^GSPC vs. ^FVX
^GSPC (S&P 500 Index) and ^FVX (Treasury Yield 5 Years) are both indexes. Over the past 10 years, ^GSPC returned 13.61%/yr vs 14.05%/yr for ^FVX. At a 0.03 correlation, their price movements are largely independent.
Performance
^GSPC vs. ^FVX - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.56% return, which is significantly lower than ^FVX's 13.19% return. Both investments have delivered pretty close results over the past 10 years, with ^GSPC having a 13.61% annualized return and ^FVX not far ahead at 14.05%.
^GSPC
- 1D
- 0.50%
- 1M
- -0.93%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 24.33%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
^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%
^GSPC vs. ^FVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
^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% |
Correlation
The correlation between ^GSPC and ^FVX is -0.19, 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 | -0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1970 | 0.03 |
The correlation between ^GSPC and ^FVX shifts across timeframes, from -0.19 (1 year) to 0.11 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
^GSPC vs. ^FVX — Risk / Return Rank
^GSPC
^FVX
^GSPC vs. ^FVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Treasury Yield 5 Years (^FVX). 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.
| ^GSPC | ^FVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.51 | ||
| Sortino ratioReturn per unit of downside risk | +1.92 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.07 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | 0.48 | +2.05 |
| Martin ratioReturn relative to average drawdown | 11.37 | 0.90 | +10.47 |
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Drawdowns
^GSPC vs. ^FVX - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum ^FVX drawdown of -98.80%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ^FVX.
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Drawdown Indicators
| ^GSPC | ^FVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -98.80% | +42.02% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -13.28% | +4.18% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -31.36% | +12.46% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -31.36% | +5.93% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -93.69% | +59.77% |
Current DrawdownCurrent decline from peak | -2.34% | -74.11% | +71.77% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -58.53% | +47.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 7.10% | -5.08% |
Volatility
^GSPC vs. ^FVX - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.43%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.85%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than ^FVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | ^FVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 5.85% | -1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 13.22% | -3.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 18.34% | -5.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 38.44% | -21.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 58.57% | -40.48% |
Frequently Asked Questions
^GSPC and ^FVX have a correlation of -0.19, 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 ^GSPC (4.43%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs ^FVX's -98.80%.
^GSPC currently has the higher Sharpe Ratio (1.86 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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