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MT vs. TLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MT and TLT is -0.24. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.2

Performance

MT vs. TLT - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.12%
-4.15%
MT
TLT

Key characteristics

Sharpe Ratio

MT:

-0.57

TLT:

-0.54

Sortino Ratio

MT:

-0.65

TLT:

-0.66

Omega Ratio

MT:

0.92

TLT:

0.93

Calmar Ratio

MT:

-0.19

TLT:

-0.17

Martin Ratio

MT:

-1.19

TLT:

-1.13

Ulcer Index

MT:

13.90%

TLT:

6.75%

Daily Std Dev

MT:

28.69%

TLT:

14.28%

Max Drawdown

MT:

-97.20%

TLT:

-48.35%

Current Drawdown

MT:

-86.33%

TLT:

-42.06%

Returns By Period

In the year-to-date period, MT achieves a -16.76% return, which is significantly lower than TLT's -7.02% return. Over the past 10 years, MT has outperformed TLT with an annualized return of -0.39%, while TLT has yielded a comparatively lower -0.87% annualized return.


MT

YTD

-16.76%

1M

-7.58%

6M

-1.04%

1Y

-17.54%

5Y*

6.68%

10Y*

-0.39%

TLT

YTD

-7.02%

1M

-1.53%

6M

-3.76%

1Y

-6.64%

5Y*

-5.98%

10Y*

-0.87%

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Risk-Adjusted Performance

MT vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ArcelorMittal (MT) 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.


Sharpe ratio
The chart of Sharpe ratio for MT, currently valued at -0.57, compared to the broader market-4.00-2.000.002.00-0.57-0.54
The chart of Sortino ratio for MT, currently valued at -0.65, compared to the broader market-4.00-2.000.002.004.00-0.65-0.66
The chart of Omega ratio for MT, currently valued at 0.92, compared to the broader market0.501.001.502.000.920.93
The chart of Calmar ratio for MT, currently valued at -0.19, compared to the broader market0.002.004.006.00-0.19-0.17
The chart of Martin ratio for MT, currently valued at -1.19, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.19-1.13
MT
TLT

The current MT Sharpe Ratio is -0.57, which is comparable to the TLT Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of MT 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.57
-0.54
MT
TLT

Dividends

MT vs. TLT - Dividend Comparison

MT's dividend yield for the trailing twelve months is around 2.16%, less than TLT's 4.25% yield.


TTM20232022202120202019201820172016201520142013
MT
ArcelorMittal
2.16%1.55%1.45%0.94%0.00%1.14%0.48%0.00%0.00%5.97%2.28%1.41%
TLT
iShares 20+ Year Treasury Bond ETF
4.25%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

MT vs. TLT - Drawdown Comparison

The maximum MT drawdown since its inception was -97.20%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for MT and TLT. For additional features, visit the drawdowns tool.


-90.00%-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-86.33%
-42.06%
MT
TLT

Volatility

MT vs. TLT - Volatility Comparison

ArcelorMittal (MT) has a higher volatility of 8.56% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 4.47%. This indicates that MT'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.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
8.56%
4.47%
MT
TLT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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