A SPY
SPY 100% SPY vs TLT ETF Comparison
Set your investment period and amount to compare the returns, growth and risk of two ETFs.
B TLT
TLT 100% Data as of 2026-10-23
Key comparison
Compare growth, loss risk, and cost in the same rows first.
| Portfolio A · SPY 100% | Portfolio B · TLT 100% |
|---|---|
CAGR +14.8% | CAGR -0.8% |
Final Balance $44,357 | Final Balance $9,145 |
Volatility +15.0% | Volatility +13.5% |
MDD · daily -33.7% | MDD · daily -48.4% |
Sharpe Ratio 0.85 | Sharpe Ratio -0.20 |
Weighted expense ratio 0.09% | Weighted expense ratio 0.15% |
Result summary
SPY had the higher CAGR. SPY had the smaller maximum drawdown.
- SPY: CAGR 14.77%, daily maximum drawdown -33.70%.
- TLT: CAGR -0.82%, daily maximum drawdown -48.35%.
Key points in this comparison
- In 2021, returns were SPY +28.7% and TLT -4.6%, a gap of 33.3 percentage points.
- Maximum drawdown was -33.7% for SPY and -48.3% for TLT; TLT fell further. After its deepest decline, TLT has not yet recovered its previous peak.
- The monthly-return correlation is 0.15: the two portfolios moved largely independently.
Period & basis
2016-01-04 – 2026-10-23
Historical results for this period.Cumulative performance
Compare growth paths and cumulative returns over the same period.
Portfolio value
Compare portfolio value and cumulative contributions on the same dates.
| ETF | Total Return | CAGR | Total invested |
|---|---|---|---|
| A | +343.6% | +14.8% | 10000 |
| B | -8.6% | -0.8% | 10000 |
Risk and recovery
Compare the volatility taken for return with the loss path investors actually experienced.
Risk vs Return
Lower-left is safer, upper-right is higher risk/reward. Ideal: upper-left.
| Compared portfolios | CAGR | Volatility (Ann.) | Sharpe Ratio | MDD · daily |
|---|---|---|---|---|
| A | 14.77% | 15.03% | 0.85 | -33.7% |
| B | -0.82% | 13.49% | -0.2 | -48.35% |
Drawdown paths
Compare how far each portfolio's daily closing value fell from its prior peak over the same period.
| Compared portfolios | MDD · daily |
|---|---|
| A | -33.7 |
| B | -48.35 |
Returns and major declines
Compare annual returns and daily peak, trough, and recovery dates.
Annual Returns Comparison
Check consistency across annual, quarterly, decade, and rolling windows.
| Metric | A | B |
|---|---|---|
| 2026· Partial year | +12.7% | -8.0% |
| 2025 | +17.7% | +4.3% |
| 2024 | +24.9% | -8.1% |
| 2023 | +26.2% | +2.8% |
| 2022 | -18.2% | -31.2% |
| 2021 | +28.7% | -4.6% |
| 2020 | +18.4% | +18.1% |
| 2019 | +31.2% | +14.1% |
| 2018 | -4.6% | -1.6% |
| 2017 | +21.7% | +9.2% |
| 2016 | +12.0% | +1.2% |
Worst Drawdown Periods
| Peak date | Trough date | Recovery date | Drawdown |
|---|---|---|---|
| 2020-02-19 | 2020-03-23 | 2020-08-10 | -33.7% |
| 2022-01-03 | 2022-10-12 | 2023-12-13 | -24.5% |
| 2018-09-20 | 2018-12-24 | 2019-04-12 | -19.3% |
| Peak date | Trough date | Recovery date | Drawdown |
|---|---|---|---|
| 2020-08-04 | 2023-10-19 | Ongoing | -48.4% |
| 2016-07-08 | 2016-12-14 | 2019-07-02 | -17.9% |
| 2020-03-09 | 2020-03-18 | 2020-04-21 | -15.7% |
Stress Test: Market Crashes
Return of each ETF during major historical market drawdown events| Event | A | B |
|---|---|---|
| Q4 2018 Selloff | -19.3% | +4.5% |
| COVID-19 Crash | -33.7% | +14.2% |
| 2022 Rate Hike Bear Market | -24.5% | -29.3% |
Risk and recovery
Review drawdowns, downside risk, volatility regimes, and recovery speed.
| Portfolio A | Portfolio B |
|---|---|
Holdings 1 | Holdings 1 |
Effective holdings 1.00 | Effective holdings 1.00 |
Largest weight +100.0% | Largest weight +100.0% |
Weighted dividend yield 1.00% | Weighted dividend yield 4.78% |
Monthly observations 129 | Monthly observations 129 |
MDD · month-end -23.9% | MDD · month-end -47.6% |
Downside deviation +2.7% | Downside deviation +2.7% |
Worst Year -18.2% | Worst Year -31.2% |
Longest drawdown 709 days | Longest drawdown 2,271 days |
Average recovery 110 days | Average recovery 138 days |
Ulcer Index +6.2% | Ulcer Index +26.3% |
Pain Index +3.3% | Pain Index +20.7% |
Historical VaR 95% +6.7% | Historical VaR 95% +5.9% |
CVaR 95% +8.9% | CVaR 95% +7.5% |
Effective holdings measures weight concentration. It does not represent overlap among the ETFs' underlying holdings.
Risk-adjusted and benchmark
Compare excess return, sensitivity, and tracking behavior against the same benchmark.
| Portfolio A | Portfolio B |
|---|---|
Sortino 1.35 | Sortino -0.27 |
Calmar · 3Y month-end 3.00 | Calmar · 3Y month-end -0.01 |
Omega ratio 2.10 | Omega ratio 0.98 |
Martin ratio 2.40 | Martin ratio -0.03 |
Excess Return +0.0% | Excess Return -15.6% |
Alpha +0.0% | Alpha -4.5% |
Information ratio — | Information ratio -0.83 |
Beta 1.00 | Beta 0.14 |
Tracking error +0.0% | Tracking error +18.6% |
Benchmark correlation 1.00 | Benchmark correlation 0.16 |
Up Capture +100.0% | Up Capture +6.6% |
Down Capture +100.0% | Down Capture +29.5% |
Period consistency
Check consistency across annual, quarterly, decade, and rolling windows.
| Portfolio A | Portfolio B |
|---|---|
Total Return +343.6% | Total Return -8.6% |
Win Rate +70.5% | Win Rate +50.4% |
Best Year +31.2% | Best Year +18.1% |
Gain/Loss Ratio 0.88 | Gain/Loss Ratio 0.96 |
1-year rolling minimum -18.2% | 1-year rolling minimum -33.6% |
1-year positive windows +88.1% | 1-year positive windows +40.7% |
3-year rolling minimum +5.0% | 3-year rolling minimum -17.3% |
3-year positive windows +100.0% | 3-year positive windows +44.7% |
5-year rolling minimum +9.2% | 5-year rolling minimum -10.2% |
5-year positive windows +100.0% | 5-year positive windows +28.6% |
10-year rolling minimum +14.1% | 10-year rolling minimum -2.8% |
10-year positive windows +100.0% | 10-year positive windows +0.0% |
1-year rolling Sharpe minimum -0.83 | 1-year rolling Sharpe minimum -3.12 |
1-year rolling Sharpe average 1.22 | 1-year rolling Sharpe average -0.22 |
1-year rolling Sharpe maximum 5.14 | 1-year rolling Sharpe maximum 1.97 |
Period return comparison
Check consistency across annual, quarterly, decade, and rolling windows.
| Metric | A | B |
|---|---|---|
| 2026 Q4 | -0.3% | +5.0% |
| 2026 Q3 | +2.4% | -8.9% |
| 2026 Q2 | +15.1% | +0.9% |
| 2026 Q1 | -4.4% | +0.2% |
| 2025 Q4 | +2.7% | -1.0% |
| 2025 Q3 | +8.1% | +2.4% |
| 2025 Q2 | +10.8% | -2.0% |
| 2025 Q1 | -4.3% | +4.9% |
| 2024 Q4 | +2.5% | -9.7% |
| 2024 Q3 | +5.8% | +7.9% |
| 2024 Q2 | +4.4% | -2.0% |
| 2024 Q1 | +10.4% | -3.7% |
| 2023 Q4 | +11.6% | +12.9% |
| 2023 Q3 | -3.2% | -13.1% |
| 2023 Q2 | +8.7% | -2.5% |
| 2023 Q1 | +7.5% | +7.4% |
| 2022 Q4 | +7.6% | -1.9% |
| 2022 Q3 | -4.9% | -10.3% |
| 2022 Q2 | -16.1% | -12.6% |
| 2022 Q1 | -4.6% | -10.6% |
| 2021 Q4 | +11.1% | +3.2% |
| 2021 Q3 | +0.6% | +0.4% |
| 2021 Q2 | +8.4% | +7.0% |
| 2021 Q1 | +6.4% | -13.9% |
| 2020 Q4 | +12.1% | -3.0% |
| 2020 Q3 | +9.0% | -0.1% |
| 2020 Q2 | +20.2% | -0.2% |
| 2020 Q1 | -19.4% | +22.2% |
| 2019 Q4 | +9.0% | -4.7% |
| 2019 Q3 | +1.8% | +8.3% |
| 2019 Q2 | +4.2% | +5.7% |
| 2019 Q1 | +13.5% | +4.5% |
| 2018 Q4 | -13.5% | +4.6% |
| 2018 Q3 | +7.6% | -3.0% |
| 2018 Q2 | +3.6% | +0.5% |
| 2018 Q1 | -1.0% | -3.5% |
| 2017 Q4 | +6.8% | +2.5% |
| 2017 Q3 | +4.4% | +0.3% |
| 2017 Q2 | +3.1% | +4.3% |
| 2017 Q1 | +5.9% | +1.7% |
| 2016 Q4 | +4.0% | -12.6% |
| 2016 Q3 | +3.8% | -0.5% |
| 2016 Q2 | +2.5% | +7.0% |
| 2016 Q1 | +1.3% | +8.7% |
| Metric | A | B |
|---|---|---|
| 2020s | +15.0% | -4.4% |
| 2010s | +14.3% | +5.5% |
Return characteristics
Compare monthly distributions, momentum, asymmetry, and seasonality.
| Portfolio A | Portfolio B |
|---|---|
Skewness -0.42 | Skewness 0.25 |
Excess kurtosis 0.68 | Excess kurtosis 0.15 |
Longest winning streak 15 | Longest winning streak 5 |
Longest losing streak 3 | Longest losing streak 7 |
Average monthly return +1.3% | Average monthly return +0.0% |
Monthly return autocorrelation -0.14 | Monthly return autocorrelation 0.07 |
1M momentum -0.3% | 1M momentum -5.4% |
3M momentum +2.4% | 3M momentum -8.9% |
6M momentum +17.9% | 6M momentum -8.2% |
12M momentum +15.7% | 12M momentum -9.0% |
Worst 5% -6.7% | Worst 5% -5.9% |
Median +1.8% | Median +0.0% |
Best 5% +7.6% | Best 5% +6.9% |
- ETF2 Up / ETF1 Down
- 15
- Both Up
- 51
- Both Down
- 24
- ETF1 Up / ETF2 Down
- 40
- Total
- 130 months
Questions about these results
How did the same initial investment grow?
From 2016-01-04 to 2026-10-23, an initial $10,000 ended at $44,357 for SPY and $9,145 for TLT. Annualized returns were 14.77% and -0.82%, respectively.
How did the results differ during market crises?
During COVID-19 Crash, returns were -33.7% for SPY and 14.2% for TLT. During Q4 2018 Selloff, returns were -19.3% for SPY and 4.5% for TLT.
What are the expense ratios and annual costs?
Weighted expense ratios are 0.09% for SPY and 0.15% for TLT. Applied to the initial $10,000, estimated annual costs are $9 and $15.
What are the dividend yields and their basis?
The yields are 1.00% for SPY and 4.78% for TLT. They use distributions from the last 365 days divided by the last closing price and do not predict future distributions.