^FVX vs. PRULX
^FVX (Treasury Yield 5 Years) is an index, while PRULX (T. Rowe Price U.S. Treasury Long Term Index Fund) is Government Bonds fund managed by T. Rowe Price. Over the past 10 years, ^FVX returned 14.05%/yr vs -0.61%/yr for PRULX. At a correlation of -0.80, they often move in opposite directions.
Performance
^FVX vs. PRULX - Performance Comparison
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Returns By Period
In the year-to-date period, ^FVX achieves a 13.19% return, which is significantly higher than PRULX's -0.34% return. Over the past 10 years, ^FVX has outperformed PRULX with an annualized return of 14.05%, while PRULX has yielded a comparatively lower -0.61% annualized return.
^FVX
- 1D
- 0.55%
- 1M
- 2.23%
- YTD
- 13.19%
- 6M
- 12.32%
- 1Y
- 4.70%
- 3Y*
- 1.57%
- 5Y*
- 41.30%
- 10Y*
- 14.05%
PRULX
- 1D
- 1.15%
- 1M
- 1.50%
- YTD
- -0.34%
- 6M
- 1.05%
- 1Y
- 5.66%
- 3Y*
- -0.05%
- 5Y*
- -5.65%
- 10Y*
- -0.61%
^FVX vs. PRULX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^FVX Treasury Yield 5 Years | 13.19% | -15.02% | 14.06% | -4.00% | 216.71% | 249.86% | -78.68% | -32.55% | 13.78% | 14.06% |
PRULX T. Rowe Price U.S. Treasury Long Term Index Fund | -0.34% | 6.69% | -5.71% | 2.90% | -30.45% | -5.22% | 18.34% | 22.58% | -1.86% | 8.23% |
Correlation
The correlation between ^FVX and PRULX is -0.76, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.77 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1990 | -0.80 |
The correlation between ^FVX and PRULX has been stable across timeframes, ranging from -0.80 to -0.76 - a consistent structural relationship.
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Return for Risk
^FVX vs. PRULX — Risk / Return Rank
^FVX
PRULX
^FVX vs. PRULX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^FVX | PRULX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.30 | ||
| Sortino ratioReturn per unit of downside risk | -0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.12 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 0.48 | 0.81 | -0.33 |
| Martin ratioReturn relative to average drawdown | 0.90 | 2.11 | -1.21 |
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Drawdowns
^FVX vs. PRULX - Drawdown Comparison
The maximum ^FVX drawdown since its inception was -98.80%, which is greater than PRULX's maximum drawdown of -47.40%. Use the drawdown chart below to compare losses from any high point for ^FVX and PRULX.
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Drawdown Indicators
| ^FVX | PRULX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -98.80% | -47.40% | -51.40% |
Max Drawdown (1Y)Largest decline over 1 year | -13.28% | -7.35% | -5.93% |
Max Drawdown (3Y)Largest decline over 3 years | -31.36% | -17.64% | -13.72% |
Max Drawdown (5Y)Largest decline over 5 years | -31.36% | -42.35% | +10.99% |
Max Drawdown (10Y)Largest decline over 10 years | -93.69% | -47.40% | -46.29% |
Current DrawdownCurrent decline from peak | -74.11% | -36.85% | -37.26% |
Average DrawdownAverage peak-to-trough decline | -58.53% | -9.39% | -49.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.10% | 2.80% | +4.30% |
Volatility
^FVX vs. PRULX - Volatility Comparison
Treasury Yield 5 Years (^FVX) has a higher volatility of 5.85% compared to T. Rowe Price U.S. Treasury Long Term Index Fund (PRULX) at 2.76%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier than PRULX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^FVX | PRULX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 2.76% | +3.09% |
Volatility (6M)Calculated over the trailing 6-month period | 13.22% | 6.45% | +6.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.34% | 9.18% | +9.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 38.44% | 14.67% | +23.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 58.57% | 13.98% | +44.59% |
Frequently Asked Questions
^FVX and PRULX have a correlation of -0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^FVX has higher volatility (5.85%) compared to PRULX (2.76%). In terms of maximum drawdown, ^FVX dropped -98.80% vs PRULX's -47.40%.
PRULX currently has the higher Sharpe Ratio (0.65 vs 0.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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