EUR=X vs. TLT
Compare and contrast key facts about USD/EUR (EUR=X) and iShares 20+ Year Treasury Bond ETF (TLT).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EUR=X or TLT.
Key characteristics
| EUR=X | TLT | |
|---|---|---|
| YTD Return | 3.98% | -5.24% |
| 1Y Return | 0.79% | 7.41% |
| 3Y Return (Ann) | 2.30% | -12.32% |
| 5Y Return (Ann) | 0.70% | -5.76% |
| 10Y Return (Ann) | 1.58% | -0.27% |
| Sharpe Ratio | 0.51 | 0.48 |
| Sortino Ratio | 0.83 | 0.77 |
| Omega Ratio | 1.10 | 1.09 |
| Calmar Ratio | 0.10 | 0.16 |
| Martin Ratio | 1.12 | 1.18 |
| Ulcer Index | 2.39% | 6.06% |
| Daily Std Dev | 5.60% | 14.98% |
| Max Drawdown | -48.28% | -48.35% |
| Current Drawdown | -22.07% | -40.96% |
Correlation
The correlation between EUR=X and TLT is 0.02, 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.
Performance
EUR=X vs. TLT - Performance Comparison
In the year-to-date period, EUR=X achieves a 3.98% return, which is significantly higher than TLT's -5.24% return. Over the past 10 years, EUR=X has outperformed TLT with an annualized return of 1.58%, while TLT has yielded a comparatively lower -0.27% 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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Risk-Adjusted Performance
EUR=X vs. TLT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for USD/EUR (EUR=X) 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.
Drawdowns
EUR=X vs. TLT - Drawdown Comparison
The maximum EUR=X drawdown since its inception was -48.28%, roughly equal to the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for EUR=X and TLT. For additional features, visit the drawdowns tool.
Volatility
EUR=X vs. TLT - Volatility Comparison
The current volatility for USD/EUR (EUR=X) is 0.14%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.77%. This indicates that EUR=X 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.