^TNX vs. RYLD
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and Global X Russell 2000 Covered Call ETF (RYLD).
RYLD is a passively managed fund by Global X that tracks the performance of the CBOE Russell 2000 BuyWrite Index. It was launched on Apr 17, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or RYLD.
Performance
^TNX vs. RYLD - Performance Comparison
Returns By Period
In the year-to-date period, ^TNX achieves a 14.64% return, which is significantly higher than RYLD's 10.29% return.
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
RYLD
10.29%
3.33%
8.79%
13.01%
3.58%
N/A
Key characteristics
| ^TNX | RYLD | |
|---|---|---|
| Sharpe Ratio | 0.01 | 1.31 |
| Sortino Ratio | 0.19 | 1.89 |
| Omega Ratio | 1.02 | 1.26 |
| Calmar Ratio | 0.01 | 0.75 |
| Martin Ratio | 0.03 | 7.85 |
| Ulcer Index | 11.03% | 1.70% |
| Daily Std Dev | 22.96% | 10.18% |
| Max Drawdown | -93.78% | -41.52% |
| Current Drawdown | -44.76% | -6.54% |
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Correlation
The correlation between ^TNX and RYLD is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
^TNX vs. RYLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^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.
Drawdowns
^TNX vs. RYLD - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than RYLD's maximum drawdown of -41.52%. Use the drawdown chart below to compare losses from any high point for ^TNX and RYLD. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. RYLD - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.75% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 3.68%. 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.