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^FVX vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^FVX^TNX
YTD Return10.26%9.62%
1Y Return7.90%13.68%
3Y Return (Ann)75.76%41.60%
5Y Return (Ann)18.11%15.19%
10Y Return (Ann)9.25%4.80%
Sharpe Ratio0.200.41
Daily Std Dev27.09%25.18%
Max Drawdown-97.53%-93.78%
Current Drawdown-46.38%-47.18%

Correlation

-0.50.00.51.00.9

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 10.26% return, which is significantly higher than ^TNX's 9.62% return. Over the past 10 years, ^FVX has outperformed ^TNX with an annualized return of 9.25%, while ^TNX has yielded a comparatively lower 4.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%2024FebruaryMarchAprilMayJune
7.73%
7.89%
^FVX
^TNX

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Treasury Yield 5 Years

Treasury Yield 10 Years

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.


^FVX
Sharpe ratio
The chart of Sharpe ratio for ^FVX, currently valued at 0.20, compared to the broader market-1.000.001.002.000.20
Sortino ratio
The chart of Sortino ratio for ^FVX, currently valued at 0.47, compared to the broader market-2.00-1.000.001.002.003.000.48
Omega ratio
The chart of Omega ratio for ^FVX, currently valued at 1.05, compared to the broader market0.801.001.201.401.05
Calmar ratio
The chart of Calmar ratio for ^FVX, currently valued at 0.10, compared to the broader market0.001.002.003.004.005.000.10
Martin ratio
The chart of Martin ratio for ^FVX, currently valued at 0.46, compared to the broader market0.005.0010.0015.0020.000.46
^TNX
Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.41, compared to the broader market-1.000.001.002.000.41
Sortino ratio
The chart of Sortino ratio for ^TNX, currently valued at 0.78, compared to the broader market-2.00-1.000.001.002.003.000.78
Omega ratio
The chart of Omega ratio for ^TNX, currently valued at 1.08, compared to the broader market0.801.001.201.401.09
Calmar ratio
The chart of Calmar ratio for ^TNX, currently valued at 0.19, compared to the broader market0.001.002.003.004.005.000.19
Martin ratio
The chart of Martin ratio for ^TNX, currently valued at 0.90, compared to the broader market0.005.0010.0015.0020.000.90

^FVX vs. ^TNX - Sharpe Ratio Comparison

The current ^FVX Sharpe Ratio is 0.20, which is lower than the ^TNX Sharpe Ratio of 0.41. The chart below compares the 12-month rolling Sharpe Ratio of ^FVX and ^TNX.


Rolling 12-month Sharpe Ratio0.000.501.001.502024FebruaryMarchAprilMayJune
0.20
0.41
^FVX
^TNX

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.


-52.00%-50.00%-48.00%-46.00%-44.00%-42.00%-40.00%2024FebruaryMarchAprilMayJune
-46.38%
-47.18%
^FVX
^TNX

Volatility

^FVX vs. ^TNX - Volatility Comparison

Treasury Yield 5 Years (^FVX) and Treasury Yield 10 Years (^TNX) have volatilities of 7.29% and 7.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


5.00%6.00%7.00%8.00%9.00%10.00%2024FebruaryMarchAprilMayJune
7.29%
7.05%
^FVX
^TNX