SPTL vs. EDV
Compare and contrast key facts about SPDR Portfolio Long Term Treasury ETF (SPTL) and Vanguard Extended Duration Treasury ETF (EDV).
SPTL and EDV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPTL is a passively managed fund by State Street that tracks the performance of the Bloomberg US Aggregate Government - Treasury - Long. It was launched on May 23, 2007. EDV is a passively managed fund by Vanguard that tracks the performance of the Barclays Capital U.S. Treasury STRIPS 20-30 Year Equal Par Bond Index. It was launched on Dec 6, 2007. Both SPTL and EDV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPTL or EDV.
Performance
SPTL vs. EDV - Performance Comparison
Returns By Period
In the year-to-date period, SPTL achieves a -4.53% return, which is significantly higher than EDV's -9.89% return. Over the past 10 years, SPTL has outperformed EDV with an annualized return of -0.02%, while EDV has yielded a comparatively lower -1.16% annualized return.
SPTL
-4.53%
-4.78%
1.03%
5.40%
-5.10%
-0.02%
EDV
-9.89%
-4.98%
-0.57%
3.70%
-8.96%
-1.16%
Key characteristics
| SPTL | EDV | |
|---|---|---|
| Sharpe Ratio | 0.49 | 0.30 |
| Sortino Ratio | 0.77 | 0.56 |
| Omega Ratio | 1.09 | 1.06 |
| Calmar Ratio | 0.16 | 0.11 |
| Martin Ratio | 1.21 | 0.70 |
| Ulcer Index | 5.45% | 8.84% |
| Daily Std Dev | 13.48% | 20.65% |
| Max Drawdown | -46.20% | -59.96% |
| Current Drawdown | -38.72% | -53.04% |
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SPTL vs. EDV - Expense Ratio Comparison
Both SPTL and EDV have an expense ratio of 0.06%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between SPTL and EDV is 0.94, 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.
Risk-Adjusted Performance
SPTL vs. EDV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Long Term Treasury ETF (SPTL) and Vanguard Extended Duration Treasury ETF (EDV). 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.
Dividends
SPTL vs. EDV - Dividend Comparison
SPTL's dividend yield for the trailing twelve months is around 3.89%, less than EDV's 4.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
EDV Vanguard Extended Duration Treasury ETF | 4.31% | 3.55% | 3.28% | 1.95% | 5.54% | 3.51% | 2.90% | 2.92% | 5.32% | 4.24% | 3.12% | 5.03% |
Drawdowns
SPTL vs. EDV - Drawdown Comparison
The maximum SPTL drawdown since its inception was -46.20%, smaller than the maximum EDV drawdown of -59.96%. Use the drawdown chart below to compare losses from any high point for SPTL and EDV. For additional features, visit the drawdowns tool.
Volatility
SPTL vs. EDV - Volatility Comparison
The current volatility for SPDR Portfolio Long Term Treasury ETF (SPTL) is 4.32%, while Vanguard Extended Duration Treasury ETF (EDV) has a volatility of 7.08%. This indicates that SPTL experiences smaller price fluctuations and is considered to be less risky than EDV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.