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TLH vs. VGLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TLH and VGLT is 0.97, 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.


-0.50.00.51.01.0

Performance

TLH vs. VGLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 10-20 Year Treasury Bond ETF (TLH) and Vanguard Long-Term Treasury ETF (VGLT). 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
-0.76%
-1.56%
TLH
VGLT

Key characteristics

Sharpe Ratio

TLH:

-0.14

VGLT:

-0.28

Sortino Ratio

TLH:

-0.11

VGLT:

-0.30

Omega Ratio

TLH:

0.99

VGLT:

0.97

Calmar Ratio

TLH:

-0.04

VGLT:

-0.09

Martin Ratio

TLH:

-0.33

VGLT:

-0.62

Ulcer Index

TLH:

4.88%

VGLT:

5.89%

Daily Std Dev

TLH:

11.52%

VGLT:

12.88%

Max Drawdown

TLH:

-41.14%

VGLT:

-46.18%

Current Drawdown

TLH:

-32.30%

VGLT:

-38.12%

Returns By Period

In the year-to-date period, TLH achieves a -2.12% return, which is significantly higher than VGLT's -3.67% return. Over the past 10 years, TLH has underperformed VGLT with an annualized return of -0.38%, while VGLT has yielded a comparatively higher -0.35% annualized return.


TLH

YTD

-2.12%

1M

0.71%

6M

-0.76%

1Y

-1.04%

5Y (annualized)

-3.99%

10Y (annualized)

-0.38%

VGLT

YTD

-3.67%

1M

0.87%

6M

-1.56%

1Y

-2.99%

5Y (annualized)

-4.82%

10Y (annualized)

-0.35%

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TLH vs. VGLT - Expense Ratio Comparison

TLH has a 0.15% expense ratio, which is higher than VGLT's 0.04% 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%.


TLH
iShares 10-20 Year Treasury Bond ETF
Expense ratio chart for TLH: 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 VGLT: 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

TLH vs. VGLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 10-20 Year Treasury Bond ETF (TLH) and Vanguard Long-Term Treasury ETF (VGLT). 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 TLH, currently valued at -0.14, compared to the broader market0.002.004.00-0.14-0.28
The chart of Sortino ratio for TLH, currently valued at -0.11, compared to the broader market-2.000.002.004.006.008.0010.00-0.11-0.30
The chart of Omega ratio for TLH, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.000.990.97
The chart of Calmar ratio for TLH, currently valued at -0.04, compared to the broader market0.005.0010.0015.00-0.04-0.09
The chart of Martin ratio for TLH, currently valued at -0.33, compared to the broader market0.0020.0040.0060.0080.00100.00-0.33-0.62
TLH
VGLT

The current TLH Sharpe Ratio is -0.14, which is higher than the VGLT Sharpe Ratio of -0.28. The chart below compares the historical Sharpe Ratios of TLH and VGLT, 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.14
-0.28
TLH
VGLT

Dividends

TLH vs. VGLT - Dividend Comparison

TLH's dividend yield for the trailing twelve months is around 3.82%, less than VGLT's 4.17% yield.


TTM20232022202120202019201820172016201520142013
TLH
iShares 10-20 Year Treasury Bond ETF
3.82%3.83%2.78%1.50%2.65%2.31%2.17%1.83%1.91%2.13%2.12%2.41%
VGLT
Vanguard Long-Term Treasury ETF
4.17%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%

Drawdowns

TLH vs. VGLT - Drawdown Comparison

The maximum TLH drawdown since its inception was -41.14%, smaller than the maximum VGLT drawdown of -46.18%. Use the drawdown chart below to compare losses from any high point for TLH and VGLT. For additional features, visit the drawdowns tool.


-40.00%-38.00%-36.00%-34.00%-32.00%-30.00%-28.00%-26.00%JulyAugustSeptemberOctoberNovemberDecember
-32.30%
-38.12%
TLH
VGLT

Volatility

TLH vs. VGLT - Volatility Comparison

The current volatility for iShares 10-20 Year Treasury Bond ETF (TLH) is 3.03%, while Vanguard Long-Term Treasury ETF (VGLT) has a volatility of 3.54%. This indicates that TLH experiences smaller price fluctuations and is considered to be less risky than VGLT 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%JulyAugustSeptemberOctoberNovemberDecember
3.03%
3.54%
TLH
VGLT
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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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