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tlt
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


TLT 100%BondBond
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in tlt, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.56%
12.76%
tlt
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2002, corresponding to the inception date of TLT

Returns By Period

As of Nov 13, 2024, the tlt returned -5.24% Year-To-Date and -0.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.48%2.14%12.76%33.14%13.96%11.39%
tlt-6.14%-3.91%-0.56%4.03%-5.92%-0.37%
TLT
iShares 20+ Year Treasury Bond ETF
-6.14%-3.91%-0.56%4.03%-5.92%-0.37%

Monthly Returns

The table below presents the monthly returns of tlt, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.25%-2.25%0.78%-6.45%2.89%1.82%3.63%2.11%2.00%-5.46%-6.14%
20237.64%-4.85%4.84%0.34%-3.02%0.22%-2.54%-3.14%-7.95%-5.46%9.92%8.69%2.77%
2022-3.91%-1.63%-5.44%-9.42%-2.25%-1.27%2.43%-4.55%-8.24%-5.96%7.15%-2.62%-31.23%
2021-3.63%-5.73%-5.25%2.50%0.00%4.42%3.72%-0.34%-2.91%2.47%2.77%-2.01%-4.60%
20207.69%6.63%6.38%1.22%-1.76%0.34%4.44%-5.05%0.77%-3.39%1.66%-1.23%18.15%
20190.38%-1.38%5.57%-1.99%6.84%0.95%0.26%11.05%-2.68%-1.11%-0.41%-3.20%14.12%
2018-3.26%-3.04%2.86%-2.09%2.00%0.65%-1.44%1.31%-2.86%-2.93%1.79%5.85%-1.61%
20170.81%1.58%-0.66%1.57%1.89%0.79%-0.66%3.41%-2.32%-0.04%0.74%1.81%9.18%
20165.57%3.09%-0.09%-0.74%0.81%6.93%2.10%-1.01%-1.51%-4.38%-8.21%-0.46%1.17%
20159.82%-6.14%1.09%-3.43%-2.37%-4.07%4.55%-0.69%1.97%-0.41%-0.87%-0.30%-1.79%
20146.30%0.52%0.73%2.10%2.95%-0.25%0.66%4.72%-2.11%2.82%2.97%3.25%27.31%
2013-3.19%1.24%-0.42%4.68%-6.76%-3.27%-2.26%-1.34%0.66%1.43%-2.70%-1.87%-13.38%

Expense Ratio

tlt has an expense ratio of 0.15%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for TLT: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of tlt is 3, indicating that it is in the bottom 3% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of tlt is 33
Combined Rank
The Sharpe Ratio Rank of tlt is 33Sharpe Ratio Rank
The Sortino Ratio Rank of tlt is 33Sortino Ratio Rank
The Omega Ratio Rank of tlt is 33Omega Ratio Rank
The Calmar Ratio Rank of tlt is 22Calmar Ratio Rank
The Martin Ratio Rank of tlt is 33Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


tlt
Sharpe ratio
The chart of Sharpe ratio for tlt, currently valued at 0.43, compared to the broader market0.002.004.006.000.43
Sortino ratio
The chart of Sortino ratio for tlt, currently valued at 0.70, compared to the broader market-2.000.002.004.006.000.70
Omega ratio
The chart of Omega ratio for tlt, currently valued at 1.08, compared to the broader market0.801.001.201.401.601.802.001.08
Calmar ratio
The chart of Calmar ratio for tlt, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.14
Martin ratio
The chart of Martin ratio for tlt, currently valued at 1.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.001.05
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TLT
iShares 20+ Year Treasury Bond ETF
0.430.701.080.141.05

Sharpe Ratio

The current tlt Sharpe ratio is 0.48. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.06 to 2.97, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of tlt with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.43
2.91
tlt
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

tlt provided a 4.10% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio4.10%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
TLT
iShares 20+ Year Treasury Bond ETF
4.10%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Monthly Dividends

The table below shows the monthly dividends paid by this portfolio.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.31$0.30$0.31$0.31$0.31$0.29$0.32$0.31$0.32$0.31$3.08
2023$0.00$0.28$0.25$0.27$0.27$0.27$0.28$0.28$0.29$0.28$0.29$0.60$3.34
2022$0.00$0.20$0.19$0.20$0.20$0.21$0.23$0.21$0.24$0.24$0.24$0.51$2.66
2021$0.00$0.18$0.17$0.19$0.20$0.20$0.19$0.18$0.19$0.18$0.19$0.35$2.22
2020$0.00$0.24$0.23$0.24$0.22$0.21$0.19$0.19$0.18$0.17$0.17$0.33$2.37
2019$0.00$0.28$0.25$0.28$0.26$0.27$0.26$0.26$0.26$0.25$0.25$0.46$3.07
2018$0.00$0.26$0.24$0.26$0.26$0.28$0.28$0.27$0.27$0.26$0.28$0.55$3.20
2017$0.00$0.26$0.23$0.26$0.26$0.26$0.26$0.27$0.26$0.25$0.26$0.52$3.09
2016$0.00$0.24$0.25$0.27$0.26$0.27$0.26$0.26$0.25$0.25$0.25$0.55$3.10
2015$0.00$0.28$0.25$0.27$0.26$0.26$0.26$0.27$0.26$0.26$0.27$0.51$3.15
2014$0.00$0.28$0.26$0.28$0.27$0.29$0.29$0.30$0.27$0.29$0.29$0.54$3.36
2013$0.26$0.25$0.26$0.26$0.28$0.25$0.27$0.28$0.28$0.29$0.65$3.32

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-41.52%
-0.27%
tlt
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the tlt. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the tlt was 48.35%, occurring on Oct 19, 2023. The portfolio has not yet recovered.

The current tlt drawdown is 40.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.35%Aug 5, 2020808Oct 19, 2023
-26.59%Dec 31, 2008111Jun 10, 2009553Aug 18, 2011664
-20.49%Jul 26, 2012269Aug 21, 2013329Dec 10, 2014598
-17.88%Jul 11, 2016111Dec 14, 2016639Jul 2, 2019750
-15.81%Feb 2, 2015102Jun 26, 2015240Jun 9, 2016342

Volatility

Volatility Chart

The current tlt volatility is 5.07%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.07%
3.75%
tlt
Benchmark (^GSPC)
Portfolio components