^TNX vs. ^FVX
^TNX (Cboe 10-Year Treasury Note Yield Index) and ^FVX (Treasury Yield 5 Years) are both indexes. Over the past 10 years, ^TNX returned 11.02%/yr vs 14.56%/yr for ^FVX. Their correlation of 0.92 suggests significant overlap in exposure.
Performance
^TNX vs. ^FVX - Performance Comparison
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Returns By Period
In the year-to-date period, ^TNX achieves a 7.93% return, which is significantly lower than ^FVX's 14.48% return. Over the past 10 years, ^TNX has underperformed ^FVX with an annualized return of 11.02%, while ^FVX has yielded a comparatively higher 14.56% annualized return.
^TNX
- 1D
- 0.94%
- 1M
- -1.43%
- YTD
- 7.93%
- 6M
- 7.77%
- 1Y
- 4.00%
- 3Y*
- 6.31%
- 5Y*
- 24.75%
- 10Y*
- 11.02%
^FVX
- 1D
- 0.85%
- 1M
- 0.12%
- YTD
- 14.48%
- 6M
- 14.11%
- 1Y
- 9.71%
- 3Y*
- 2.17%
- 5Y*
- 36.26%
- 10Y*
- 14.56%
^TNX vs. ^FVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^TNX Cboe 10-Year Treasury Note Yield Index | 7.93% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
^FVX Treasury Yield 5 Years | 14.48% | -15.02% | 14.06% | -4.00% | 216.71% | 249.86% | -78.68% | -32.55% | 13.78% | 14.06% |
Correlation
The correlation between ^TNX and ^FVX is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.93 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1970 | 0.92 |
The correlation between ^TNX and ^FVX has been stable across timeframes, ranging from 0.92 to 0.96 - a consistent structural relationship.
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Return for Risk
^TNX vs. ^FVX — Risk / Return Rank
^TNX
^FVX
^TNX vs. ^FVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe 10-Year Treasury Note Yield Index (^TNX) 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.
| ^TNX | ^FVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.27 | ||
| Sortino ratioReturn per unit of downside risk | -0.39 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.10 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | 0.74 | -0.40 |
| Martin ratioReturn relative to average drawdown | 0.61 | 1.38 | -0.77 |
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Drawdowns
^TNX vs. ^FVX - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -96.85%, roughly equal to the maximum ^FVX drawdown of -98.80%. Use the drawdown chart below to compare losses from any high point for ^TNX and ^FVX.
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Drawdown Indicators
| ^TNX | ^FVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -98.80% | +1.95% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -13.28% | +1.34% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -31.36% | +3.95% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -31.36% | +3.95% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | -93.69% | +9.12% |
Current DrawdownCurrent decline from peak | -71.64% | -73.81% | +2.17% |
Average DrawdownAverage peak-to-trough decline | -55.01% | -58.54% | +3.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.58% | 7.07% | -0.49% |
Volatility
^TNX vs. ^FVX - Volatility Comparison
The current volatility for Cboe 10-Year Treasury Note Yield Index (^TNX) is 3.57%, while Treasury Yield 5 Years (^FVX) has a volatility of 4.55%. This indicates that ^TNX 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
| ^TNX | ^FVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.57% | 4.55% | -0.98% |
Volatility (6M)Calculated over the trailing 6-month period | 10.72% | 13.26% | -2.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.13% | 18.35% | -3.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.21% | 38.00% | -5.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.88% | 58.42% | -10.54% |
Frequently Asked Questions
With a correlation of 0.95, ^TNX and ^FVX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^FVX has higher volatility (4.55%) compared to ^TNX (3.57%). In terms of maximum drawdown, ^TNX dropped -96.85% vs ^FVX's -98.80%.
^FVX currently has the higher Sharpe Ratio (0.54 vs 0.27), 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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