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

Performance

UCON vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust TCW Unconstrained Plus Bond ETF (UCON) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.59%
1.13%
UCON
TLT

Returns By Period

In the year-to-date period, UCON achieves a 3.93% return, which is significantly higher than TLT's -5.58% return.


UCON

YTD

3.93%

1M

-0.56%

6M

3.59%

1Y

7.21%

5Y (annualized)

2.71%

10Y (annualized)

N/A

TLT

YTD

-5.58%

1M

-1.81%

6M

1.13%

1Y

3.40%

5Y (annualized)

-6.09%

10Y (annualized)

-0.37%

Key characteristics


UCONTLT
Sharpe Ratio2.070.26
Sortino Ratio3.060.46
Omega Ratio1.411.05
Calmar Ratio3.240.09
Martin Ratio10.070.60
Ulcer Index0.73%6.30%
Daily Std Dev3.57%14.73%
Max Drawdown-15.31%-48.35%
Current Drawdown-1.63%-41.17%

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UCON vs. TLT - Expense Ratio Comparison

UCON has a 0.76% expense ratio, which is higher than TLT's 0.15% expense ratio.


UCON
First Trust TCW Unconstrained Plus Bond ETF
Expense ratio chart for UCON: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
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%

Correlation

-0.50.00.51.00.4

The correlation between UCON and TLT is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

UCON vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust TCW Unconstrained Plus Bond ETF (UCON) 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.


Sharpe ratio
The chart of Sharpe ratio for UCON, currently valued at 2.07, compared to the broader market0.002.004.002.070.26
The chart of Sortino ratio for UCON, currently valued at 3.06, compared to the broader market-2.000.002.004.006.008.0010.0012.003.060.46
The chart of Omega ratio for UCON, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.05
The chart of Calmar ratio for UCON, currently valued at 3.24, compared to the broader market0.005.0010.0015.003.240.09
The chart of Martin ratio for UCON, currently valued at 10.07, compared to the broader market0.0020.0040.0060.0080.00100.0010.070.60
UCON
TLT

The current UCON Sharpe Ratio is 2.07, which is higher than the TLT Sharpe Ratio of 0.26. The chart below compares the historical Sharpe Ratios of UCON 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.07
0.26
UCON
TLT

Dividends

UCON vs. TLT - Dividend Comparison

UCON's dividend yield for the trailing twelve months is around 4.62%, more than TLT's 4.07% yield.


TTM20232022202120202019201820172016201520142013
UCON
First Trust TCW Unconstrained Plus Bond ETF
4.62%4.75%3.12%2.20%3.14%3.51%1.76%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
4.07%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

UCON vs. TLT - Drawdown Comparison

The maximum UCON drawdown since its inception was -15.31%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for UCON and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.63%
-41.17%
UCON
TLT

Volatility

UCON vs. TLT - Volatility Comparison

The current volatility for First Trust TCW Unconstrained Plus Bond ETF (UCON) is 0.86%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.65%. This indicates that UCON 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.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.86%
4.65%
UCON
TLT