^FVX vs. ^TNX
Compare and contrast key facts about Treasury Yield 5 Years (^FVX) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FVX or ^TNX.
Key characteristics
| ^FVX | ^TNX | |
|---|---|---|
| YTD Return | 9.24% | 11.38% |
| 1Y Return | -10.09% | -6.96% |
| 3Y Return (Ann) | 50.12% | 40.00% |
| 5Y Return (Ann) | 20.08% | 18.25% |
| 10Y Return (Ann) | 10.10% | 6.41% |
| Sharpe Ratio | -0.22 | -0.20 |
| Sortino Ratio | -0.15 | -0.14 |
| Omega Ratio | 0.98 | 0.99 |
| Calmar Ratio | -0.10 | -0.09 |
| Martin Ratio | -0.41 | -0.40 |
| Ulcer Index | 13.42% | 11.87% |
| Daily Std Dev | 25.61% | 23.41% |
| Max Drawdown | -97.53% | -93.78% |
| Current Drawdown | -46.87% | -46.33% |
Correlation
The correlation between ^FVX and ^TNX is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
^FVX vs. ^TNX - Performance Comparison
In the year-to-date period, ^FVX achieves a 9.24% return, which is significantly lower than ^TNX's 11.38% return. Over the past 10 years, ^FVX has outperformed ^TNX with an annualized return of 10.10%, while ^TNX has yielded a comparatively lower 6.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^FVX vs. ^TNX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and Treasury Yield 10 Years (^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.
Drawdowns
^FVX vs. ^TNX - Drawdown Comparison
The maximum ^FVX drawdown since its inception was -97.53%, roughly equal to the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ^FVX and ^TNX. For additional features, visit the drawdowns tool.
Volatility
^FVX vs. ^TNX - Volatility Comparison
The current volatility for Treasury Yield 5 Years (^FVX) is 5.34%, while Treasury Yield 10 Years (^TNX) has a volatility of 6.12%. This indicates that ^FVX 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.