PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TLTW vs. GOVT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TLTWGOVT
YTD Return0.68%1.39%
1Y Return8.40%8.33%
Sharpe Ratio0.831.45
Sortino Ratio1.152.14
Omega Ratio1.151.26
Calmar Ratio0.470.44
Martin Ratio2.615.04
Ulcer Index3.14%1.61%
Daily Std Dev9.85%5.62%
Max Drawdown-18.60%-19.07%
Current Drawdown-10.60%-11.80%

Correlation

-0.50.00.51.00.9

The correlation between TLTW and GOVT is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

TLTW vs. GOVT - Performance Comparison

In the year-to-date period, TLTW achieves a 0.68% return, which is significantly lower than GOVT's 1.39% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
7.09%
4.39%
TLTW
GOVT

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TLTW vs. GOVT - Expense Ratio Comparison

TLTW has a 0.35% expense ratio, which is higher than GOVT's 0.15% expense ratio.


TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
Expense ratio chart for TLTW: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for GOVT: 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

TLTW vs. GOVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) and iShares U.S. Treasury Bond ETF (GOVT). 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.


TLTW
Sharpe ratio
The chart of Sharpe ratio for TLTW, currently valued at 0.83, compared to the broader market-2.000.002.004.006.000.83
Sortino ratio
The chart of Sortino ratio for TLTW, currently valued at 1.15, compared to the broader market0.005.0010.001.15
Omega ratio
The chart of Omega ratio for TLTW, currently valued at 1.15, compared to the broader market1.001.502.002.503.003.501.15
Calmar ratio
The chart of Calmar ratio for TLTW, currently valued at 0.47, compared to the broader market0.005.0010.0015.000.47
Martin ratio
The chart of Martin ratio for TLTW, currently valued at 2.61, compared to the broader market0.0020.0040.0060.0080.00100.002.61
GOVT
Sharpe ratio
The chart of Sharpe ratio for GOVT, currently valued at 1.45, compared to the broader market-2.000.002.004.006.001.45
Sortino ratio
The chart of Sortino ratio for GOVT, currently valued at 2.14, compared to the broader market0.005.0010.002.14
Omega ratio
The chart of Omega ratio for GOVT, currently valued at 1.26, compared to the broader market1.001.502.002.503.003.501.26
Calmar ratio
The chart of Calmar ratio for GOVT, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.23
Martin ratio
The chart of Martin ratio for GOVT, currently valued at 5.04, compared to the broader market0.0020.0040.0060.0080.00100.005.04

TLTW vs. GOVT - Sharpe Ratio Comparison

The current TLTW Sharpe Ratio is 0.83, which is lower than the GOVT Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of TLTW and GOVT, 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-1.50-1.00-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctober
0.83
1.45
TLTW
GOVT

Dividends

TLTW vs. GOVT - Dividend Comparison

TLTW's dividend yield for the trailing twelve months is around 15.56%, more than GOVT's 3.08% yield.


TTM20232022202120202019201820172016201520142013
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
15.56%19.59%8.71%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GOVT
iShares U.S. Treasury Bond ETF
3.08%2.65%1.77%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%0.93%

Drawdowns

TLTW vs. GOVT - Drawdown Comparison

The maximum TLTW drawdown since its inception was -18.60%, roughly equal to the maximum GOVT drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for TLTW and GOVT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-10.60%
-3.27%
TLTW
GOVT

Volatility

TLTW vs. GOVT - Volatility Comparison

iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) has a higher volatility of 3.26% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.23%. This indicates that TLTW's price experiences larger fluctuations and is considered to be riskier than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JuneJulyAugustSeptemberOctober
3.26%
1.23%
TLTW
GOVT