Claros Mortgage Trust Inc

10-Year Study

CMTG.US · Real Estate · US · Common Stock

Executive Summary: Claros Mortgage Trust Inc has compounded at -29.9% annually over the last 10 years, with a maximum drawdown of 85.1% and an annualized volatility of 128.1%.

1Y CAGR
+3.4%
3Y CAGR
-34.3%
5Y CAGR
-29.9%
10Y CAGR
-29.9%

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 →
85.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.35
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
60.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +2.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · -64.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
20%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-10.5-12.8-0.411.3————————-13.4%
2025-27.0-29.460.1-34.04.510.90.029.8-10.3-3.64.1-8.1-32.3%
2024-13.9-17.53.6-10.9-9.34.918.6-15.9-5.1-16.07.9-33.4-64.4%
202313.8-16.7-13.82.7-12.812.38.6-7.5-0.5-5.917.113.62.8%
20227.7-2.82.00.816.0-14.714.4-10.8-29.336.38.0-12.7-1.4%
2021———————————-1.7-1.7%

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 128.1%. The dominant macroeconomic risk driver is SHV.US, accounting for 79.2% of variance. Idiosyncratic stock-specific factors contribute 5.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-019834.694815462364
2022-01-0110596.750382337272
2022-02-0110296.727744463742
2022-03-0110500.695659380708
2022-04-0110580.338860716229
2022-05-0112271.232148508047
2022-06-0110471.651589862879
2022-07-0111978.3170985335
2022-08-0110684.210806336176
2022-09-017550.53712307772
2022-10-0110290.341780934474
2022-11-0111113.569812811536
2022-12-019699.295453324354
2023-01-0111037.809744896418
2023-02-019191.581378734172
2023-03-017927.709124381889
2023-04-018138.6609843930555
2023-05-017097.512134417263
2023-06-017970.326925813492
2023-07-018659.121508130489
2023-08-018005.469208333106
2023-09-017966.857433776352
2023-10-017499.4891304111625
2023-11-018779.363011752885
2023-12-019972.564036294632
2024-01-018589.721176483019
2024-02-017082.496652464729
2024-03-017335.079419520262
2024-04-016538.441334823741
2024-05-015929.689732244387
2024-06-016219.346232300251
2024-07-017374.810723473017
2024-08-016203.8361791286
2024-09-015885.273115340828
2024-10-014942.372336743352
2024-11-015335.247723604828
2024-12-013551.593482240734
2025-01-012592.9775158182233
2025-02-011830.7992428264506
2025-03-012930.8504009736157
2025-04-011932.9469333324741
2025-05-012019.3794360134623
2025-06-012239.389630175379
2025-07-012239.389630175379
2025-08-012907.277900242437
2025-09-012608.692516305676
2025-10-012514.402513380962
2025-11-012616.5500165494022
2025-12-012404.397322631212
2026-01-012152.9571274943905
2026-02-011877.9443491978543
2026-03-011870.0868414606246
2026-04-012082.2395503658213
Annual Return Matrix
YearAnnual Return
2022-0.013767520464908811
20230.028174065248895763
2024-0.6438635571238357
2025-0.3230088593601499
2026-0.13398691191056655
Total Factor Risk
1.2809392979178118
VTI.US Exposure
-0.014079357981885985
VEA.US Exposure
-0.0060475703484891025
VWO.US Exposure
-0.002395804282451909
QQQ.US Exposure
0.014081060185354625
VTV.US Exposure
0.017799059330185503
IJR.US Exposure
0.031061470315270002
QUAL.US Exposure
-0.013333977073052313
SHV.US Exposure
0.791956600957738
TLT.US Exposure
-0.009153902221017819
LQD.US Exposure
0.09763695230018014
HYG.US Exposure
-0.003167108403442804
GLD.US Exposure
-0.0002633565740173531
USO.US Exposure
0.000025749142767978155
VNQ.US Exposure
0.01760136358005423
BTC-USD.CC Exposure
-0.00038661794315698536
CPER.US Exposure
0.007218014458738074
VIX.INDX Exposure
0.0016198539434242685
UUP.US Exposure
-0.0005701696751249626
TIP.US Exposure
0.013027172282823773
Idiosyncratic Exposure
0.05737056800610262
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
128.1%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$328.1M
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
$0
Avg Yield on Cost
0.00%

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 →
+8.1%
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 →
-13.1%
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 →
32.9% 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 →
1.17
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Claros Mortgage Trust Inc a high-risk investment?

Claros Mortgage Trust Inc (CMTG.US) has an annualized volatility of 128.1% and experienced a maximum drawdown of 85.1% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, CMTG.US has generated a Compound Annual Growth Rate (CAGR) of -29.9%. It has had a positive return in 20% 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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