^TNX vs. RYLD
^TNX (Cboe 10-Year Treasury Note Yield Index) is an index, while RYLD (Global X Russell 2000 Covered Call ETF) is Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index. Over the past 5 years, ^TNX returned 30.81%/yr vs 3.15%/yr for RYLD. Their 0.09 correlation means their historical movements had little consistent relationship.
Performance
^TNX vs. RYLD - Performance Comparison
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Returns By Period
In the year-to-date period, ^TNX achieves a 13.98% return, which is significantly higher than RYLD's 12.29% return.
^TNX
- 1D
- 1.76%
- 1M
- 5.80%
- 6M
- 11.88%
- YTD
- 13.98%
- 1Y
- 12.44%
- 3Y*
- 5.41%
- 5Y*
- 30.81%
- 10Y*
- 11.93%
- ALL TIME*
- -0.89%
RYLD
- 1D
- -0.19%
- 1M
- 1.19%
- 6M
- 10.16%
- YTD
- 12.29%
- 1Y
- 24.93%
- 3Y*
- 8.04%
- 5Y*
- 3.15%
- 10Y*
- —
- ALL TIME*
- 5.81%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $10.07M | $9.36M | $9.08M |
^TNX vs. RYLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
^TNX Cboe 10-Year Treasury Note Yield Index | 13.98% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -25.04% |
RYLD Global X Russell 2000 Covered Call ETF | 12.29% | 5.65% | 10.13% | 0.27% | -13.03% | 22.13% | -0.44% | 8.86% |
Correlation
The correlation between ^TNX and RYLD is -0.23, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.23 |
Correlation (3Y) Balances recent behavior with more history. | -0.13 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.05 |
Correlation (All Time) Calculated using the full available price history since Apr 22, 2019 | 0.09 |
The correlation between ^TNX and RYLD shifts across timeframes, from -0.23 (1 year) to 0.09 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^TNX vs. RYLD — Risk / Return Rank
^TNX
RYLD
^TNX vs. RYLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe 10-Year Treasury Note Yield Index (^TNX) and Global X Russell 2000 Covered Call ETF (RYLD). 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 | RYLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.57 | ||
| Sortino ratioReturn per unit of downside risk | -2.13 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.45 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | 0.99 | 3.67 | -2.68 |
| Martin ratioReturn relative to average drawdown | 2.04 | 15.02 | -12.98 |
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Drawdowns
^TNX vs. RYLD - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -96.85%, which is greater than RYLD's maximum drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for ^TNX and RYLD.
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Drawdown Indicators
| ^TNX | RYLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -41.53% | -55.32% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -6.29% | -2.65% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -19.05% | -8.36% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -21.33% | -6.08% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | — | — |
Current DrawdownCurrent decline from peak | -70.04% | -0.37% | -69.67% |
Average DrawdownAverage peak-to-trough decline | -55.04% | -8.65% | -46.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.64% | 1.54% | +3.10% |
Volatility
^TNX vs. RYLD - Volatility Comparison
Cboe 10-Year Treasury Note Yield Index (^TNX) has a higher volatility of 3.64% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.07%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than RYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^TNX | RYLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.64% | 2.07% | +1.57% |
Volatility (6M)Calculated over the trailing 6-month period | 11.05% | 7.73% | +3.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.89% | 10.67% | +4.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.23% | 13.97% | +17.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.62% | 17.04% | +30.58% |
Frequently Asked Questions
^TNX and RYLD have a correlation of -0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (3.64%) compared to RYLD (2.07%). In terms of maximum drawdown, ^TNX dropped -96.85% vs RYLD's -41.53%.
RYLD currently has the higher Sharpe Ratio (2.17 vs 0.60), 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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