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

Performance

VUSUX vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%JuneJulyAugustSeptemberOctoberNovember
60.48%
131.35%
VUSUX
TLT

Returns By Period

In the year-to-date period, VUSUX achieves a -4.82% return, which is significantly higher than TLT's -5.85% return. Over the past 10 years, VUSUX has underperformed TLT with an annualized return of -1.68%, while TLT has yielded a comparatively higher -0.34% annualized return.


VUSUX

YTD

-4.82%

1M

-4.74%

6M

1.01%

1Y

5.51%

5Y (annualized)

-7.06%

10Y (annualized)

-1.68%

TLT

YTD

-5.85%

1M

-5.17%

6M

0.53%

1Y

4.54%

5Y (annualized)

-5.85%

10Y (annualized)

-0.34%

Key characteristics


VUSUXTLT
Sharpe Ratio0.500.40
Sortino Ratio0.790.65
Omega Ratio1.091.07
Calmar Ratio0.140.13
Martin Ratio1.270.95
Ulcer Index5.30%6.17%
Daily Std Dev13.58%14.79%
Max Drawdown-51.18%-48.35%
Current Drawdown-44.24%-41.33%

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VUSUX vs. TLT - Expense Ratio Comparison

VUSUX has a 0.10% expense ratio, which is lower than TLT's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TLT
iShares 20+ Year Treasury Bond ETF
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%
Expense ratio chart for VUSUX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.01.0

The correlation between VUSUX and TLT is 0.98, 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.

Risk-Adjusted Performance

VUSUX vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) 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 VUSUX, currently valued at 0.49, compared to the broader market0.002.004.000.500.40
The chart of Sortino ratio for VUSUX, currently valued at 0.79, compared to the broader market0.005.0010.000.790.65
The chart of Omega ratio for VUSUX, currently valued at 1.09, compared to the broader market1.002.003.004.001.091.07
The chart of Calmar ratio for VUSUX, currently valued at 0.14, compared to the broader market0.005.0010.0015.0020.0025.000.140.13
The chart of Martin ratio for VUSUX, currently valued at 1.27, compared to the broader market0.0020.0040.0060.0080.00100.001.270.95
VUSUX
TLT

The current VUSUX Sharpe Ratio is 0.50, which is comparable to the TLT Sharpe Ratio of 0.40. The chart below compares the historical Sharpe Ratios of VUSUX 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-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.50
0.40
VUSUX
TLT

Dividends

VUSUX vs. TLT - Dividend Comparison

VUSUX's dividend yield for the trailing twelve months is around 4.00%, less than TLT's 4.08% yield.


TTM20232022202120202019201820172016201520142013
VUSUX
Vanguard Long-Term Treasury Fund Admiral Shares
4.00%3.42%3.03%1.97%2.10%2.63%2.92%2.74%2.96%2.99%2.96%3.53%
TLT
iShares 20+ Year Treasury Bond ETF
4.08%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

VUSUX vs. TLT - Drawdown Comparison

The maximum VUSUX drawdown since its inception was -51.18%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for VUSUX and TLT. For additional features, visit the drawdowns tool.


-46.00%-44.00%-42.00%-40.00%-38.00%-36.00%-34.00%JuneJulyAugustSeptemberOctoberNovember
-44.24%
-41.33%
VUSUX
TLT

Volatility

VUSUX vs. TLT - Volatility Comparison

The current volatility for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) is 4.29%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.90%. This indicates that VUSUX 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.


2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
4.29%
4.90%
VUSUX
TLT