CMBS vs. TLT
Compare and contrast key facts about iShares CMBS ETF (CMBS) and iShares 20+ Year Treasury Bond ETF (TLT).
CMBS and TLT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CMBS is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. CMBS (ERISA Only) Index. It was launched on Feb 14, 2012. TLT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. 20+ Year Treasury Bond Index. It was launched on Jul 26, 2002. Both CMBS and TLT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CMBS or TLT.
Key characteristics
| CMBS | TLT | |
|---|---|---|
| YTD Return | 4.25% | -3.80% |
| 1Y Return | 9.71% | 8.80% |
| 3Y Return (Ann) | -1.07% | -11.89% |
| 5Y Return (Ann) | 0.63% | -5.28% |
| 10Y Return (Ann) | 1.83% | -0.12% |
| Sharpe Ratio | 1.88 | 0.63 |
| Sortino Ratio | 2.88 | 0.98 |
| Omega Ratio | 1.35 | 1.11 |
| Calmar Ratio | 0.71 | 0.21 |
| Martin Ratio | 9.27 | 1.56 |
| Ulcer Index | 1.03% | 6.03% |
| Daily Std Dev | 5.07% | 14.94% |
| Max Drawdown | -15.87% | -48.35% |
| Current Drawdown | -4.90% | -40.06% |
Correlation
The correlation between CMBS and TLT is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CMBS vs. TLT - Performance Comparison
In the year-to-date period, CMBS achieves a 4.25% return, which is significantly higher than TLT's -3.80% return. Over the past 10 years, CMBS has outperformed TLT with an annualized return of 1.83%, while TLT has yielded a comparatively lower -0.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CMBS vs. TLT - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is higher than TLT's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
CMBS vs. TLT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) 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.
Dividends
CMBS vs. TLT - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.22%, less than TLT's 4.00% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.22% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.30% | 2.31% | 2.15% | 2.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.00% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
Drawdowns
CMBS vs. TLT - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for CMBS and TLT. For additional features, visit the drawdowns tool.
Volatility
CMBS vs. TLT - Volatility Comparison
The current volatility for iShares CMBS ETF (CMBS) is 1.54%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 5.02%. This indicates that CMBS 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.