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Performance
^TNX Performance Chart
Cboe 10-Year Treasury Note Yield Index (^TNX) is up 5.0% since the beginning of the year. ^TNX is currently trading at $4 per share. Investors who bought $1,000 worth of ^TNX shares 5 years ago would now be looking at an investment worth $2,846.
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Returns By Period
Cboe 10-Year Treasury Note Yield Index (^TNX) has returned 5.02% so far this year and 2.80% over the past 12 months. Over the last ten years, ^TNX has returned 11.58% per year, falling short of the S&P 500 Index benchmark, which averaged 13.70% annually.
Cboe 10-Year Treasury Note Yield Index
- 1D
- -1.77%
- 1M
- -2.43%
- YTD
- 5.02%
- 6M
- 5.71%
- 1Y
- 2.80%
- 3Y*
- 5.08%
- 5Y*
- 23.27%
- 10Y*
- 11.58%
Benchmark (S&P 500 Index)
- 1D
- -0.05%
- 1M
- -2.77%
- YTD
- 7.43%
- 6M
- 6.12%
- 1Y
- 19.13%
- 3Y*
- 18.87%
- 5Y*
- 11.43%
- 10Y*
- 13.70%
^TNX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 1970, ^TNX's average daily return is +0.01%, while the average monthly return is +0.18%. At this rate, an investment would double in approximately 32.1 years.
Historically, 50% of months were positive and 50% were negative. The best month was Feb 2021 with a return of +33.6%, while the worst month was Mar 2020 at -38.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 8 months.
On a daily basis, ^TNX closed higher 46% of trading days. The best single day was Mar 10, 2020 with a return of +49.9%, while the worst single day was Mar 9, 2020 at -29.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.87% | -6.58% | 8.81% | 1.83% | 1.44% | -1.82% | 5.02% | ||||||
| 2025 | -0.09% | -7.40% | 0.35% | -1.63% | 5.72% | -4.21% | 3.07% | -3.05% | -1.87% | -1.13% | -2.05% | 3.63% | -8.97% |
| 2024 | 2.61% | 7.18% | -1.08% | 11.41% | -3.67% | -3.79% | -5.39% | -4.82% | -2.79% | 12.68% | -2.47% | 9.45% | 18.29% |
| 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% |
| 2022 | 17.86% | 3.20% | 26.54% | 24.07% | -1.49% | 4.50% | -11.10% | 18.58% | 21.42% | 7.18% | -9.17% | 4.75% | 156.55% |
| 2021 | 19.19% | 33.58% | 19.59% | -6.59% | -3.07% | -8.73% | -14.14% | 5.25% | 17.25% | 1.83% | -7.32% | 4.78% | 64.89% |
Benchmark Metrics
Cboe 10-Year Treasury Note Yield Index has an annualized alpha of 0.59%, beta of 0.25, and R2 of 0.02 versus S&P 500 Index. Calculated based on daily prices since January 02, 1970.
- This index participated in 0.67% of S&P 500 Index downside but only -3.20% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.25 may look defensive, but with R2 of 0.02 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 0.02 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
- 0.59%
- Beta
- 0.25
- R²
- 0.02
- Upside Capture
- -3.20%
- Downside Capture
- 0.67%
Return for Risk
Risk / Return Rank
^TNX ranks 19 for risk / return — in the bottom 19% 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 Cboe 10-Year Treasury Note Yield Index (^TNX) 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.
| ^TNX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.40 | ||
| Sortino ratioReturn per unit of downside risk | -1.83 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.29 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | 0.24 | 2.18 | -1.94 |
| Martin ratioReturn relative to average drawdown | 0.43 | 9.54 | -9.12 |
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 Cboe 10-Year Treasury Note Yield Index. 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 Cboe 10-Year Treasury Note Yield Index was 96.85%, occurring on Mar 9, 2020. The portfolio has not yet recovered.
The current Cboe 10-Year Treasury Note Yield Index drawdown is 72.40%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -96.85%Mar 2020 | 38y 5mo | — | 44y 9moOct 1981 - now |
1971 bear market1971 | -34.55%Mar 1971 | 10mo | 4y 16d | 4y 10moMay 1970 - Apr 1975 |
1980 bear market1980 | -30.62%Jun 1980 | 3mo 20d | 8mo 2d | 11mo 22dFeb 1980 - Feb 1981 |
1976 bear market1976 | -20.84%Dec 1976 | 1y 3mo | 1y 5mo | 2y 9moSep 1975 - Jun 1978 |
1970 correction1970 | -13.64%Feb 1970 | 1mo 20d | 2mo 27d | 4mo 17dJan 1970 - May 1970 |
Drawdown Indicators
| ^TNX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -56.78% | -40.07% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -9.10% | -2.84% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -18.90% | -8.51% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -25.43% | -1.98% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | -33.92% | -50.65% |
Current DrawdownCurrent decline from peak | -72.40% | -3.36% | -69.04% |
Average DrawdownAverage peak-to-trough decline | -55.01% | -10.71% | -44.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.59% | 2.07% | +4.52% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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