^DXY vs. ^TNX
^DXY (US Dollar Currency Index) and ^TNX (Cboe 10-Year Treasury Note Yield Index) are both indexes. Over the past 10 years, ^DXY returned 0.57%/yr vs 11.02%/yr for ^TNX. At a 0.10 correlation, their price movements are largely independent.
Performance
^DXY vs. ^TNX - Performance Comparison
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Returns By Period
In the year-to-date period, ^DXY achieves a 1.13% return, which is significantly lower than ^TNX's 7.93% return. Over the past 10 years, ^DXY has underperformed ^TNX with an annualized return of 0.57%, while ^TNX has yielded a comparatively higher 11.02% annualized return.
^DXY
- 1D
- -0.10%
- 1M
- 0.19%
- YTD
- 1.13%
- 6M
- 1.52%
- 1Y
- 1.03%
- 3Y*
- -1.49%
- 5Y*
- 1.98%
- 10Y*
- 0.57%
^TNX
- 1D
- 0.94%
- 1M
- -1.43%
- YTD
- 7.93%
- 6M
- 7.77%
- 1Y
- 4.00%
- 3Y*
- 6.31%
- 5Y*
- 24.75%
- 10Y*
- 11.02%
^DXY vs. ^TNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DXY US Dollar Currency Index | 1.13% | -9.37% | 7.06% | -2.11% | 7.87% | 6.71% | -6.69% | 0.22% | 4.40% | -9.87% |
^TNX Cboe 10-Year Treasury Note Yield Index | 7.93% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
Correlation
The correlation between ^DXY and ^TNX is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.45 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.31 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Nov 8, 1985 | 0.10 |
Over the past year, ^DXY and ^TNX have become more correlated (0.45) than their long-term average of 0.10, meaning their price movements have been converging.
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Return for Risk
^DXY vs. ^TNX — Risk / Return Rank
^DXY
^TNX
^DXY vs. ^TNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for US Dollar Currency Index (^DXY) and Cboe 10-Year Treasury Note Yield Index (^TNX). 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.
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.
| ^DXY | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.16 | ||
| Sortino ratioReturn per unit of downside risk | -0.28 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.05 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 0.16 | 0.34 | -0.18 |
| Martin ratioReturn relative to average drawdown | 0.36 | 0.61 | -0.25 |
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Drawdowns
^DXY vs. ^TNX - Drawdown Comparison
The maximum ^DXY drawdown since its inception was -45.13%, smaller than the maximum ^TNX drawdown of -96.85%. Use the drawdown chart below to compare losses from any high point for ^DXY and ^TNX.
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Drawdown Indicators
| ^DXY | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.13% | -96.85% | +51.72% |
Max Drawdown (1Y)Largest decline over 1 year | -4.00% | -11.94% | +7.94% |
Max Drawdown (3Y)Largest decline over 3 years | -12.49% | -27.41% | +14.92% |
Max Drawdown (5Y)Largest decline over 5 years | -15.68% | -27.41% | +11.73% |
Max Drawdown (10Y)Largest decline over 10 years | -15.68% | -84.57% | +68.89% |
Current DrawdownCurrent decline from peak | -23.51% | -71.64% | +48.13% |
Average DrawdownAverage peak-to-trough decline | -28.16% | -55.01% | +26.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.76% | 6.58% | -4.82% |
Volatility
^DXY vs. ^TNX - Volatility Comparison
The current volatility for US Dollar Currency Index (^DXY) is 0.94%, while Cboe 10-Year Treasury Note Yield Index (^TNX) has a volatility of 3.57%. This indicates that ^DXY experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DXY | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.94% | 3.57% | -2.63% |
Volatility (6M)Calculated over the trailing 6-month period | 3.91% | 10.72% | -6.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.70% | 15.13% | -9.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.97% | 32.21% | -25.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.49% | 47.88% | -41.39% |
Frequently Asked Questions
^DXY and ^TNX have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (3.57%) compared to ^DXY (0.94%). In terms of maximum drawdown, ^DXY dropped -45.13% vs ^TNX's -96.85%.
^TNX currently has the higher Sharpe Ratio (0.27 vs 0.11), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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