TLT vs. FXE
TLT (iShares 20+ Year Treasury Bond ETF) and FXE (Invesco CurrencyShares® Euro Currency Trust) are both exchange-traded funds - TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index, while FXE is a Currency fund tracking the Euro. Both are passively managed. Over the past 10 years, TLT returned -2.20%/yr vs 0.37%/yr for FXE. At a 0.04 correlation, their price movements are largely independent. TLT charges 0.15%/yr vs 0.40%/yr for FXE.
Performance
TLT vs. FXE - Performance Comparison
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Returns By Period
In the year-to-date period, TLT achieves a -1.57% return, which is significantly higher than FXE's -2.42% return. Over the past 10 years, TLT has underperformed FXE with an annualized return of -2.20%, while FXE has yielded a comparatively higher 0.37% annualized return.
TLT
- 1D
- -0.75%
- 1M
- -2.94%
- 6M
- -2.29%
- YTD
- -1.57%
- 1Y
- 2.90%
- 3Y*
- -2.24%
- 5Y*
- -7.64%
- 10Y*
- -2.20%
- ALL TIME*
- 3.56%
FXE
- 1D
- -0.23%
- 1M
- -0.31%
- 6M
- -1.19%
- YTD
- -2.42%
- 1Y
- -1.00%
- 3Y*
- 2.37%
- 5Y*
- 0.13%
- 10Y*
- 0.37%
- ALL TIME*
- 0.08%
TLT vs. FXE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | -1.57% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
FXE Invesco CurrencyShares® Euro Currency Trust | -2.42% | 14.52% | -4.18% | 4.87% | -6.57% | -7.83% | 7.94% | -2.90% | -5.30% | 13.05% |
Correlation
The correlation between TLT and FXE is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Dec 12, 2005 | 0.04 |
Over the past year, TLT and FXE have become more correlated (0.32) than their long-term average of 0.04, meaning their price movements have been converging.
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Return for Risk
TLT vs. FXE — Risk / Return Rank
TLT
FXE
TLT vs. FXE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 20+ Year Treasury Bond ETF (TLT) and Invesco CurrencyShares® Euro Currency Trust (FXE). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TLT | FXE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.47 | ||
| Sortino ratioReturn per unit of downside risk | +0.71 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.98 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 0.38 | -0.19 | +0.57 |
| Martin ratioReturn relative to average drawdown | 0.87 | -0.39 | +1.26 |
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Drawdowns
TLT vs. FXE - Drawdown Comparison
The maximum TLT drawdown since its inception was -48.35%, which is greater than FXE's maximum drawdown of -43.33%. Use the drawdown chart below to compare losses from any high point for TLT and FXE.
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Drawdown Indicators
| TLT | FXE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.35% | -43.33% | -5.02% |
Max Drawdown (1Y)Largest decline over 1 year | -7.58% | -5.40% | -2.18% |
Max Drawdown (3Y)Largest decline over 3 years | -17.91% | -8.12% | -9.79% |
Max Drawdown (5Y)Largest decline over 5 years | -43.70% | -20.21% | -23.49% |
Max Drawdown (10Y)Largest decline over 10 years | -48.35% | -26.46% | -21.89% |
Current DrawdownCurrent decline from peak | -41.21% | -29.03% | -12.18% |
Average DrawdownAverage peak-to-trough decline | -13.95% | -22.34% | +8.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.35% | 2.60% | +0.75% |
Volatility
TLT vs. FXE - Volatility Comparison
iShares 20+ Year Treasury Bond ETF (TLT) has a higher volatility of 2.63% compared to Invesco CurrencyShares® Euro Currency Trust (FXE) at 1.26%. This indicates that TLT's price experiences larger fluctuations and is considered to be riskier than FXE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TLT | FXE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 1.26% | +1.37% |
Volatility (6M)Calculated over the trailing 6-month period | 6.82% | 4.46% | +2.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.41% | 6.18% | +3.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.75% | 7.66% | +8.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.84% | 7.26% | +7.58% |
TLT vs. FXE - Expense Ratio Comparison
TLT has a 0.15% expense ratio, which is lower than FXE's 0.40% expense ratio.
Dividends
TLT vs. FXE - Dividend Comparison
TLT's dividend yield for the trailing twelve months is around 4.65%, more than FXE's 0.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXE Invesco CurrencyShares® Euro Currency Trust | 0.75% | 0.94% | 2.28% | 1.49% | 0.01% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.65% | 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
TLT and FXE have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TLT has higher volatility (2.63%) compared to FXE (1.26%). In terms of maximum drawdown, TLT dropped -48.35% vs FXE's -43.33%.
On 10-year performance, FXE leads with 0.37% vs -2.20% for TLT. On fees, TLT is cheaper at 0.15% per year. On volatility, FXE has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FXE has performed better with a 0.37% return vs -2.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TLT is cheaper with a 0.15% expense ratio, compared with 0.40% for FXE.
TLT has the higher dividend yield at 4.65%, compared with 0.75% for FXE.
TLT is categorized as Government Bonds, while FXE is Currency. TLT tracks ICE U.S. Treasury 20+ Year Bond Index, while FXE tracks Euro. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.15% for TLT and 0.40% for FXE.
TLT currently has the higher Sharpe Ratio (0.31 vs -0.16), 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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