SSFEX vs. TLT
SSFEX (State Street Aggregate Bond Index Fund Class K) and TLT (iShares 20+ Year Treasury Bond ETF) are both funds - SSFEX is a Total Bond Market fund managed by State Street, while TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. Over the past 10 years, SSFEX returned -19.31%/yr vs -1.56%/yr for TLT. Their correlation of 0.89 suggests significant overlap in exposure. SSFEX charges 0.03%/yr vs 0.15%/yr for TLT.
Performance
SSFEX vs. TLT - Performance Comparison
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Returns By Period
In the year-to-date period, SSFEX achieves a 0.42% return, which is significantly higher than TLT's -0.05% return. Over the past 10 years, SSFEX has underperformed TLT with an annualized return of -19.31%, while TLT has yielded a comparatively higher -1.56% annualized return.
SSFEX
- 1D
- 0.05%
- 1M
- 0.49%
- YTD
- 0.42%
- 6M
- 0.33%
- 1Y
- 5.39%
- 3Y*
- 3.90%
- 5Y*
- 0.11%
- 10Y*
- -19.31%
TLT
- 1D
- 0.22%
- 1M
- 0.48%
- YTD
- -0.05%
- 6M
- -1.27%
- 1Y
- 3.48%
- 3Y*
- -1.67%
- 5Y*
- -6.27%
- 10Y*
- -1.56%
SSFEX vs. TLT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SSFEX State Street Aggregate Bond Index Fund Class K | 0.42% | 6.80% | 1.35% | 5.61% | -13.19% | -1.78% | -89.22% | 9.45% | -0.10% | 3.30% |
TLT iShares 20+ Year Treasury Bond ETF | -0.05% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
Correlation
The correlation between SSFEX and TLT is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.92 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since Sep 23, 2014 | 0.89 |
The correlation between SSFEX and TLT has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.
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Return for Risk
SSFEX vs. TLT — Risk / Return Rank
SSFEX
TLT
SSFEX vs. TLT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street Aggregate Bond Index Fund Class K (SSFEX) 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.
| SSFEX | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.08 | ||
| Sortino ratioReturn per unit of downside risk | +1.58 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.07 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.96 | 0.46 | +1.50 |
| Martin ratioReturn relative to average drawdown | 6.01 | 1.14 | +4.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SSFEX | TLT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.44 | 0.36 | +1.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.02 | -0.40 | +0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.61 | -0.11 | -0.50 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.55 | 0.26 | -0.81 |
Drawdowns
SSFEX vs. TLT - Drawdown Comparison
The maximum SSFEX drawdown since its inception was -92.70%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for SSFEX and TLT.
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Drawdown Indicators
| SSFEX | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -92.70% | -48.35% | -44.35% |
Max Drawdown (1Y)Largest decline over 1 year | -2.75% | -7.58% | +4.83% |
Max Drawdown (3Y)Largest decline over 3 years | -6.09% | -19.18% | +13.09% |
Max Drawdown (5Y)Largest decline over 5 years | -17.99% | -43.70% | +25.71% |
Max Drawdown (10Y)Largest decline over 10 years | -92.70% | -48.35% | -44.35% |
Current DrawdownCurrent decline from peak | -90.05% | -40.31% | -49.74% |
Average DrawdownAverage peak-to-trough decline | -48.00% | -13.82% | -34.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.90% | 3.05% | -2.15% |
Volatility
SSFEX vs. TLT - Volatility Comparison
The current volatility for State Street Aggregate Bond Index Fund Class K (SSFEX) is 1.30%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 2.71%. This indicates that SSFEX 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.
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Volatility by Period
| SSFEX | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.30% | 2.71% | -1.41% |
Volatility (6M)Calculated over the trailing 6-month period | 2.66% | 6.50% | -3.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.74% | 9.77% | -6.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.93% | 15.86% | -9.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.84% | 14.90% | +16.94% |
SSFEX vs. TLT - Expense Ratio Comparison
SSFEX has a 0.03% 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%.
Dividends
SSFEX vs. TLT - Dividend Comparison
SSFEX's dividend yield for the trailing twelve months is around 4.12%, less than TLT's 4.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSFEX State Street Aggregate Bond Index Fund Class K | 4.12% | 3.66% | 3.76% | 3.14% | 2.48% | 3.32% | 9.59% | 3.56% | 2.79% | 2.43% | 2.19% | 4.67% |
TLT iShares 20+ Year Treasury Bond ETF | 4.58% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
Frequently Asked Questions
With a correlation of 0.93, SSFEX and TLT move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
TLT has higher volatility (2.71%) compared to SSFEX (1.30%). In terms of maximum drawdown, SSFEX dropped -92.70% vs TLT's -48.35%.
SSFEX currently has the higher Sharpe Ratio (1.44 vs 0.36), 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.
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