PAAA has been the lower-risk option at 0.11%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZTWO or PAAA?

Over the 1-year period, PAAA has performed better with a 5.26% return vs 4.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZTWO or PAAA?

ZTWO is cheaper with a 0.15% expense ratio, compared with 0.19% for PAAA.

Which ETF pays a higher dividend yield, ZTWO or PAAA?

PAAA has the higher dividend yield at 4.88%, compared with 4.12% for ZTWO.

What is the main difference between ZTWO and PAAA?

ZTWO is categorized as Short-Term Bond, while PAAA is CLO. They also come from different issuers: F/m and PGIM. Their fees differ too: 0.15% for ZTWO and 0.19% for PAAA.

Which has better risk-adjusted returns?

PAAA currently has the higher Sharpe Ratio (10.83 vs 3.09), 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.