^TNX vs. SPY
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or SPY.
Performance
^TNX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ^TNX achieves a 14.64% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, ^TNX has underperformed SPY with an annualized return of 6.76%, while SPY has yielded a comparatively higher 13.10% annualized return.
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| ^TNX | SPY | |
|---|---|---|
| Sharpe Ratio | 0.01 | 2.70 |
| Sortino Ratio | 0.19 | 3.60 |
| Omega Ratio | 1.02 | 1.50 |
| Calmar Ratio | 0.01 | 3.90 |
| Martin Ratio | 0.03 | 17.52 |
| Ulcer Index | 11.03% | 1.87% |
| Daily Std Dev | 22.96% | 12.14% |
| Max Drawdown | -93.78% | -55.19% |
| Current Drawdown | -44.76% | -0.85% |
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Correlation
The correlation between ^TNX and SPY is 0.18, 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^TNX and SPY. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. SPY - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.75% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.