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BLV vs. TLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BLVTLT
YTD Return-1.20%-4.13%
1Y Return16.44%13.97%
3Y Return (Ann)-8.18%-12.01%
5Y Return (Ann)-2.87%-5.96%
10Y Return (Ann)1.60%-0.11%
Sharpe Ratio1.310.89
Sortino Ratio1.941.36
Omega Ratio1.231.15
Calmar Ratio0.430.28
Martin Ratio3.882.32
Ulcer Index4.15%5.79%
Daily Std Dev12.24%15.12%
Max Drawdown-38.29%-48.35%
Current Drawdown-27.12%-40.27%

Correlation

-0.50.00.51.00.9

The correlation between BLV and TLT is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

BLV vs. TLT - Performance Comparison

In the year-to-date period, BLV achieves a -1.20% return, which is significantly higher than TLT's -4.13% return. Over the past 10 years, BLV has outperformed TLT with an annualized return of 1.60%, while TLT has yielded a comparatively lower -0.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
6.88%
6.41%
BLV
TLT

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BLV vs. TLT - Expense Ratio Comparison

BLV has a 0.04% expense ratio, which is lower than TLT's 0.15% 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%.


TLT
iShares 20+ Year Treasury Bond ETF
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%
Expense ratio chart for BLV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

BLV vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Bond ETF (BLV) and iShares 20+ Year Treasury Bond ETF (TLT). 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.


BLV
Sharpe ratio
The chart of Sharpe ratio for BLV, currently valued at 1.31, compared to the broader market-2.000.002.004.006.001.31
Sortino ratio
The chart of Sortino ratio for BLV, currently valued at 1.94, compared to the broader market0.005.0010.001.94
Omega ratio
The chart of Omega ratio for BLV, currently valued at 1.23, compared to the broader market1.001.502.002.503.003.501.23
Calmar ratio
The chart of Calmar ratio for BLV, currently valued at 0.43, compared to the broader market0.005.0010.0015.000.43
Martin ratio
The chart of Martin ratio for BLV, currently valued at 3.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.88
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at 0.89, compared to the broader market-2.000.002.004.006.000.89
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at 1.36, compared to the broader market0.005.0010.001.36
Omega ratio
The chart of Omega ratio for TLT, currently valued at 1.15, compared to the broader market1.001.502.002.503.003.501.15
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at 0.28, compared to the broader market0.005.0010.0015.000.28
Martin ratio
The chart of Martin ratio for TLT, currently valued at 2.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.32

BLV vs. TLT - Sharpe Ratio Comparison

The current BLV Sharpe Ratio is 1.31, which is higher than the TLT Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of BLV and TLT, 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 Ratio-1.00-0.500.000.501.001.50MayJuneJulyAugustSeptemberOctober
1.31
0.89
BLV
TLT

Dividends

BLV vs. TLT - Dividend Comparison

BLV's dividend yield for the trailing twelve months is around 4.45%, more than TLT's 3.97% yield.


TTM20232022202120202019201820172016201520142013
BLV
Vanguard Long-Term Bond ETF
4.45%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%
TLT
iShares 20+ Year Treasury Bond ETF
3.97%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

BLV vs. TLT - Drawdown Comparison

The maximum BLV drawdown since its inception was -38.29%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for BLV and TLT. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%MayJuneJulyAugustSeptemberOctober
-27.12%
-40.27%
BLV
TLT

Volatility

BLV vs. TLT - Volatility Comparison

The current volatility for Vanguard Long-Term Bond ETF (BLV) is 2.85%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 3.45%. This indicates that BLV experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%MayJuneJulyAugustSeptemberOctober
2.85%
3.45%
BLV
TLT