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^FVX vs. ^TNX
Performance
Return for Risk
Drawdowns
Volatility

Performance

^FVX vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 5 Years (^FVX) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

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^FVX vs. ^TNX - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^FVX
Treasury Yield 5 Years
6.07%-15.02%14.06%-4.00%216.71%249.86%-78.68%-32.55%13.78%14.06%
^TNX
Treasury Yield 10 Years
3.60%-8.97%18.29%-0.34%156.55%64.89%-52.21%-28.56%11.68%-1.68%

Returns By Period

In the year-to-date period, ^FVX achieves a 6.07% return, which is significantly higher than ^TNX's 3.60% return. Over the past 10 years, ^FVX has outperformed ^TNX with an annualized return of 12.42%, while ^TNX has yielded a comparatively lower 9.26% annualized return.


^FVX

1D
-0.18%
1M
8.73%
YTD
6.07%
6M
7.49%
1Y
-0.08%
3Y*
3.81%
5Y*
34.20%
10Y*
12.42%

^TNX

1D
-0.14%
1M
6.34%
YTD
3.60%
6M
5.50%
1Y
2.79%
3Y*
7.93%
5Y*
20.77%
10Y*
9.26%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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Return for Risk

^FVX vs. ^TNX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^FVX
^FVX Risk / Return Rank: 1515
Overall Rank
^FVX Sharpe Ratio Rank: 1515
Sharpe Ratio Rank
^FVX Sortino Ratio Rank: 1515
Sortino Ratio Rank
^FVX Omega Ratio Rank: 1515
Omega Ratio Rank
^FVX Calmar Ratio Rank: 1616
Calmar Ratio Rank
^FVX Martin Ratio Rank: 1616
Martin Ratio Rank

^TNX
^TNX Risk / Return Rank: 2020
Overall Rank
^TNX Sharpe Ratio Rank: 2020
Sharpe Ratio Rank
^TNX Sortino Ratio Rank: 1919
Sortino Ratio Rank
^TNX Omega Ratio Rank: 1818
Omega Ratio Rank
^TNX Calmar Ratio Rank: 2323
Calmar Ratio Rank
^TNX Martin Ratio Rank: 2222
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^FVX vs. ^TNX - Risk-Adjusted Trends 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.


^FVX^TNXDifference

Sharpe ratio

Return per unit of total volatility

-0.00

0.16

-0.16

Sortino ratio

Return per unit of downside risk

0.15

0.36

-0.21

Omega ratio

Gain probability vs. loss probability

1.02

1.04

-0.02

Calmar ratio

Return relative to maximum drawdown

0.06

0.27

-0.21

Martin ratio

Return relative to average drawdown

0.11

0.45

-0.34

^FVX vs. ^TNX - Sharpe Ratio Comparison

The current ^FVX Sharpe Ratio is -0.00, which is lower than the ^TNX Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of ^FVX and ^TNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


^FVX^TNXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.00

0.16

-0.16

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.86

0.63

+0.23

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.21

0.19

+0.02

Sharpe Ratio (All Time)

Calculated using the full available price history

-0.02

-0.02

+0.01

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.


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.


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Drawdown Indicators


^FVX^TNXDifference

Max Drawdown

Largest peak-to-trough decline

-97.53%

-93.78%

-3.75%

Max Drawdown (1Y)

Largest decline over 1 year

-15.62%

-13.99%

-1.63%

Max Drawdown (5Y)

Largest decline over 5 years

-31.36%

-31.74%

+0.38%

Max Drawdown (10Y)

Largest decline over 10 years

-93.69%

-84.57%

-9.12%

Current Drawdown

Current decline from peak

-50.00%

-46.24%

-3.76%

Average Drawdown

Average peak-to-trough decline

-56.58%

-51.38%

-5.20%

Ulcer Index

Depth and duration of drawdowns from previous peaks

9.26%

8.40%

+0.86%

Volatility

^FVX vs. ^TNX - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 7.45% compared to Treasury Yield 10 Years (^TNX) at 5.90%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier 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


^FVX^TNXDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.45%

5.90%

+1.55%

Volatility (6M)

Calculated over the trailing 6-month period

12.85%

10.53%

+2.32%

Volatility (1Y)

Calculated over the trailing 1-year period

21.34%

17.76%

+3.58%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

39.92%

32.94%

+6.98%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

58.94%

48.17%

+10.77%