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

Correlation

The correlation between TFI and TLT is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

TFI vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

65.00%70.00%75.00%80.00%85.00%JulyAugustSeptemberOctoberNovemberDecember
65.27%
64.56%
TFI
TLT

Key characteristics

Sharpe Ratio

TFI:

-0.03

TLT:

-0.54

Sortino Ratio

TFI:

-0.01

TLT:

-0.66

Omega Ratio

TFI:

1.00

TLT:

0.93

Calmar Ratio

TFI:

-0.01

TLT:

-0.17

Martin Ratio

TFI:

-0.09

TLT:

-1.13

Ulcer Index

TFI:

1.33%

TLT:

6.75%

Daily Std Dev

TFI:

4.13%

TLT:

14.28%

Max Drawdown

TFI:

-15.49%

TLT:

-48.35%

Current Drawdown

TFI:

-5.95%

TLT:

-42.06%

Returns By Period

In the year-to-date period, TFI achieves a -0.18% return, which is significantly higher than TLT's -7.02% return. Over the past 10 years, TFI has outperformed TLT with an annualized return of 1.73%, while TLT has yielded a comparatively lower -0.87% annualized return.


TFI

YTD

-0.18%

1M

-0.71%

6M

0.85%

1Y

0.01%

5Y*

0.11%

10Y*

1.73%

TLT

YTD

-7.02%

1M

-1.53%

6M

-3.76%

1Y

-6.64%

5Y*

-5.98%

10Y*

-0.87%

Compare stocks, funds, or ETFs

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


TFI vs. TLT - Expense Ratio Comparison

TFI has a 0.23% expense ratio, which is higher than TLT's 0.15% 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%.


TFI
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF
Expense ratio chart for TFI: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
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

TFI vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) 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.


Sharpe ratio
The chart of Sharpe ratio for TFI, currently valued at -0.03, compared to the broader market0.002.004.00-0.03-0.54
The chart of Sortino ratio for TFI, currently valued at -0.01, compared to the broader market-2.000.002.004.006.008.0010.00-0.01-0.66
The chart of Omega ratio for TFI, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.000.93
The chart of Calmar ratio for TFI, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.01-0.17
The chart of Martin ratio for TFI, currently valued at -0.09, compared to the broader market0.0020.0040.0060.0080.00100.00-0.09-1.13
TFI
TLT

The current TFI Sharpe Ratio is -0.03, which is higher than the TLT Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of TFI 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.03
-0.54
TFI
TLT

Dividends

TFI vs. TLT - Dividend Comparison

TFI's dividend yield for the trailing twelve months is around 3.01%, less than TLT's 4.25% yield.


TTM20232022202120202019201820172016201520142013
TFI
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF
3.01%2.41%1.87%1.71%2.04%2.14%2.25%2.16%2.39%2.40%2.37%3.35%
TLT
iShares 20+ Year Treasury Bond ETF
4.25%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

TFI vs. TLT - Drawdown Comparison

The maximum TFI drawdown since its inception was -15.49%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for TFI and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.95%
-42.06%
TFI
TLT

Volatility

TFI vs. TLT - Volatility Comparison

The current volatility for SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) is 1.32%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.47%. This indicates that TFI 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.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
1.32%
4.47%
TFI
TLT
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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.

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