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

Key characteristics


XBILTLT
YTD Return4.44%-3.80%
1Y Return5.28%8.80%
Sharpe Ratio13.600.63
Sortino Ratio57.510.98
Omega Ratio14.751.11
Calmar Ratio75.350.21
Martin Ratio720.251.56
Ulcer Index0.01%6.03%
Daily Std Dev0.39%14.94%
Max Drawdown-0.08%-48.35%
Current Drawdown-0.03%-40.06%

Correlation

-0.50.00.51.00.2

The correlation between XBIL and TLT is 0.20, 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

XBIL vs. TLT - Performance Comparison

In the year-to-date period, XBIL achieves a 4.44% return, which is significantly higher than TLT's -3.80% 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
2.65%
3.32%
XBIL
TLT

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XBIL vs. TLT - Expense Ratio Comparison

Both XBIL 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%.


XBIL
US Treasury 6 Month Bill ETF
Expense ratio chart for XBIL: 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

XBIL vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 6 Month Bill ETF (XBIL) 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.


XBIL
Sharpe ratio
The chart of Sharpe ratio for XBIL, currently valued at 13.60, compared to the broader market-2.000.002.004.006.0013.60
Sortino ratio
The chart of Sortino ratio for XBIL, currently valued at 57.51, compared to the broader market0.005.0010.0057.51
Omega ratio
The chart of Omega ratio for XBIL, currently valued at 14.75, compared to the broader market1.001.502.002.503.0014.75
Calmar ratio
The chart of Calmar ratio for XBIL, currently valued at 75.34, compared to the broader market0.005.0010.0015.0075.35
Martin ratio
The chart of Martin ratio for XBIL, currently valued at 720.25, compared to the broader market0.0020.0040.0060.0080.00100.00120.00720.25
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at 0.63, compared to the broader market-2.000.002.004.006.000.63
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at 0.98, compared to the broader market0.005.0010.000.98
Omega ratio
The chart of Omega ratio for TLT, currently valued at 1.11, compared to the broader market1.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.54
Martin ratio
The chart of Martin ratio for TLT, currently valued at 1.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.56

XBIL vs. TLT - Sharpe Ratio Comparison

The current XBIL Sharpe Ratio is 13.60, which is higher than the TLT Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of XBIL 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 Ratio0.005.0010.0015.00JuneJulyAugustSeptemberOctoberNovember
13.60
0.63
XBIL
TLT

Dividends

XBIL vs. TLT - Dividend Comparison

XBIL's dividend yield for the trailing twelve months is around 5.06%, more than TLT's 4.00% yield.


TTM20232022202120202019201820172016201520142013
XBIL
US Treasury 6 Month Bill ETF
5.06%4.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
4.00%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

XBIL vs. TLT - Drawdown Comparison

The maximum XBIL drawdown since its inception was -0.08%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for XBIL and TLT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.03%
-9.99%
XBIL
TLT

Volatility

XBIL vs. TLT - Volatility Comparison

The current volatility for US Treasury 6 Month Bill ETF (XBIL) is 0.12%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 5.02%. This indicates that XBIL 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%JuneJulyAugustSeptemberOctoberNovember
0.12%
5.02%
XBIL
TLT