PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Treasury Yield 10 Years (^TNX)

Index · Currency in USD · Last updated Dec 2, 2023

The Treasury Yield 10 Years index measures the average yield on U.S. government bonds with a maturity of 10 years. The index is based on the yield of the 10-year Treasury note, a debt security issued by the U.S. Department of the Treasury. The yield on the 10-year Treasury note is used as a benchmark for other financial instruments such as mortgages, corporate bonds, and other debt securities. The Treasury Yield 10 Years index is considered a key indicator of the overall health of the U.S. economy and is closely watched by investors, economists, and policymakers.

Summary

Share Price Chart


Loading data...

Performance

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%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
14.49%
7.29%
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

Search for stocks, ETFs, and funds to compare with ^TNX

Treasury Yield 10 Years

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

Return

Treasury Yield 10 Years had a return of 8.95% year-to-date (YTD) and 19.75% in the last 12 months. Over the past 10 years, Treasury Yield 10 Years had an annualized return of 4.31%, while the S&P 500 had an annualized return of 9.87%, indicating that Treasury Yield 10 Years did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date8.95%19.67%
1 month-11.76%8.42%
6 months14.49%7.29%
1 year19.75%12.71%
5 years (annualized)7.02%10.75%
10 years (annualized)4.31%9.87%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20235.36%5.00%3.67%3.38%11.73%6.60%-10.73%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^TNX
Treasury Yield 10 Years
0.46
^GSPC
S&P 500
0.91

Sharpe Ratio

The current Treasury Yield 10 Years Sharpe ratio is 0.46. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.


Rolling 12-month Sharpe Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.46
0.91
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)

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%JulyAugustSeptemberOctoberNovemberDecember
-47.33%
-4.21%
^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.


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 Chart

The current Treasury Yield 10 Years volatility is 8.39%, 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%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.39%
2.79%
^TNX (Treasury Yield 10 Years)
Benchmark (^GSPC)