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Performance
^TYX Performance Chart
Treasury Yield 30 Years (^TYX) is up 3.1% since the beginning of the year. ^TYX is currently trading at $50 per share. Investors who bought $1,000 worth of ^TYX shares 5 years ago would now be looking at an investment worth $2,228.
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Returns By Period
Treasury Yield 30 Years (^TYX) has returned 3.10% so far this year and 0.14% over the past 12 months. Over the last ten years, ^TYX has returned 7.08% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
Treasury Yield 30 Years
- 1D
- 0.46%
- 1M
- -0.70%
- YTD
- 3.10%
- 6M
- 5.61%
- 1Y
- 0.14%
- 3Y*
- 8.73%
- 5Y*
- 17.38%
- 10Y*
- 7.08%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^TYX Monthly Returns History
Based on dividend-adjusted daily data since Nov 3, 1993, ^TYX's average daily return is +0.01%, while the average monthly return is +0.15%. At this rate, an investment would double in approximately 38.5 years.
Historically, 49% of months were positive and 51% were negative. The best month was Jan 2009 with a return of +33.9%, while the worst month was Dec 2008 at -22.8%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 7 months.
On a daily basis, ^TYX closed higher 47% of trading days. The best single day was Mar 10, 2020 with a return of +30.1%, while the worst single day was Mar 9, 2020 at -22.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.66% | -4.91% | 5.57% | 1.96% | 0.12% | -0.06% | 3.10% | ||||||
| 2025 | 0.56% | -6.17% | 2.15% | 1.47% | 5.30% | -3.04% | 2.24% | 0.63% | -3.76% | -1.31% | -0.11% | 3.75% | 1.13% |
| 2024 | 4.88% | 3.80% | -0.59% | 10.14% | -2.88% | -3.22% | -2.95% | -3.96% | -1.48% | 8.20% | -2.39% | 9.62% | 19.08% |
| 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% |
| 2022 | 10.13% | 4.00% | 12.19% | 20.38% | 3.73% | 2.03% | -4.65% | 9.45% | 15.67% | 11.66% | -9.09% | 4.00% | 108.66% |
| 2021 | 12.88% | 17.44% | 11.14% | -5.11% | -1.65% | -8.75% | -8.14% | 1.58% | 8.56% | -7.17% | -7.98% | 6.60% | 15.74% |
Benchmark Metrics
Treasury Yield 30 Years has an annualized alpha of -0.77%, beta of 0.32, and R2 of 0.06 versus S&P 500 Index. Calculated based on daily prices since November 04, 1993.
- This index participated in 19.88% of S&P 500 Index downside but only 7.03% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.32 may look defensive, but with R2 of 0.06 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 0.06 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
- -0.77%
- Beta
- 0.32
- R²
- 0.06
- Upside Capture
- 7.03%
- Downside Capture
- 19.88%
Return for Risk
Risk / Return Rank
^TYX ranks 12 for risk / return — in the bottom 12% 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 30 Years (^TYX) and compare them to S&P 500 Index.
| ^TYX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.01 | 2.24 | -2.23 |
Sortino ratioReturn per unit of downside risk | 0.10 | 3.07 | -2.97 |
Omega ratioGain probability vs. loss probability | 1.01 | 1.41 | -0.39 |
Calmar ratioReturn relative to maximum drawdown | 0.01 | 2.93 | -2.91 |
Martin ratioReturn relative to average drawdown | 0.03 | 13.52 | -13.49 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 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 38.84%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -88.52%Mar 2020 | 25y 4mo | — | 31y 7moNov 1994 - now |
1994 pullback1994 | -5.54%Jun 1994 | 27d | 1mo 2d | 1mo 29dMay 1994 - Jul 1994 |
1994 pullback1994 | -4.55%Aug 1994 | 1mo 6d | 1mo | 2mo 6dJul 1994 - Sep 1994 |
1994 pullback1994 | -4.14%Apr 1994 | 21d | 10d | 1mo 1dApr 1994 - May 1994 |
1994 pullback1994 | -3.70%Jan 1994 | 8d | 27d | 1mo 5dJan 1994 - Feb 1994 |
Drawdown Indicators
| ^TYX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.52% | -56.78% | -31.74% |
Max Drawdown (1Y)Largest decline over 1 year | -9.55% | -9.10% | -0.45% |
Max Drawdown (3Y)Largest decline over 3 years | -22.85% | -18.90% | -3.95% |
Max Drawdown (5Y)Largest decline over 5 years | -25.46% | -25.43% | -0.03% |
Max Drawdown (10Y)Largest decline over 10 years | -72.86% | -33.92% | -38.94% |
Current DrawdownCurrent decline from peak | -38.84% | -0.74% | -38.10% |
Average DrawdownAverage peak-to-trough decline | -45.96% | -10.72% | -35.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.44% | 1.97% | +2.47% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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