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

Correlation

The correlation between SHY and TLT is 0.62, 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.


-0.50.00.51.00.6

Performance

SHY vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 1-3 Year Treasury Bond ETF (SHY) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
50.71%
133.03%
SHY
TLT

Key characteristics

Sharpe Ratio

SHY:

2.29

TLT:

-0.37

Sortino Ratio

SHY:

3.52

TLT:

-0.43

Omega Ratio

SHY:

1.46

TLT:

0.95

Calmar Ratio

SHY:

3.78

TLT:

-0.12

Martin Ratio

SHY:

9.99

TLT:

-0.81

Ulcer Index

SHY:

0.40%

TLT:

6.60%

Daily Std Dev

SHY:

1.75%

TLT:

14.21%

Max Drawdown

SHY:

-5.71%

TLT:

-48.35%

Current Drawdown

SHY:

-0.44%

TLT:

-40.91%

Returns By Period

In the year-to-date period, SHY achieves a 3.71% return, which is significantly higher than TLT's -5.17% return. Over the past 10 years, SHY has outperformed TLT with an annualized return of 1.25%, while TLT has yielded a comparatively lower -0.81% annualized return.


SHY

YTD

3.71%

1M

0.42%

6M

2.74%

1Y

4.13%

5Y (annualized)

1.25%

10Y (annualized)

1.25%

TLT

YTD

-5.17%

1M

0.73%

6M

-1.61%

1Y

-5.42%

5Y (annualized)

-5.58%

10Y (annualized)

-0.81%

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SHY vs. TLT - Expense Ratio Comparison

Both SHY and TLT have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SHY
iShares 1-3 Year Treasury Bond ETF
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

SHY vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 1-3 Year Treasury Bond ETF (SHY) 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 SHY, currently valued at 2.29, compared to the broader market0.002.004.002.29-0.37
The chart of Sortino ratio for SHY, currently valued at 3.52, compared to the broader market-2.000.002.004.006.008.0010.003.52-0.43
The chart of Omega ratio for SHY, currently valued at 1.46, compared to the broader market0.501.001.502.002.503.001.460.95
The chart of Calmar ratio for SHY, currently valued at 3.78, compared to the broader market0.005.0010.0015.003.78-0.12
The chart of Martin ratio for SHY, currently valued at 9.99, compared to the broader market0.0020.0040.0060.0080.00100.009.99-0.81
SHY
TLT

The current SHY Sharpe Ratio is 2.29, which is higher than the TLT Sharpe Ratio of -0.37. The chart below compares the historical Sharpe Ratios of SHY 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.29
-0.37
SHY
TLT

Dividends

SHY vs. TLT - Dividend Comparison

SHY's dividend yield for the trailing twelve months is around 3.57%, less than TLT's 3.76% yield.


TTM20232022202120202019201820172016201520142013
SHY
iShares 1-3 Year Treasury Bond ETF
3.57%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.72%0.54%0.36%0.26%
TLT
iShares 20+ Year Treasury Bond ETF
3.76%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

SHY vs. TLT - Drawdown Comparison

The maximum SHY drawdown since its inception was -5.71%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for SHY and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.44%
-40.91%
SHY
TLT

Volatility

SHY vs. TLT - Volatility Comparison

The current volatility for iShares 1-3 Year Treasury Bond ETF (SHY) is 0.31%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.01%. This indicates that SHY 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.


0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
0.31%
4.01%
SHY
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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