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TLTD vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TLTD and VOO is 0.77, 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.


-0.50.00.51.00.8

Performance

TLTD vs. VOO - 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 Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
96.47%
410.50%
TLTD
VOO

Key characteristics

Sharpe Ratio

TLTD:

0.52

VOO:

2.04

Sortino Ratio

TLTD:

0.79

VOO:

2.72

Omega Ratio

TLTD:

1.10

VOO:

1.38

Calmar Ratio

TLTD:

0.80

VOO:

3.02

Martin Ratio

TLTD:

2.22

VOO:

13.60

Ulcer Index

TLTD:

3.01%

VOO:

1.88%

Daily Std Dev

TLTD:

12.81%

VOO:

12.52%

Max Drawdown

TLTD:

-40.62%

VOO:

-33.99%

Current Drawdown

TLTD:

-8.31%

VOO:

-3.52%

Returns By Period

In the year-to-date period, TLTD achieves a 3.79% return, which is significantly lower than VOO's 24.65% return. Over the past 10 years, TLTD has underperformed VOO with an annualized return of 4.91%, while VOO has yielded a comparatively higher 13.02% annualized return.


TLTD

YTD

3.79%

1M

-1.48%

6M

-0.59%

1Y

5.65%

5Y*

4.47%

10Y*

4.91%

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

Compare stocks, funds, or ETFs

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


TLTD vs. VOO - Expense Ratio Comparison

TLTD has a 0.39% expense ratio, which is higher than VOO's 0.03% expense ratio.


TLTD
FlexShares Morningstar Developed Markets ex-US Factor Tilt
Expense ratio chart for TLTD: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

TLTD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and Vanguard S&P 500 ETF (VOO). 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 TLTD, currently valued at 0.52, compared to the broader market0.002.004.000.522.04
The chart of Sortino ratio for TLTD, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.000.792.72
The chart of Omega ratio for TLTD, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.38
The chart of Calmar ratio for TLTD, currently valued at 0.80, compared to the broader market0.005.0010.0015.000.803.02
The chart of Martin ratio for TLTD, currently valued at 2.22, compared to the broader market0.0020.0040.0060.0080.00100.002.2213.60
TLTD
VOO

The current TLTD Sharpe Ratio is 0.52, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of TLTD and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.52
2.04
TLTD
VOO

Dividends

TLTD vs. VOO - Dividend Comparison

TLTD's dividend yield for the trailing twelve months is around 2.38%, more than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
TLTD
FlexShares Morningstar Developed Markets ex-US Factor Tilt
2.38%3.39%2.76%3.44%2.04%3.46%3.16%2.71%2.93%2.56%3.14%1.14%
VOO
Vanguard S&P 500 ETF
1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

TLTD vs. VOO - Drawdown Comparison

The maximum TLTD drawdown since its inception was -40.62%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for TLTD and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.31%
-3.52%
TLTD
VOO

Volatility

TLTD vs. VOO - Volatility Comparison

FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.49% and 3.58%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.49%
3.58%
TLTD
VOO
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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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