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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.
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Returns By Period
Treasury Yield 30 Years (^TYX) has returned 1.05% so far this year and 6.03% over the past 12 months. Over the last ten years, ^TYX has returned 6.44% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Treasury Yield 30 Years
- 1D
- -0.29%
- 1M
- 5.57%
- YTD
- 1.05%
- 6M
- 3.36%
- 1Y
- 6.03%
- 3Y*
- 9.86%
- 5Y*
- 15.89%
- 10Y*
- 6.44%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
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, your 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% | 1.05% | |||||||||
| 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 -0.71%, 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 19.90% of S&P 500 Index downside but only 6.96% 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
- -0.71%
- Beta
- 0.32
- R²
- 0.06
- Upside Capture
- 6.96%
- Downside Capture
- 19.90%
Return for Risk
Risk / Return Rank
^TYX ranks 24 for risk / return — below 24% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and compare them to a chosen benchmark (S&P 500 Index).
| ^TYX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.40 | 0.90 | -0.49 |
Sortino ratioReturn per unit of downside risk | 0.70 | 1.39 | -0.69 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.21 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | 0.03 | 1.40 | -1.37 |
Martin ratioReturn relative to average drawdown | 0.05 | 6.61 | -6.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^TYX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 40.05%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -88.52% | Nov 8, 1994 | 6476 | Mar 9, 2020 | — | — | — |
| -5.54% | May 10, 1994 | 19 | Jun 6, 1994 | 23 | Jul 8, 1994 | 42 |
| -4.55% | Jul 12, 1994 | 27 | Aug 17, 1994 | 21 | Sep 16, 1994 | 48 |
| -4.14% | Apr 5, 1994 | 16 | Apr 26, 1994 | 7 | May 6, 1994 | 23 |
| -3.7% | Jan 4, 1994 | 7 | Jan 12, 1994 | 19 | Feb 8, 1994 | 26 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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