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

Correlation

The correlation between ^FVX and ^TNX is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


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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Key characteristics

Sharpe Ratio

^FVX:

-0.46

^TNX:

-0.12

Sortino Ratio

^FVX:

-0.34

^TNX:

-0.01

Omega Ratio

^FVX:

0.96

^TNX:

1.00

Calmar Ratio

^FVX:

-0.15

^TNX:

-0.05

Martin Ratio

^FVX:

-0.61

^TNX:

-0.24

Ulcer Index

^FVX:

13.62%

^TNX:

10.58%

Daily Std Dev

^FVX:

23.95%

^TNX:

22.02%

Max Drawdown

^FVX:

-97.53%

^TNX:

-93.78%

Current Drawdown

^FVX:

-49.42%

^TNX:

-45.49%

Returns By Period

In the year-to-date period, ^FVX achieves a -8.81% return, which is significantly lower than ^TNX's -4.37% return. Over the past 10 years, ^FVX has outperformed ^TNX with an annualized return of 9.77%, while ^TNX has yielded a comparatively lower 6.85% annualized return.


^FVX

YTD

-8.81%

1M

-2.61%

6M

-4.72%

1Y

-10.45%

5Y*

64.93%

10Y*

9.77%

^TNX

YTD

-4.37%

1M

-0.61%

6M

1.56%

1Y

-1.71%

5Y*

45.18%

10Y*

6.85%

*Annualized

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Risk-Adjusted Performance

^FVX vs. ^TNX — Risk-Adjusted Performance Rank

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

^FVX
The Risk-Adjusted Performance Rank of ^FVX is 1616
Overall Rank
The Sharpe Ratio Rank of ^FVX is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of ^FVX is 1717
Sortino Ratio Rank
The Omega Ratio Rank of ^FVX is 1818
Omega Ratio Rank
The Calmar Ratio Rank of ^FVX is 1818
Calmar Ratio Rank
The Martin Ratio Rank of ^FVX is 1818
Martin Ratio Rank

^TNX
The Risk-Adjusted Performance Rank of ^TNX is 2424
Overall Rank
The Sharpe Ratio Rank of ^TNX is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TNX is 2424
Sortino Ratio Rank
The Omega Ratio Rank of ^TNX is 2424
Omega Ratio Rank
The Calmar Ratio Rank of ^TNX is 2525
Calmar Ratio Rank
The Martin Ratio Rank of ^TNX is 2424
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The current ^FVX Sharpe Ratio is -0.46, which is lower than the ^TNX Sharpe Ratio of -0.12. 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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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.


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Volatility

^FVX vs. ^TNX - Volatility Comparison


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