PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPTL vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPTL and BND is 0.84, 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.


-0.50.00.51.00.8

Performance

SPTL vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio Long Term Treasury ETF (SPTL) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
-0.99%
2.24%
SPTL
BND

Key characteristics

Sharpe Ratio

SPTL:

-0.11

BND:

0.60

Sortino Ratio

SPTL:

-0.07

BND:

0.87

Omega Ratio

SPTL:

0.99

BND:

1.10

Calmar Ratio

SPTL:

-0.04

BND:

0.24

Martin Ratio

SPTL:

-0.26

BND:

1.76

Ulcer Index

SPTL:

5.83%

BND:

1.84%

Daily Std Dev

SPTL:

13.12%

BND:

5.43%

Max Drawdown

SPTL:

-46.20%

BND:

-18.84%

Current Drawdown

SPTL:

-38.34%

BND:

-8.69%

Returns By Period

In the year-to-date period, SPTL achieves a -3.94% return, which is significantly lower than BND's 2.12% return. Over the past 10 years, SPTL has underperformed BND with an annualized return of -0.36%, while BND has yielded a comparatively higher 1.40% annualized return.


SPTL

YTD

-3.94%

1M

0.61%

6M

-1.88%

1Y

-3.94%

5Y (annualized)

-5.01%

10Y (annualized)

-0.36%

BND

YTD

2.12%

1M

0.57%

6M

1.86%

1Y

2.63%

5Y (annualized)

-0.23%

10Y (annualized)

1.40%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPTL vs. BND - Expense Ratio Comparison

SPTL has a 0.06% expense ratio, which is higher than BND's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPTL
SPDR Portfolio Long Term Treasury ETF
Expense ratio chart for SPTL: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPTL vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Long Term Treasury ETF (SPTL) and Vanguard Total Bond Market ETF (BND). 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 SPTL, currently valued at -0.11, compared to the broader market0.002.004.00-0.110.60
The chart of Sortino ratio for SPTL, currently valued at -0.07, compared to the broader market-2.000.002.004.006.008.0010.00-0.070.87
The chart of Omega ratio for SPTL, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.000.991.10
The chart of Calmar ratio for SPTL, currently valued at -0.04, compared to the broader market0.005.0010.0015.00-0.040.24
The chart of Martin ratio for SPTL, currently valued at -0.26, compared to the broader market0.0020.0040.0060.0080.00100.00-0.261.76
SPTL
BND

The current SPTL Sharpe Ratio is -0.11, which is lower than the BND Sharpe Ratio of 0.60. The chart below compares the historical Sharpe Ratios of SPTL and BND, 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-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.11
0.60
SPTL
BND

Dividends

SPTL vs. BND - Dividend Comparison

SPTL's dividend yield for the trailing twelve months is around 3.89%, more than BND's 3.60% yield.


TTM20232022202120202019201820172016201520142013
SPTL
SPDR Portfolio Long Term Treasury ETF
3.89%3.24%2.75%1.68%1.71%2.45%2.69%2.53%2.56%2.60%2.64%2.98%
BND
Vanguard Total Bond Market ETF
3.60%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

SPTL vs. BND - Drawdown Comparison

The maximum SPTL drawdown since its inception was -46.20%, which is greater than BND's maximum drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for SPTL and BND. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-38.34%
-8.69%
SPTL
BND

Volatility

SPTL vs. BND - Volatility Comparison

SPDR Portfolio Long Term Treasury ETF (SPTL) has a higher volatility of 3.51% compared to Vanguard Total Bond Market ETF (BND) at 1.39%. This indicates that SPTL's price experiences larger fluctuations and is considered to be riskier than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.51%
1.39%
SPTL
BND
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab