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

Key characteristics


TOTLTLT
YTD Return3.88%-3.80%
1Y Return10.47%8.80%
3Y Return (Ann)-1.03%-11.89%
5Y Return (Ann)0.05%-5.28%
Sharpe Ratio1.670.63
Sortino Ratio2.450.98
Omega Ratio1.331.11
Calmar Ratio0.790.21
Martin Ratio8.111.56
Ulcer Index1.32%6.03%
Daily Std Dev6.43%14.94%
Max Drawdown-16.48%-48.35%
Current Drawdown-4.50%-40.06%

Correlation

-0.50.00.51.00.8

The correlation between TOTL and TLT 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.

Performance

TOTL vs. TLT - Performance Comparison

In the year-to-date period, TOTL achieves a 3.88% return, which is significantly higher than TLT's -3.80% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.30%
3.31%
TOTL
TLT

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TOTL vs. TLT - Expense Ratio Comparison

TOTL has a 0.55% expense ratio, which is higher than TLT's 0.15% expense ratio.


TOTL
SPDR DoubleLine Total Return Tactical ETF
Expense ratio chart for TOTL: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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

TOTL vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR DoubleLine Total Return Tactical ETF (TOTL) 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.


TOTL
Sharpe ratio
The chart of Sharpe ratio for TOTL, currently valued at 1.67, compared to the broader market-2.000.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for TOTL, currently valued at 2.45, compared to the broader market0.005.0010.002.45
Omega ratio
The chart of Omega ratio for TOTL, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for TOTL, currently valued at 0.79, compared to the broader market0.005.0010.0015.000.79
Martin ratio
The chart of Martin ratio for TOTL, currently valued at 8.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.11
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at 0.63, compared to the broader market-2.000.002.004.006.000.63
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at 0.98, compared to the broader market0.005.0010.000.98
Omega ratio
The chart of Omega ratio for TLT, currently valued at 1.11, compared to the broader market1.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at 0.21, compared to the broader market0.005.0010.0015.000.21
Martin ratio
The chart of Martin ratio for TLT, currently valued at 1.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.56

TOTL vs. TLT - Sharpe Ratio Comparison

The current TOTL Sharpe Ratio is 1.67, which is higher than the TLT Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of TOTL 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-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.67
0.63
TOTL
TLT

Dividends

TOTL vs. TLT - Dividend Comparison

TOTL's dividend yield for the trailing twelve months is around 5.18%, more than TLT's 4.00% yield.


TTM20232022202120202019201820172016201520142013
TOTL
SPDR DoubleLine Total Return Tactical ETF
5.18%4.85%4.68%3.07%2.91%3.31%3.41%2.99%3.25%2.67%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
4.00%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

TOTL vs. TLT - Drawdown Comparison

The maximum TOTL drawdown since its inception was -16.48%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for TOTL and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.50%
-40.06%
TOTL
TLT

Volatility

TOTL vs. TLT - Volatility Comparison

The current volatility for SPDR DoubleLine Total Return Tactical ETF (TOTL) is 1.60%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 5.02%. This indicates that TOTL 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%JuneJulyAugustSeptemberOctoberNovember
1.60%
5.02%
TOTL
TLT