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Bond · Trading days

Treasury Bonds (TLT)

TLT is the standard long-duration Treasury ETF — the cleanest way to express a rates view in a US-equity-denominated portfolio.

Last updated:

Gale Finance Team
Written by Gale Finance Team
Sid Kalla
Reviewed by Sid Kalla CFA Charterholder
Quick Answer

What is Treasury Bonds' risk, return, and volatility like?

Treasury Bonds returned +3.7% over the 1Y window. On the 5Y lens, Sharpe ratio is -0.60, annualized volatility is 15.9%, and max drawdown is -43.7%.

Total Return
1Y +3.7%
5Y -27.9%
Sharpe Ratio
1Y 0.00
5Y -0.60
Annualized Volatility
1Y 10.2%
5Y 15.9%
Max Drawdown
1Y -6.6%
5Y -43.7%

Trade TLT

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Price history

Treasury Bonds price over the past 5Y

Track Treasury Bonds's standalone price path with macro and asset-specific events enabled by default.

Treasury Bonds price over the past 5Y

TLT
7 events in this period
Show events
Latest close $86.74 Data through 2026-04-22
5Y low $75.39 Window low
5Y high $133.90 Window high

Key takeaways

  • Total Return: TLT returned +3.7% over the 1Y window and -27.9% over the 5Y window ; annualized return over 5Y was -6.3%.
  • Risk-adjusted return: Sharpe was -0.60 and Sortino was -0.83 over 5Y. Sharpe counts total volatility; Sortino focuses on downside volatility.
  • Volatility & drawdown: Annualized volatility was 10.2% over 1Y and 15.9% over 5Y ; max drawdown was -6.6% over 1Y and -43.7% over 5Y .
  • Tail risk (Expected Shortfall): Over 5Y, daily VaR (5%) was -1.7% and Expected Shortfall was -2.2%. VaR is the cutoff; Expected Shortfall is the average move inside the worst 5% of daily returns.
  • Skew & kurtosis: Over 5Y, skew was -0.01 and excess kurtosis was 0.46. Skew shows return asymmetry; excess kurtosis shows how fat the tails were versus a Normal distribution.
  • Risk ratios: Sortino Ratio: -0.83 , Calmar Ratio: -0.14 , Sterling Ratio: -0.24 , Treynor Ratio: -1.50 , Ulcer Index: 30.32% .

Treasury Bonds Drawdown

TLT 1Y Max Drawdown
↓ -6.6%
2025-04-29 to 2025-05-21
TLT 5Y Max Drawdown
↓ -43.7%
2021-12-03 to 2023-10-19

Max drawdown shows the deepest peak-to-trough decline Treasury Bonds suffered in each research window. 1Y: -6.6%; 5Y: -43.7%.

Treasury Bonds is currently -40.6% below its prior peak, with the high-water mark at $133.90. 5Y low is $75.39.

TLT underwater plot (5Y). Zero means at a prior peak; dips show how far below peak the close was on each day. Deepest trough: -43.7% on Oct 19, 2023.
-43.7% 2021-04-23 2026-04-22 0% -44%

5Y drawdown episodes

#1
-43.7% Dec 3, 2021 to Oct 19, 2023
Not yet recovered 1601 total days
#2
-6.7% Sep 22, 2021 to Oct 11, 2021
Recovered Nov 30, 2021 69 total days
#3
-3.3% Jul 19, 2021 to Aug 12, 2021
Recovered Sep 14, 2021 57 total days

Treasury Bonds Volatility

TLT 1Y Volatility
10.2%
Annualized daily closes
TLT 5Y Volatility
15.9%
Annualized daily closes

Volatility Treasury Bonds's annualized volatility shows how widely daily closes moved over 1Y and 5Y. Higher values mean a noisier path, not automatically a better or worse investment. 1Y: 10.2%; 5Y: 15.9%.

Benchmark context

Where TLT fits relative to other lenses

Benchmark links are secondary on this page. Use them when you want to place the asset against a specific market, factor, or historical counterpart.

Default benchmark

S&P 500

SPY

Broad equity benchmark

1Y return
↑ +34.0%
TLT minus SPY
↓ -31.3%
Correlation
0.03
1Y
TLT vs SPY average correlation
Weakly linked
0.03
Compare TLT vs SPY
BTC

Bitcoin

Corr 0.11

Cross-asset crypto benchmark

1Y return -16.6%
TLT minus BTC +19.3%
Compare TLT vs BTC
XAU

Gold

Corr 0.05

Store-of-value benchmark

1Y return +44.2%
TLT minus XAU -41.5%

Risk-adjusted ratios

These ratios compare return against different definitions of risk: total volatility, downside volatility, drawdowns, benchmark beta, and time spent underwater.

Treasury Bonds Sharpe Ratio

TLT 1Y Sharpe ratio
↑ 0.00
Recent window
TLT 5Y Sharpe ratio
↓ -0.60
Deeper research window

TLT Sharpe Ratio (5Y)

Return per total volatility

The dot sits at (Treasury Bonds's annualized volatility, its excess annualized return). The slope from the origin to the dot is the Sharpe ratio — steeper means the asset converted risk into return more efficiently.

Higher is better
Excess return Annualized volatility 0 20% vol 15.9% · excess -9.5%
excess annualized return / total volatility
Formula Sharpe=E[R]−RfσR\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio Treasury Bonds's Sharpe ratio measures excess return per unit of total volatility. Higher readings mean the asset converted risk into return more efficiently over the same window. 1Y: 0.00; 5Y: -0.60.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Treasury Bonds Sortino Ratio

TLT 1Y Sortino ratio
↑ 0.00
Recent window
TLT 5Y Sortino ratio
↓ -0.83
Deeper research window

TLT Sortino Ratio (5Y)

Return per downside volatility

Treasury Bonds's daily-return distribution over the long window. Days left of the target line are the only ones Sortino penalizes in the denominator — so a distribution with a fat left tail produces a smaller Sortino even at the same mean return.

Higher is better
Frequency (days) Daily return (%) target -5.0% +5.0% 132 0
excess annualized return / downside volatility
Formula Sortino=E[R]−Rfσdown\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio Treasury Bonds's Sortino ratio isolates downside volatility instead of all volatility. It is the cleaner lens when you care more about bad downside moves than upside noise. 1Y: 0.00; 5Y: -0.83.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Treasury Bonds Calmar Ratio

TLT 1Y Calmar ratio
↑ 0.56
Recent window
TLT 5Y Calmar ratio
↓ -0.14
Deeper research window

TLT Calmar Ratio (5Y)

CAGR per worst drawdown

Treasury Bonds's CAGR bar sits above zero, the max drawdown bar sits below. Calmar is the ratio of those two magnitudes — a shallow drawdown bar with a tall CAGR bar produces a strong Calmar.

Higher is better
0% TLT 5Y -6.3% -43.7%
CAGR / max drawdown
Formula Calmar=CAGR∣MaxDD∣\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio Treasury Bonds's Calmar ratio measures return per unit of max drawdown. It is useful when the path of losses matters as much as the final return. 1Y: 0.56; 5Y: -0.14.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Treasury Bonds Sterling Ratio

TLT 1Y Sterling ratio
N/A
Recent window
TLT 5Y Sterling ratio
↓ -0.24
Deeper research window

TLT Sterling Ratio (5Y)

Return per average drawdown

The underwater curve shows Treasury Bonds's drawdowns over the long window. Sterling averages every event deeper than the 10% threshold instead of taking only the worst one — so an asset with many mid-size drawdowns scores worse here than on Calmar.

Higher is better
0% -11% -23% -34% -46% 10% drawdown threshold
excess CAGR / average deep drawdown
Formula Sterling=CAGR−RfD‾>10%\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio Treasury Bonds's Sterling ratio compares return against deep drawdown pressure. It gives a harsher read on assets that compound well but suffer ugly declines along the way. 1Y: N/A; 5Y: -0.24.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treasury Bonds Ulcer Index

TLT 1Y Ulcer Index
3.23
Recent window
TLT 5Y Ulcer Index
30.32
Deeper research window

TLT Ulcer Index (5Y)

Drawdown pain

The underwater curve shows how deep and how long Treasury Bonds's drawdowns were. Ulcer is the root-mean-square of that curve — both depth and persistence count, so lower is better.

Lower is better
0% -11% -23% -34% -46%
root-mean-square drawdown
Formula UI=E[Dt2]\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index Treasury Bonds's Ulcer Index measures both the depth and persistence of drawdowns. Lower is better because it means fewer and shallower underwater periods. 1Y: 3.23; 5Y: 30.32.

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Treasury Bonds Treynor Ratio

TLT 1Y Treynor
↑ 0.00
Beta 0.09 vs SPY
TLT 5Y Treynor
↓ -1.50
Beta 0.06 vs SPY

TLT Treynor Ratio (5Y)

Excess return per beta vs SPY

The line's slope is Treasury Bonds's beta to SPY — steeper means more market-sensitive. Treynor divides excess return by that slope, so an asset can look efficient with a shallow beta and a small return, or inefficient with a steep beta and a big return.

Higher is better
Asset return Market return 0 0 β 0.06
excess return / market beta
Formula Treynor=E[R]−Rfβ\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market beta versus SPY. A high Treynor means the asset compensated its market exposure well over this window. A low or negative Treynor means the asset's market risk wasn't rewarded.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Treasury Bonds Tail Risk

Tail-risk stats use daily return distributions rather than simple end-point returns. They show how ugly the left tail has been, how severe the worst 5% of days were, and whether returns were skewed toward outsized upside or downside shocks.

The histogram shows the shape of Treasury Bonds's daily log returns over the 5Y window. Bars left of the 5% VaR marker are the worst 5% of days; the ES marker is the average loss inside that tail. Skew and excess kurtosis describe whether the distribution is symmetric around zero and whether extreme days are more common than a Normal distribution predicts.

TLT daily return distribution (5Y)

TLT daily return distribution (5Y)

Log-return histogram with Value-at-Risk and Expected Shortfall markers at the 5% left tail.

Days
TLT 5Y VaR 5% ES 5% -4.4% 0% +4.4% Daily log return
worst-5% daily return and the average loss inside it
Formula VaR5%=Q0.05(R),ES5%=E[R∣R≤VaR5%]\displaystyle \mathrm{VaR}_{5\%} = Q_{0.05}(R),\quad \mathrm{ES}_{5\%} = \mathbb{E}[R \mid R \le \mathrm{VaR}_{5\%}]
Metric 1Y5Y
VaR (5%) -1.0% Historical daily threshold -1.7% Historical daily threshold
Expected shortfall (5%) -1.3% Beyond the VaR threshold -2.2% Beyond the VaR threshold
Skew 0.05 -0.01
Excess kurtosis -0.06 0.46

Less negative daily VaR and Expected Shortfall values mean the left tail was less violent. Skew and excess kurtosis help distinguish between steady compounding and a path dominated by occasional extreme moves.

Full stats table

Every window-consistent research metric

Each column keeps the same horizon across returns, ratios, drawdowns, and tail-risk metrics.

Metric
1Y Recent window
5Y Deeper research window
Total return
+3.7%
-27.9%
Annualized return
+3.7%
-6.3%
Volatility
10.2% Annualized daily closes
15.9% Annualized daily closes
Sharpe ratio
0.00
-0.60
Sortino ratio
0.00
-0.83
Calmar ratio
0.56
-0.14
Sterling ratio
N/A
-0.24
Ulcer Index
3.23
30.32
Max drawdown
-6.6% 2025-04-29 to 2025-05-21
-43.7% 2021-12-03 to 2023-10-19
VaR (5%)
-1.0% Historical daily threshold
-1.7% Historical daily threshold
Expected shortfall (5%)
-1.3% Beyond the VaR threshold
-2.2% Beyond the VaR threshold
Skew
0.05
-0.01
Excess kurtosis
-0.06
0.46

What viewers usually ask next

What is Treasury Bonds's 5Y CAGR?

Treasury Bonds's 5y cagr is -6.3% on Gale using the past 5 years.

What is Treasury Bonds's 1-year volatility?

Annualized volatility is 10.2% over the past year.

What is Treasury Bonds's 5-year Sharpe ratio?

Treasury Bonds's Sharpe ratio is -0.60 using the past 5 years.

What is Treasury Bonds's 5-year Sortino ratio?

Treasury Bonds's Sortino ratio is -0.83 using the past 5 years.

What is Treasury Bonds's 5-year Calmar ratio?

Treasury Bonds's Calmar ratio is -0.14 using the past 5 years.

What is Treasury Bonds's 5-year Sterling ratio?

Treasury Bonds's Sterling ratio is -0.24 using the past 5 years.

What is Treasury Bonds's 5-year Ulcer Index?

Treasury Bonds's Ulcer Index is 30.32 using the past 5 years. Lower is better because it means shallower and less persistent drawdowns.

What is Treasury Bonds's 5-year max drawdown?

Max drawdown is -43.7% over the past 5 years from 2021-12-03 to 2023-10-19.

What is Treasury Bonds's 5-year daily Value at Risk?

Using historical daily returns, Gale estimates a 5% Value at Risk of -1.69% over the past 5 years.

What is Treasury Bonds's 5-year Expected Shortfall?

Expected Shortfall is -2.18% over the past 5 years, which captures the average outcome inside the worst 5% of daily returns.

Is Treasury Bonds still below its all-time high?

Current drawdown is -40.6% versus the all-time high of $145.97 reached on 2020-08-04.

Which benchmark should viewers open first for Treasury Bonds?

S&P 500 is the default benchmark lens on Gale because it gives the cleanest context for Treasury Bonds's recent behavior.