^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 | 10.26% | 10.04% |
| 1Y Return | 7.05% | 14.26% |
| 3Y Return (Ann) | 69.03% | 42.25% |
| 5Y Return (Ann) | 18.65% | 15.57% |
| 10Y Return (Ann) | 9.56% | 4.97% |
| Sharpe Ratio | 0.22 | 0.56 |
| Daily Std Dev | 27.05% | 25.15% |
| Max Drawdown | -97.53% | -93.78% |
| Current Drawdown | -46.38% | -46.98% |
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
The year-to-date returns for both stocks are quite close, with ^FVX having a 10.26% return and ^TNX slightly lower at 10.04%. Over the past 10 years, ^FVX has outperformed ^TNX with an annualized return of 9.56%, while ^TNX has yielded a comparatively lower 4.97% 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
Treasury Yield 5 Years (^FVX) and Treasury Yield 10 Years (^TNX) have volatilities of 7.15% and 7.08%, 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.