^TNX vs. SGOV
^TNX (Cboe 10-Year Treasury Note Yield Index) is an index, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, ^TNX returned 25.14%/yr vs 3.56%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions.
Performance
^TNX vs. SGOV - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, ^TNX achieves a 7.78% return, which is significantly higher than SGOV's 1.61% return.
^TNX
- 1D
- 0.54%
- 1M
- 0.58%
- YTD
- 7.78%
- 6M
- 6.99%
- 1Y
- 1.42%
- 3Y*
- 5.34%
- 5Y*
- 25.14%
- 10Y*
- 10.79%
SGOV
- 1D
- 0.02%
- 1M
- 0.29%
- YTD
- 1.61%
- 6M
- 1.78%
- 1Y
- 3.91%
- 3Y*
- 4.71%
- 5Y*
- 3.56%
- 10Y*
- —
^TNX vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
^TNX Cboe 10-Year Treasury Note Yield Index | 7.78% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | 34.85% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.61% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between ^TNX and SGOV is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.02 |
The correlation between ^TNX and SGOV shifts across timeframes, from -0.02 (all time) to 0.14 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
^TNX vs. SGOV — Risk / Return Rank
^TNX
SGOV
^TNX vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe 10-Year Treasury Note Yield Index (^TNX) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -20.08 | ||
| Sortino ratioReturn per unit of downside risk | -275.30 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 195.55 | -194.51 |
| Calmar ratioReturn relative to maximum drawdown | 0.25 | 398.20 | -397.95 |
| Martin ratioReturn relative to average drawdown | 0.45 | 4,461.98 | -4,461.52 |
Loading charts...
Drawdowns
^TNX vs. SGOV - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -96.85%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ^TNX and SGOV.
Loading charts...
Drawdown Indicators
| ^TNX | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -0.03% | -96.82% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -0.01% | -11.93% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -0.01% | -27.40% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -0.03% | -27.38% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | — | — |
Current DrawdownCurrent decline from peak | -71.67% | 0.00% | -71.67% |
Average DrawdownAverage peak-to-trough decline | -55.00% | -0.00% | -55.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.59% | 0.00% | +6.59% |
Volatility
^TNX vs. SGOV - Volatility Comparison
Cboe 10-Year Treasury Note Yield Index (^TNX) has a higher volatility of 5.04% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ^TNX | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.04% | 0.05% | +4.99% |
Volatility (6M)Calculated over the trailing 6-month period | 10.72% | 0.13% | +10.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.22% | 0.20% | +15.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.36% | 0.24% | +32.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.97% | 0.24% | +47.73% |
Frequently Asked Questions
^TNX and SGOV have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (5.04%) compared to SGOV (0.05%). In terms of maximum drawdown, ^TNX dropped -96.85% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.28 vs 0.20), 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.
Find the right allocation for ^TNX and SGOV
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer