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Treasury Yield 10 Years (^TNX)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Treasury Yield 10 Years

Popular comparisons: ^TNX vs. TMF, ^TNX vs. SPY, ^TNX vs. ^TYX, ^TNX vs. TMV, ^TNX vs. XAU.TO, ^TNX vs. KMB, ^TNX vs. FRI, ^TNX vs. RYLD, ^TNX vs. TQQQ, ^TNX vs. ^GSPC

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Treasury Yield 10 Years, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%200.00%400.00%600.00%800.00%1,000.00%1,200.00%FebruaryMarchAprilMayJuneJuly
-24.38%
1,075.18%
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)

S&P 500

Returns By Period

Treasury Yield 10 Years had a return of 9.65% year-to-date (YTD) and 9.99% in the last 12 months. Over the past 10 years, Treasury Yield 10 Years had an annualized return of 5.58%, while the S&P 500 had an annualized return of 10.77%, indicating that Treasury Yield 10 Years did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date9.65%15.41%
1 month0.52%0.33%
6 months2.24%13.74%
1 year9.99%21.39%
5 years (annualized)15.70%13.11%
10 years (annualized)5.58%10.77%

Monthly Returns

The table below presents the monthly returns of ^TNX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.61%7.18%-1.08%11.41%-3.67%-3.79%9.65%
2023-9.02%10.97%-10.78%-1.20%5.36%5.00%3.67%3.38%11.73%6.60%-10.73%-11.17%-0.34%
202217.62%3.20%26.54%24.07%-1.49%4.50%-11.10%18.58%21.42%7.18%-9.17%4.75%156.04%
202119.19%33.58%19.59%-6.59%-3.07%-8.73%-14.14%5.25%17.25%1.83%-7.32%4.99%65.21%
2020-20.79%-25.86%-38.07%-10.89%4.18%0.77%-17.92%29.29%-2.31%27.03%-1.86%8.65%-52.21%
2019-1.90%2.88%-10.96%3.94%-14.63%-6.63%1.05%-25.48%11.22%0.96%5.03%8.05%-28.56%
201813.10%5.44%-4.43%7.11%-3.88%0.96%4.04%-3.74%7.12%3.37%-4.62%-10.85%11.68%
20170.20%-3.79%1.61%-4.76%-3.77%4.83%-0.43%-7.46%9.67%2.15%1.73%-0.50%-1.68%
2016-14.90%-9.89%2.64%1.85%0.82%-18.87%-2.02%7.54%2.55%14.05%29.12%3.29%7.80%
2015-22.81%19.52%-3.40%5.79%2.39%11.46%-5.57%-0.23%-6.36%4.42%3.11%2.30%4.56%
2014-11.83%-0.37%2.45%-2.75%-7.21%2.40%1.59%-8.33%7.04%-6.90%-6.04%-1.09%-28.29%
201313.04%-4.89%-1.91%-9.56%29.19%14.51%4.64%6.02%-4.87%-2.79%7.83%10.40%72.32%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^TNX is 32, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^TNX is 3232
^TNX (Treasury Yield 10 Years)
The Sharpe Ratio Rank of ^TNX is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of ^TNX is 3737Sortino Ratio Rank
The Omega Ratio Rank of ^TNX is 3434Omega Ratio Rank
The Calmar Ratio Rank of ^TNX is 2929Calmar Ratio Rank
The Martin Ratio Rank of ^TNX is 2929Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^TNX
Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.54, compared to the broader market0.001.002.000.54
Sortino ratio
The chart of Sortino ratio for ^TNX, currently valued at 0.95, compared to the broader market-1.000.001.002.003.000.95
Omega ratio
The chart of Omega ratio for ^TNX, currently valued at 1.10, compared to the broader market1.001.201.401.10
Calmar ratio
The chart of Calmar ratio for ^TNX, currently valued at 0.25, compared to the broader market0.001.002.003.004.005.000.25
Martin ratio
The chart of Martin ratio for ^TNX, currently valued at 1.08, compared to the broader market0.005.0010.0015.0020.001.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.001.002.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-1.000.001.002.003.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market1.001.201.401.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.001.002.003.004.005.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.005.0010.0015.0020.006.82

Sharpe Ratio

The current Treasury Yield 10 Years Sharpe ratio is 0.54. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Treasury Yield 10 Years with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.54
1.82
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%FebruaryMarchAprilMayJuneJuly
-47.16%
-2.86%
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Treasury Yield 10 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 10 Years was 93.78%, occurring on Mar 9, 2020. The portfolio has not yet recovered.

The current Treasury Yield 10 Years drawdown is 47.16%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-93.78%Nov 8, 19946357Mar 9, 2020
-7.84%May 10, 199419Jun 6, 199472Sep 16, 199491
-5.66%Jan 4, 19947Jan 12, 199416Feb 4, 199423
-4.52%Apr 5, 199416Apr 26, 19947May 6, 199423
-3.77%Nov 23, 199312Dec 9, 199316Jan 3, 199428

Volatility

Volatility Chart

The current Treasury Yield 10 Years volatility is 6.02%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%FebruaryMarchAprilMayJuneJuly
6.02%
2.76%
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)