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^FVX vs. TLT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^FVX and TLT is 0.27, 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.


-0.50.00.51.0
Correlation: 0.3

Performance

^FVX vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 5 Years (^FVX) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%NovemberDecember2025FebruaryMarchApril
13.07%
135.78%
^FVX
TLT

Key characteristics

Sharpe Ratio

^FVX:

-0.63

TLT:

0.49

Sortino Ratio

^FVX:

-0.77

TLT:

0.76

Omega Ratio

^FVX:

0.91

TLT:

1.09

Calmar Ratio

^FVX:

-0.26

TLT:

0.16

Martin Ratio

^FVX:

-1.12

TLT:

0.93

Ulcer Index

^FVX:

13.30%

TLT:

7.56%

Daily Std Dev

^FVX:

23.75%

TLT:

14.43%

Max Drawdown

^FVX:

-97.53%

TLT:

-48.35%

Current Drawdown

^FVX:

-51.67%

TLT:

-40.21%

Returns By Period

In the year-to-date period, ^FVX achieves a -12.88% return, which is significantly lower than TLT's 4.35% return. Over the past 10 years, ^FVX has outperformed TLT with an annualized return of 9.75%, while TLT has yielded a comparatively lower -0.64% annualized return.


^FVX

YTD

-12.88%

1M

-4.14%

6M

-7.02%

1Y

-17.74%

5Y*

61.72%

10Y*

9.75%

TLT

YTD

4.35%

1M

0.43%

6M

0.09%

1Y

5.60%

5Y*

-9.21%

10Y*

-0.64%

*Annualized

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Risk-Adjusted Performance

^FVX vs. TLT — Risk-Adjusted Performance Rank

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

^FVX
The Risk-Adjusted Performance Rank of ^FVX is 66
Overall Rank
The Sharpe Ratio Rank of ^FVX is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of ^FVX is 44
Sortino Ratio Rank
The Omega Ratio Rank of ^FVX is 44
Omega Ratio Rank
The Calmar Ratio Rank of ^FVX is 1212
Calmar Ratio Rank
The Martin Ratio Rank of ^FVX is 88
Martin Ratio Rank

TLT
The Risk-Adjusted Performance Rank of TLT is 4848
Overall Rank
The Sharpe Ratio Rank of TLT is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of TLT is 5555
Sortino Ratio Rank
The Omega Ratio Rank of TLT is 4949
Omega Ratio Rank
The Calmar Ratio Rank of TLT is 3737
Calmar Ratio Rank
The Martin Ratio Rank of TLT is 4242
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^FVX vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) 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.


The chart of Sharpe ratio for ^FVX, currently valued at -0.63, compared to the broader market-0.500.000.501.001.50
^FVX: -0.63
TLT: 0.27
The chart of Sortino ratio for ^FVX, currently valued at -0.77, compared to the broader market-1.00-0.500.000.501.001.502.00
^FVX: -0.77
TLT: 0.46
The chart of Omega ratio for ^FVX, currently valued at 0.91, compared to the broader market0.901.001.101.201.30
^FVX: 0.91
TLT: 1.06
The chart of Calmar ratio for ^FVX, currently valued at -0.43, compared to the broader market-0.500.000.501.001.50
^FVX: -0.43
TLT: 0.09
The chart of Martin ratio for ^FVX, currently valued at -1.11, compared to the broader market0.002.004.006.008.00
^FVX: -1.11
TLT: 0.50

The current ^FVX Sharpe Ratio is -0.63, which is lower than the TLT Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of ^FVX 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-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
-0.63
0.27
^FVX
TLT

Drawdowns

^FVX vs. TLT - Drawdown Comparison

The maximum ^FVX drawdown since its inception was -97.53%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ^FVX and TLT. For additional features, visit the drawdowns tool.


-45.00%-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%NovemberDecember2025FebruaryMarchApril
-26.99%
-40.21%
^FVX
TLT

Volatility

^FVX vs. TLT - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 10.66% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 5.92%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.66%
5.92%
^FVX
TLT