^TNX vs. FRI
^TNX (Cboe 10-Year Treasury Note Yield Index) is an index, while FRI (First Trust S&P REIT Index Fund) is REIT fund tracking the S&P United States REIT. Over the past 10 years, ^TNX returned 11.58%/yr vs 5.92%/yr for FRI. At a 0.06 correlation, their price movements are largely independent.
Performance
^TNX vs. FRI - Performance Comparison
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Returns By Period
In the year-to-date period, ^TNX achieves a 5.02% return, which is significantly lower than FRI's 19.04% return. Over the past 10 years, ^TNX has outperformed FRI with an annualized return of 11.58%, while FRI has yielded a comparatively lower 5.92% annualized return.
^TNX
- 1D
- -1.77%
- 1M
- -1.86%
- YTD
- 5.02%
- 6M
- 5.71%
- 1Y
- 2.08%
- 3Y*
- 5.08%
- 5Y*
- 23.27%
- 10Y*
- 11.58%
FRI
- 1D
- 1.20%
- 1M
- 3.79%
- YTD
- 19.04%
- 6M
- 18.60%
- 1Y
- 23.11%
- 3Y*
- 12.98%
- 5Y*
- 5.46%
- 10Y*
- 5.92%
^TNX vs. FRI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^TNX Cboe 10-Year Treasury Note Yield Index | 5.02% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
FRI First Trust S&P REIT Index Fund | 19.04% | 2.80% | 7.84% | 13.33% | -24.66% | 42.55% | -7.90% | 23.67% | -4.28% | 3.86% |
Correlation
The correlation between ^TNX and FRI is -0.35, 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 | -0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.33 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.12 |
Correlation (All Time) Calculated using the full available price history since May 10, 2007 | 0.06 |
The correlation between ^TNX and FRI shifts across timeframes, from -0.35 (1 year) to 0.06 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^TNX vs. FRI — Risk / Return Rank
^TNX
FRI
^TNX vs. FRI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe 10-Year Treasury Note Yield Index (^TNX) and First Trust S&P REIT Index Fund (FRI). 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 | FRI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.57 | ||
| Sortino ratioReturn per unit of downside risk | -2.03 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.30 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.24 | 3.12 | -2.88 |
| Martin ratioReturn relative to average drawdown | 0.43 | 10.01 | -9.58 |
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Drawdowns
^TNX vs. FRI - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -96.85%, which is greater than FRI's maximum drawdown of -71.95%. Use the drawdown chart below to compare losses from any high point for ^TNX and FRI.
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Drawdown Indicators
| ^TNX | FRI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -71.95% | -24.90% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -7.57% | -4.37% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -18.90% | -8.51% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -31.21% | +3.80% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | -44.16% | -40.41% |
Current DrawdownCurrent decline from peak | -72.40% | 0.00% | -72.40% |
Average DrawdownAverage peak-to-trough decline | -55.01% | -13.66% | -41.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.59% | 2.36% | +4.23% |
Volatility
^TNX vs. FRI - Volatility Comparison
The current volatility for Cboe 10-Year Treasury Note Yield Index (^TNX) is 3.79%, while First Trust S&P REIT Index Fund (FRI) has a volatility of 5.38%. This indicates that ^TNX experiences smaller price fluctuations and is considered to be less risky than FRI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^TNX | FRI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.79% | 5.38% | -1.59% |
Volatility (6M)Calculated over the trailing 6-month period | 10.84% | 10.02% | +0.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.23% | 13.44% | +1.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.21% | 18.69% | +13.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.83% | 21.10% | +26.73% |
Frequently Asked Questions
^TNX and FRI have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FRI has higher volatility (5.38%) compared to ^TNX (3.79%). In terms of maximum drawdown, ^TNX dropped -96.85% vs FRI's -71.95%.
FRI currently has the higher Sharpe Ratio (1.76 vs 0.19), 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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