Blackstone Mortgage Trust Inc

10-Year Study

BXMT.US · Real Estate · US · Common Stock

Executive Summary: Blackstone Mortgage Trust Inc has compounded at 5.7% annually over the last 10 years, with a maximum drawdown of 49.8% and an annualized volatility of 26.9%.

1Y CAGR
+13.9%
3Y CAGR
+14.1%
5Y CAGR
+0.2%
10Y CAGR
+5.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
49.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.22
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.22
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
26.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +25.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -24.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.6-0.2-0.33.3————————3.4%
20253.415.4-1.4-4.7-0.84.4-4.05.8-3.50.45.40.621.1%
2024-7.23.20.9-11.4-1.13.52.53.45.5-4.25.5-6.9-7.9%
202312.6-11.2-12.72.2-0.317.910.5-4.21.6-8.311.2-1.413.5%
20222.61.12.0-5.53.6-9.111.9-6.4-17.56.91.2-13.7-24.0%
2021-3.29.58.34.8-1.41.51.71.2-5.78.5-8.84.120.3%
20202.6-5.6-46.826.40.34.8-0.1-1.2-5.0-1.219.78.3-17.8%
20198.3-0.02.03.0-0.92.7-0.2-2.04.81.30.93.325.2%
2018-3.70.23.2-1.82.41.55.42.80.20.74.0-7.56.9%
20171.42.11.4-0.30.63.8-2.31.60.92.62.80.215.8%
2016———2.32.60.54.82.80.82.5-0.42.019.4%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 26.9%. The dominant macroeconomic risk driver is QQQ.US, accounting for 31.2% of variance. Idiosyncratic stock-specific factors contribute 27.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110230.813777128202
2016-05-0110495.178740497662
2016-06-0110546.103006737814
2016-07-0111056.816406070466
2016-08-0111365.487319490021
2016-09-0111458.143746150807
2016-10-0111749.901184862441
2016-11-0111703.205287299268
2016-12-0111940.177775326549
2017-01-0112106.922574892682
2017-02-0112365.036906304867
2017-03-0112544.28296978555
2017-04-0112511.834836242635
2017-05-0112580.77562988905
2017-06-0113055.731737583765
2017-07-0112754.138745645241
2017-08-0112952.504389230528
2017-09-0113073.196738640856
2017-10-0113414.59154877791
2017-11-0113789.629466214416
2017-12-0113822.81296822289
2018-01-0113315.960253334435
2018-02-0113337.377859893924
2018-03-0113765.27038579268
2018-04-0113515.61279173446
2018-05-0113839.818363989007
2018-06-0114043.607350007815
2018-07-0114807.6551857265
2018-08-0115218.72615797553
2018-09-0115252.185423158593
2018-10-0115356.883508442952
2018-11-0115975.879914329575
2018-12-0114782.928421071983
2019-01-0116003.180468613557
2019-02-0115998.584415703792
2019-03-0116324.996093355026
2019-04-0116811.53425438234
2019-05-0116655.63613968324
2019-06-0117103.47553521036
2019-07-0117074.61232293706
2019-08-0116728.529538832052
2019-09-0117531.276140050923
2019-10-0117751.335153370284
2019-11-0117912.748531561097
2019-12-0118501.59483035969
2020-01-0118988.68451773617
2020-02-0117924.97403230106
2020-03-019539.015893150961
2020-04-0112054.343729605014
2020-05-0112085.137284100414
2020-06-0112665.067240254071
2020-07-0112654.588239619816
2020-08-0112496.851703756814
2020-09-0111868.111665701495
2020-10-0111722.232946345679
2020-11-0114034.231402071899
2020-12-0115203.375341256928
2021-01-0114722.903970070505
2021-02-0116125.61931812959
2021-03-0117458.84234619309
2021-04-0118297.98968645727
2021-05-0118038.956144463136
2021-06-0118300.93116031952
2021-07-0118605.09794188751
2021-08-0118828.925718592873
2021-09-0117753.54125876697
2021-10-0119264.263850205443
2021-11-0117566.20614216511
2021-12-0118285.396501484523
2022-01-0118763.110240925093
2022-02-0118978.113596043717
2022-03-0119348.739302686852
2022-04-0118283.55808032062
2022-05-0118934.81877763377
2022-06-0117210.471646949598
2022-07-0119262.97695539071
2022-08-0118025.25990679205
2022-09-0114875.217163499987
2022-10-0115907.766410206916
2022-11-0116105.304764268449
2022-12-0113891.386077636525
2023-01-0115643.401446837457
2023-02-0113891.386077636525
2023-03-0112130.45436579066
2023-04-0112395.462776567483
2023-05-0112361.451985035252
2023-06-0114576.933329656491
2023-07-0116103.92594839552
2023-08-0115424.445486216438
2023-09-0115677.320317311493
2023-10-0114379.946501944132
2023-11-0115987.278125545781
2023-12-0115760.87655921095
2024-01-0114627.214148489278
2024-02-0115093.989282004613
2024-03-0115225.160632049197
2024-04-0113489.231448032431
2024-05-0113336.366728253775
2024-06-0113799.281177324914
2024-07-0114139.84869793821
2024-08-0114623.077700870492
2024-09-0115429.96074970815
2024-10-0114780.630394617103
2024-11-0115600.382391602092
2024-12-0114516.449273364035
2025-01-0115008.410776824863
2025-02-0117326.384101333773
2025-03-0117080.21950748697
2025-04-0116268.92424785594
2025-05-0116132.329555377843
2025-06-0116840.94899300481
2025-07-0116167.259557492027
2025-08-0117112.11611468071
2025-09-0116520.144499903483
2025-10-0116582.92658265082
2025-11-0117471.34361010764
2025-12-0117584.498432745957
2026-01-0117694.803702580222
2026-02-0117658.035279302134
2026-03-0117602.882644385
2026-04-0118181.9853110149
Annual Return Matrix
YearAnnual Return
20170.15767229167949748
20180.06945876031573994
20190.25155140465856674
2020-0.1782667666946547
20210.2027195337251202
2022-0.24030162121402532
20230.13457911767235964
2024-0.07895673068511211
20250.2113498350461933
20260.03397804495556733
Total Factor Risk
0.26889252844422534
VTI.US Exposure
-0.16666919922625292
VEA.US Exposure
0.06430396561917895
VWO.US Exposure
0.019182460030910606
QQQ.US Exposure
0.31221570221475137
VTV.US Exposure
0.12542575806858816
IJR.US Exposure
0.0949910833564885
QUAL.US Exposure
-0.1799467250588755
SHV.US Exposure
0.026598717222845916
TLT.US Exposure
-0.035755133959164735
LQD.US Exposure
0.002846948976133248
HYG.US Exposure
0.08077654346275046
GLD.US Exposure
-0.009166981158213313
USO.US Exposure
0.00005199133232930129
VNQ.US Exposure
0.28390809612065837
BTC-USD.CC Exposure
0.005637101108001365
CPER.US Exposure
0.02250450112736792
VIX.INDX Exposure
0.02527268530494586
UUP.US Exposure
-0.00704132771650447
TIP.US Exposure
0.06412830467486505
Idiosyncratic Exposure
0.270735508499196
Value Score
38.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
26.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →29.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →10.02%
Market Cap$3.2B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$432
Avg Yield on Cost
4.32%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$432.034.32%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.8% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.04
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Blackstone Mortgage Trust Inc a high-risk investment?

Blackstone Mortgage Trust Inc (BXMT.US) has an annualized volatility of 26.9% and experienced a maximum drawdown of 49.8% over the last 10 years. Its primary macro risk driver is QQQ.US.

What is the 10-year return of BXMT.US?

Over the past 10 years, BXMT.US has generated a Compound Annual Growth Rate (CAGR) of 5.7%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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