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Performance
^FVX Performance Chart
Treasury Yield 5 Years (^FVX) is up 15.2% since the beginning of the year. ^FVX is currently trading at $4 per share. Investors who bought $1,000 worth of ^FVX shares 5 years ago would now be looking at an investment worth $4,872.
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Returns By Period
Treasury Yield 5 Years (^FVX) has returned 15.18% so far this year and 8.23% over the past 12 months. Looking at the last ten years, ^FVX has achieved an annualized return of 14.63%, outperforming the S&P 500 Index benchmark, which averaged 13.88% per year.
Treasury Yield 5 Years
- 1D
- 1.47%
- 1M
- 0.73%
- YTD
- 15.18%
- 6M
- 15.30%
- 1Y
- 8.23%
- 3Y*
- 2.38%
- 5Y*
- 37.26%
- 10Y*
- 14.63%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
^FVX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 1970, ^FVX's average daily return is +0.02%, while the average monthly return is +0.41%. At this rate, an investment would double in approximately 14.1 years.
Historically, 48% of months were positive and 52% were negative. The best month was Feb 2021 with a return of +75.2%, while the worst month was Mar 2020 at -58.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 11 months.
On a daily basis, ^FVX closed higher 47% of trading days. The best single day was Mar 10, 2020 with a return of +43.1%, while the worst single day was Mar 16, 2020 at -31.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.02% | -7.51% | 12.33% | 1.98% | 3.13% | 3.33% | 15.18% | ||||||
| 2025 | -0.37% | -7.70% | -1.12% | -5.80% | 6.05% | -4.62% | 4.35% | -6.59% | 0.89% | -0.40% | -3.15% | 3.39% | -15.02% |
| 2024 | 1.09% | 9.79% | -0.99% | 11.92% | -4.13% | -4.39% | -7.60% | -7.13% | -3.71% | 16.16% | -2.41% | 8.01% | 14.06% |
| 2023 | -9.05% | 14.57% | -13.36% | -2.08% | 5.85% | 10.42% | 1.11% | 1.56% | 8.53% | 4.56% | -10.76% | -10.66% | -4.00% |
| 2022 | 27.79% | 6.63% | 40.73% | 20.23% | -3.47% | 6.87% | -10.29% | 21.86% | 23.05% | 5.12% | -9.79% | 4.38% | 216.71% |
| 2021 | 22.71% | 75.17% | 20.88% | -8.64% | -8.05% | 10.79% | -19.47% | 9.82% | 29.15% | 19.16% | -3.20% | 9.83% | 249.86% |
Benchmark Metrics
Treasury Yield 5 Years has an annualized alpha of 2.42%, beta of 0.37, and R2 of 0.03 versus S&P 500 Index. Calculated based on daily prices since January 02, 1970.
- This index participated in 11.48% of S&P 500 Index downside but only 1.49% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.37 may look defensive, but with R2 of 0.03 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.03 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 2.42%
- Beta
- 0.37
- R²
- 0.03
- Upside Capture
- 1.49%
- Downside Capture
- 11.48%
Return for Risk
Risk / Return Rank
^FVX ranks 25 for risk / return — below 25% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^FVX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.58 | ||
| Sortino ratioReturn per unit of downside risk | -2.00 | ||
| Omega ratioGain probability vs. loss probability | 1.09 | 1.37 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | 0.62 | 2.78 | -2.16 |
| Martin ratioReturn relative to average drawdown | 1.17 | 12.44 | -11.27 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Treasury Yield 5 Years. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Treasury Yield 5 Years was 98.80%, occurring on Aug 4, 2020. The portfolio has not yet recovered.
The current Treasury Yield 5 Years drawdown is 73.65%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2020 bear market2020 | -98.80%Aug 2020 | 38y 10mo | — | 44y 9moOct 1981 - now |
1971 bear market1971 | -42.89%Mar 1971 | 1y 2mo | 3y 1mo | 4y 3moJan 1970 - May 1974 |
1980 bear market1980 | -37.25%Jun 1980 | 3mo 24d | 10mo 6d | 1y 1moFeb 1980 - Apr 1981 |
1976 bear market1976 | -31.85%Nov 1976 | 2y 3mo | 1y 11mo | 4y 2moAug 1974 - Oct 1978 |
1981 correction1981 | -11.60%Jun 1981 | 1mo 10d | 1mo 19d | 2mo 29dMay 1981 - Aug 1981 |
Drawdown Indicators
| ^FVX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -98.80% | -56.78% | -42.02% |
Max Drawdown (1Y)Largest decline over 1 year | -13.28% | -9.10% | -4.18% |
Max Drawdown (3Y)Largest decline over 3 years | -31.36% | -18.90% | -12.46% |
Max Drawdown (5Y)Largest decline over 5 years | -31.36% | -25.43% | -5.93% |
Max Drawdown (10Y)Largest decline over 10 years | -93.69% | -33.92% | -59.77% |
Current DrawdownCurrent decline from peak | -73.65% | -1.80% | -71.85% |
Average DrawdownAverage peak-to-trough decline | -58.54% | -10.71% | -47.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.07% | 2.03% | +5.04% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^FVX
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