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Treasury Yield 30 Years (^TYX)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Popular comparisons: ^TYX vs. ^TNX, ^TYX vs. VOO, ^TYX vs. ES=F, ^TYX vs. TLT, ^TYX vs. PST, ^TYX vs. TBX, ^TYX vs. GOVT, ^TYX vs. MSCI, ^TYX vs. GC=F, ^TYX vs. VGLT

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Treasury Yield 30 Years, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
-6.53%
10.74%
^TYX (Treasury Yield 30 Years)
Benchmark (^GSPC)

Returns By Period

Treasury Yield 30 Years had a return of 4.01% year-to-date (YTD) and -14.29% in the last 12 months. Over the past 10 years, Treasury Yield 30 Years had an annualized return of 2.87%, while the S&P 500 had an annualized return of 11.26%, indicating that Treasury Yield 30 Years did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date4.01%19.50%
1 month1.19%3.09%
6 months-6.53%10.74%
1 year-14.29%33.68%
5 years (annualized)15.44%14.10%
10 years (annualized)2.87%11.26%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.88%3.80%-0.59%10.14%-2.88%-3.22%-2.95%-3.96%-1.48%4.01%
2023-7.90%7.38%-6.16%-0.30%4.84%-0.03%4.25%4.60%12.06%6.60%-10.14%-10.95%1.11%
202210.13%4.00%12.19%20.38%3.73%2.03%-4.65%9.45%15.67%11.66%-9.09%4.00%108.66%
202112.88%17.44%11.14%-5.11%-1.65%-8.75%-8.14%1.58%8.56%-7.17%-7.98%6.60%15.74%
2020-15.66%-17.07%-19.15%-6.29%11.14%0.14%-14.98%21.20%-0.07%13.03%-4.09%4.64%-31.10%
2019-0.50%2.60%-8.47%4.18%-12.14%-2.13%-0.04%-22.04%7.66%2.59%1.19%8.49%-20.89%
20187.41%6.29%-4.96%4.21%-3.58%-0.10%3.35%-2.37%6.21%6.41%-2.67%-8.79%10.26%
2017-0.39%-2.72%1.68%-2.19%-3.22%-0.60%2.04%-5.97%4.84%0.63%-1.50%-3.28%-10.58%
2016-8.52%-5.18%0.19%1.76%-1.39%-12.25%-5.42%2.25%4.71%10.83%16.53%1.52%1.59%
2015-18.12%15.50%-2.15%8.22%3.41%9.03%-5.70%0.14%-1.74%1.84%1.94%0.84%9.68%
2014-8.63%-0.83%-0.86%-2.89%-4.16%0.72%-0.81%-6.98%4.29%-4.73%-4.90%-5.53%-30.65%
20137.38%-2.40%0.32%-7.09%14.70%5.74%4.23%0.82%0.27%-1.49%4.87%4.10%34.28%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^TYX is 4, indicating that it is in the bottom 4% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^TYX is 44
^TYX (Treasury Yield 30 Years)
The Sharpe Ratio Rank of ^TYX is 44Sharpe Ratio Rank
The Sortino Ratio Rank of ^TYX is 44Sortino Ratio Rank
The Omega Ratio Rank of ^TYX is 44Omega Ratio Rank
The Calmar Ratio Rank of ^TYX is 44Calmar Ratio Rank
The Martin Ratio Rank of ^TYX is 44Martin 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 30 Years (^TYX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^TYX
Sharpe ratio
The chart of Sharpe ratio for ^TYX, currently valued at -0.65, compared to the broader market0.001.002.003.00-0.65
Sortino ratio
The chart of Sortino ratio for ^TYX, currently valued at -0.85, compared to the broader market-1.000.001.002.003.00-0.85
Omega ratio
The chart of Omega ratio for ^TYX, currently valued at 0.91, compared to the broader market1.001.201.400.91
Calmar ratio
The chart of Calmar ratio for ^TYX, currently valued at -0.26, compared to the broader market0.001.002.003.004.005.00-0.26
Martin ratio
The chart of Martin ratio for ^TYX, currently valued at -0.94, compared to the broader market0.005.0010.0015.0020.00-0.94
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.001.002.003.002.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.71, compared to the broader market-1.000.001.002.003.003.72
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market1.001.201.401.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.001.002.003.004.005.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.96, compared to the broader market0.005.0010.0015.0020.0016.96

Sharpe Ratio

The current Treasury Yield 30 Years Sharpe ratio is -0.65. 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 30 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 Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-0.65
2.79
^TYX (Treasury Yield 30 Years)
Benchmark (^GSPC)

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-48.77%
-1.09%
^TYX (Treasury Yield 30 Years)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Treasury Yield 30 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 30 Years was 88.52%, occurring on Mar 9, 2020. The portfolio has not yet recovered.

The current Treasury Yield 30 Years drawdown is 48.77%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-88.52%Nov 8, 19946476Mar 9, 2020
-5.54%May 10, 199419Jun 6, 199423Jul 8, 199442
-4.55%Jul 12, 199427Aug 17, 199421Sep 16, 199448
-4.14%Apr 5, 199416Apr 26, 19947May 6, 199423
-3.7%Jan 4, 19947Jan 12, 199419Feb 8, 199426

Volatility

Volatility Chart

The current Treasury Yield 30 Years volatility is 4.10%, 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%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
4.10%
3.33%
^TYX (Treasury Yield 30 Years)
Benchmark (^GSPC)