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USTY.L vs. TLTW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


USTY.LTLTW
YTD Return-1.17%1.54%
1Y Return-0.18%5.77%
Sharpe Ratio-0.100.53
Sortino Ratio-0.090.75
Omega Ratio0.991.10
Calmar Ratio-0.030.31
Martin Ratio-0.321.62
Ulcer Index1.97%3.33%
Daily Std Dev6.52%10.24%
Max Drawdown-23.03%-18.59%
Current Drawdown-19.91%-9.84%

Correlation

-0.50.00.51.00.6

The correlation between USTY.L and TLTW 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.

Performance

USTY.L vs. TLTW - Performance Comparison

In the year-to-date period, USTY.L achieves a -1.17% return, which is significantly lower than TLTW's 1.54% 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%JuneJulyAugustSeptemberOctoberNovember
1.84%
5.93%
USTY.L
TLTW

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


USTY.L vs. TLTW - Expense Ratio Comparison

USTY.L has a 0.15% expense ratio, which is lower than TLTW's 0.35% 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 USTY.L: 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

USTY.L vs. TLTW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg US Treasury Bond UCITS ETF (USTY.L) and iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW). 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.


USTY.L
Sharpe ratio
The chart of Sharpe ratio for USTY.L, currently valued at 0.74, compared to the broader market-2.000.002.004.006.000.74
Sortino ratio
The chart of Sortino ratio for USTY.L, currently valued at 1.10, compared to the broader market-2.000.002.004.006.008.0010.0012.001.10
Omega ratio
The chart of Omega ratio for USTY.L, currently valued at 1.13, compared to the broader market1.001.502.002.503.001.13
Calmar ratio
The chart of Calmar ratio for USTY.L, currently valued at 1.06, compared to the broader market0.005.0010.0015.001.06
Martin ratio
The chart of Martin ratio for USTY.L, currently valued at 2.31, compared to the broader market0.0020.0040.0060.0080.00100.002.31
TLTW
Sharpe ratio
The chart of Sharpe ratio for TLTW, currently valued at 0.49, compared to the broader market-2.000.002.004.006.000.49
Sortino ratio
The chart of Sortino ratio for TLTW, currently valued at 0.71, compared to the broader market-2.000.002.004.006.008.0010.0012.000.71
Omega ratio
The chart of Omega ratio for TLTW, currently valued at 1.09, compared to the broader market1.001.502.002.503.001.09
Calmar ratio
The chart of Calmar ratio for TLTW, currently valued at 0.29, compared to the broader market0.005.0010.0015.000.29
Martin ratio
The chart of Martin ratio for TLTW, currently valued at 1.51, compared to the broader market0.0020.0040.0060.0080.00100.001.51

USTY.L vs. TLTW - Sharpe Ratio Comparison

The current USTY.L Sharpe Ratio is -0.10, which is lower than the TLTW Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of USTY.L and TLTW, 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-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.74
0.49
USTY.L
TLTW

Dividends

USTY.L vs. TLTW - Dividend Comparison

USTY.L's dividend yield for the trailing twelve months is around 1.84%, less than TLTW's 14.99% yield.


TTM202320222021202020192018
USTY.L
SPDR Bloomberg US Treasury Bond UCITS ETF
1.84%2.81%1.56%1.31%2.49%2.78%1.22%
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
14.99%19.59%8.71%0.00%0.00%0.00%0.00%

Drawdowns

USTY.L vs. TLTW - Drawdown Comparison

The maximum USTY.L drawdown since its inception was -23.03%, which is greater than TLTW's maximum drawdown of -18.59%. Use the drawdown chart below to compare losses from any high point for USTY.L and TLTW. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.34%
-9.84%
USTY.L
TLTW

Volatility

USTY.L vs. TLTW - Volatility Comparison

The current volatility for SPDR Bloomberg US Treasury Bond UCITS ETF (USTY.L) is 1.83%, while iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) has a volatility of 4.51%. This indicates that USTY.L experiences smaller price fluctuations and is considered to be less risky than TLTW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.83%
4.51%
USTY.L
TLTW