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TLTW vs. SWPPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TLTWSWPPX
YTD Return0.68%23.21%
1Y Return8.40%40.57%
Sharpe Ratio0.833.41
Sortino Ratio1.154.49
Omega Ratio1.151.64
Calmar Ratio0.474.16
Martin Ratio2.6122.41
Ulcer Index3.14%1.85%
Daily Std Dev9.85%12.18%
Max Drawdown-18.60%-55.06%
Current Drawdown-10.60%-0.86%

Correlation

-0.50.00.51.00.2

The correlation between TLTW and SWPPX is 0.17, 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

TLTW vs. SWPPX - Performance Comparison

In the year-to-date period, TLTW achieves a 0.68% return, which is significantly lower than SWPPX's 23.21% 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%
16.60%
TLTW
SWPPX

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TLTW vs. SWPPX - Expense Ratio Comparison

TLTW has a 0.35% expense ratio, which is higher than SWPPX's 0.02% 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 SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

TLTW vs. SWPPX - 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 Schwab S&P 500 Index Fund (SWPPX). 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 market0.0020.0040.0060.0080.00100.00120.002.61
SWPPX
Sharpe ratio
The chart of Sharpe ratio for SWPPX, currently valued at 3.41, compared to the broader market-2.000.002.004.006.003.41
Sortino ratio
The chart of Sortino ratio for SWPPX, currently valued at 4.49, compared to the broader market0.005.0010.004.49
Omega ratio
The chart of Omega ratio for SWPPX, currently valued at 1.64, compared to the broader market1.001.502.002.503.003.501.64
Calmar ratio
The chart of Calmar ratio for SWPPX, currently valued at 4.91, compared to the broader market0.005.0010.0015.004.91
Martin ratio
The chart of Martin ratio for SWPPX, currently valued at 22.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.41

TLTW vs. SWPPX - Sharpe Ratio Comparison

The current TLTW Sharpe Ratio is 0.83, which is lower than the SWPPX Sharpe Ratio of 3.41. The chart below compares the historical Sharpe Ratios of TLTW and SWPPX, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctober
0.83
3.41
TLTW
SWPPX

Dividends

TLTW vs. SWPPX - Dividend Comparison

TLTW's dividend yield for the trailing twelve months is around 15.56%, more than SWPPX's 1.16% 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%
SWPPX
Schwab S&P 500 Index Fund
1.16%1.43%1.67%1.27%1.81%1.95%2.66%1.78%2.55%3.17%1.80%1.67%

Drawdowns

TLTW vs. SWPPX - Drawdown Comparison

The maximum TLTW drawdown since its inception was -18.60%, smaller than the maximum SWPPX drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for TLTW and SWPPX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-10.60%
-0.86%
TLTW
SWPPX

Volatility

TLTW vs. SWPPX - Volatility Comparison

iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) has a higher volatility of 3.26% compared to Schwab S&P 500 Index Fund (SWPPX) at 2.53%. This indicates that TLTW's price experiences larger fluctuations and is considered to be riskier than SWPPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
3.26%
2.53%
TLTW
SWPPX