PortfoliosLab logo
^N225 vs. TLT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^N225 and TLT is -0.27. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

^N225 vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nikkei 225 (^N225) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

^N225:

-0.02

TLT:

-0.15

Sortino Ratio

^N225:

0.17

TLT:

-0.03

Omega Ratio

^N225:

1.03

TLT:

1.00

Calmar Ratio

^N225:

-0.03

TLT:

-0.03

Martin Ratio

^N225:

-0.08

TLT:

-0.17

Ulcer Index

^N225:

9.88%

TLT:

7.94%

Daily Std Dev

^N225:

29.95%

TLT:

14.46%

Max Drawdown

^N225:

-81.87%

TLT:

-48.35%

Current Drawdown

^N225:

-9.74%

TLT:

-43.24%

Returns By Period

In the year-to-date period, ^N225 achieves a -4.47% return, which is significantly lower than TLT's -0.93% return. Over the past 10 years, ^N225 has outperformed TLT with an annualized return of 6.97%, while TLT has yielded a comparatively lower -0.96% annualized return.


^N225

YTD

-4.47%

1M

13.47%

6M

-3.21%

1Y

-0.18%

5Y*

14.32%

10Y*

6.97%

TLT

YTD

-0.93%

1M

-2.14%

6M

-2.94%

1Y

-2.17%

5Y*

-10.17%

10Y*

-0.96%

*Annualized

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^N225 vs. TLT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^N225
The Risk-Adjusted Performance Rank of ^N225 is 2323
Overall Rank
The Sharpe Ratio Rank of ^N225 is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^N225 is 2323
Sortino Ratio Rank
The Omega Ratio Rank of ^N225 is 2323
Omega Ratio Rank
The Calmar Ratio Rank of ^N225 is 2222
Calmar Ratio Rank
The Martin Ratio Rank of ^N225 is 2222
Martin Ratio Rank

TLT
The Risk-Adjusted Performance Rank of TLT is 1212
Overall Rank
The Sharpe Ratio Rank of TLT is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of TLT is 1111
Sortino Ratio Rank
The Omega Ratio Rank of TLT is 1111
Omega Ratio Rank
The Calmar Ratio Rank of TLT is 1414
Calmar Ratio Rank
The Martin Ratio Rank of TLT is 1313
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^N225 vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nikkei 225 (^N225) 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.


The current ^N225 Sharpe Ratio is -0.02, which is higher than the TLT Sharpe Ratio of -0.15. The chart below compares the historical Sharpe Ratios of ^N225 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.


Loading data...

Drawdowns

^N225 vs. TLT - Drawdown Comparison

The maximum ^N225 drawdown since its inception was -81.87%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ^N225 and TLT. For additional features, visit the drawdowns tool.


Loading data...

Volatility

^N225 vs. TLT - Volatility Comparison

Nikkei 225 (^N225) has a higher volatility of 5.34% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 3.77%. This indicates that ^N225's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...