Performance

IEF-7.75%TLT-13.95%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IEF	-0.06%	-6.95%	-7.75%	-4.86%	-9.26%	-2.46
TLT	+0.14%	-10.40%	-13.95%	-11.70%	-16.24%	-2.00

Summary

IEF vs TLT

Over the past year, IEF returned -7.75% against -13.95% for TLT. Over five years, IEF averaged -4.86% a year, compared with -11.70% for TLT. TLT had the higher Sharpe ratio over the past year (-2.00 vs -2.46), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.26% for IEF and -16.24% for TLT.

Current Drawdown

IEF-8.77%TLT-15.29%

Rolling Volatility

IEF+0.36%TLT+0.64%

METRICS

Correlation Matrix

	IEF	TLT
IEF	1.00	0.91
TLT	0.91	1.00

Metrics

Risk Indicators

IEFTLT

Alpha

-14.34%

-22.45%

Beta

0.13x

0.23x

Sharpe

-2.46

-2.00

Sortino

-2.98

-2.51

Omega

0.67

0.72

Calmar

-0.84

-0.86

Martin

-3.27

-2.60

Comparisons

More IEF comparisons

IEF vs SGOV
IEF vs BND
IEF vs AGG
IEF vs TIP
IEF vs SHY

More TLT comparisons

TLT vs SGOV
TLT vs BND
TLT vs HYG
TLT vs BLV
TLT vs LQD

IEF vs TLT: returns, Sharpe ratio and drawdown

IEF vs TLT

More IEF comparisons

More TLT comparisons