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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Treasury Yield 5 Years, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Treasury Yield 5 Years (^FVX) has returned 5.99% so far this year and -0.95% over the past 12 months. Over the last decade, ^FVX has posted an annualized return of 12.25%, slightly higher than the S&P 500 Index benchmark’s 12.16%.
Treasury Yield 5 Years
- 1D
- -0.85%
- 1M
- 12.33%
- YTD
- 5.99%
- 6M
- 5.71%
- 1Y
- -0.95%
- 3Y*
- 2.99%
- 5Y*
- 34.18%
- 10Y*
- 12.25%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Nov 2, 1993, ^FVX's average daily return is +0.04%, while the average monthly return is +0.70%. At this rate, your investment would double in approximately 8.3 years.
Historically, 49% of months were positive and 51% 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 6 consecutive months, and the longest losing streak was 11 months.
On a daily basis, ^FVX closed higher 49% 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% | 5.99% | |||||||||
| 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 3.53%, beta of 0.68, and R² of 0.07 versus S&P 500 Index. Calculated based on daily prices since November 03, 1993.
- This index participated in 58.95% of S&P 500 Index downside but only 27.95% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.68 may look defensive, but with R² of 0.07 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 0.07 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
- 3.53%
- Beta
- 0.68
- R²
- 0.07
- Upside Capture
- 27.95%
- Downside Capture
- 58.95%
Return for Risk
Risk / Return Rank
^FVX ranks 13 for risk / return — in the bottom 13% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and compare them to a chosen benchmark (S&P 500 Index).
| ^FVX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.04 | 0.90 | -0.94 |
Sortino ratioReturn per unit of downside risk | 0.09 | 1.39 | -1.30 |
Omega ratioGain probability vs. loss probability | 1.01 | 1.21 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | -0.06 | 1.40 | -1.46 |
Martin ratioReturn relative to average drawdown | -0.10 | 6.61 | -6.70 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^FVX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 97.53%, occurring on Aug 4, 2020. The portfolio has not yet recovered.
The current Treasury Yield 5 Years drawdown is 50.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -97.53% | Jan 10, 1995 | 6418 | Aug 4, 2020 | — | — | — |
| -8.59% | May 10, 1994 | 21 | Jun 8, 1994 | 70 | Sep 16, 1994 | 91 |
| -6.53% | Jan 4, 1994 | 7 | Jan 12, 1994 | 16 | Feb 4, 1994 | 23 |
| -4.19% | Apr 5, 1994 | 3 | Apr 7, 1994 | 7 | Apr 18, 1994 | 10 |
| -3.62% | Apr 19, 1994 | 6 | Apr 26, 1994 | 3 | May 2, 1994 | 9 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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