TLTD vs. SPY

Last updated Apr 1, 2026

Compare and contrast key facts about FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and State Street SPDR S&P 500 ETF (SPY).

TLTD and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TLTD is a passively managed fund by Northern Trust that tracks the performance of the Morningstar Developed Markets ex-US Factor Tilt Index. It was launched on Sep 28, 2012. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both TLTD and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

TLTD vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

TLTD vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt	1.50%	39.69%	4.78%	17.19%	-13.74%	12.84%	4.21%	21.26%	-17.57%	26.27%
SPY State Street SPDR S&P 500 ETF	-4.37%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Returns By Period

In the year-to-date period, TLTD achieves a 1.50% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, TLTD has underperformed SPY with an annualized return of 9.23%, while SPY has yielded a comparatively higher 13.98% annualized return.

TLTD

• 1D: 3.03%
• 1M: -8.32%
• YTD: 1.50%
• 6M: 7.64%
• 1Y: 30.17%
• 3Y*: 17.62%
• 5Y*: 9.49%
• 10Y*: 9.23%

SPY

• 1D: 2.91%
• 1M: -4.94%
• YTD: -4.37%
• 6M: -1.82%
• 1Y: 17.59%
• 3Y*: 18.19%
• 5Y*: 11.69%
• 10Y*: 13.98%

*Multi-year figures are annualized to reflect compound growth (CAGR)

TLTD vs. SPY - Expense Ratio Comparison

TLTD has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.

TLTD

FlexShares Morningstar Developed Markets ex-US Factor Tilt

SPY

State Street SPDR S&P 500 ETF

Return for Risk

TLTD vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TLTD

TLTD Risk / Return Rank: 87
TLTD Sharpe Ratio Rank: 87
TLTD Sortino Ratio Rank: 88
TLTD Omega Ratio Rank: 88
TLTD Calmar Ratio Rank: 84
TLTD Martin Ratio Rank: 86

SPY

SPY Risk / Return Rank: 64
SPY Sharpe Ratio Rank: 56
SPY Sortino Ratio Rank: 60
SPY Omega Ratio Rank: 65
SPY Calmar Ratio Rank: 65
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TLTD vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and State Street SPDR S&P 500 ETF (SPY). 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.

	TLTD	SPY	Difference
Sharpe ratio Return per unit of total volatility	1.78	0.93	+0.85
Sortino ratio Return per unit of downside risk	2.40	1.45	+0.95
Omega ratio Gain probability vs. loss probability	1.36	1.22	+0.14
Calmar ratio Return relative to maximum drawdown	2.44	1.53	+0.92
Martin ratio Return relative to average drawdown	9.90	7.30	+2.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TLTD vs. SPY - Sharpe Ratio Comparison

The current TLTD Sharpe Ratio is 1.78, which is higher than the SPY Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of TLTD and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	TLTD	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.78	0.93	+0.85
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.69	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.55	0.78	-0.23
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.56	-0.07

Correlation

The correlation between TLTD and SPY is 0.76, 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.

Dividends

TLTD vs. SPY - Dividend Comparison

TLTD's dividend yield for the trailing twelve months is around 3.29%, more than SPY's 1.14% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt	3.29%	3.44%	3.88%	3.39%	2.76%	3.44%	2.04%	3.46%	3.16%	2.71%	2.93%	2.56%
SPY State Street SPDR S&P 500 ETF	1.14%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Drawdowns

TLTD vs. SPY - Drawdown Comparison

The maximum TLTD drawdown since its inception was -40.62%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TLTD and SPY.

Drawdown Indicators

	TLTD	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-40.62%	-55.19%	+14.57%
Max Drawdown (1Y) Largest decline over 1 year	-12.11%	-12.05%	-0.06%
Max Drawdown (5Y) Largest decline over 5 years	-28.96%	-24.50%	-4.46%
Max Drawdown (10Y) Largest decline over 10 years	-40.62%	-33.72%	-6.90%
Current Drawdown Current decline from peak	-8.61%	-6.24%	-2.37%
Average Drawdown Average peak-to-trough decline	-7.74%	-9.09%	+1.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.98%	2.52%	+0.46%

Volatility

TLTD vs. SPY - Volatility Comparison

FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) has a higher volatility of 7.39% compared to State Street SPDR S&P 500 ETF (SPY) at 5.31%. This indicates that TLTD's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TLTD	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.39%	5.31%	+2.08%
Volatility (6M) Calculated over the trailing 6-month period	10.96%	9.47%	+1.49%
Volatility (1Y) Calculated over the trailing 1-year period	17.02%	19.05%	-2.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.84%	17.06%	-1.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.76%	17.92%	-1.16%