^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.
Key characteristics
| ^TNX | SPY | |
|---|---|---|
| YTD Return | 8.17% | 24.15% |
| 1Y Return | -15.07% | 38.94% |
| 3Y Return (Ann) | 36.49% | 10.71% |
| 5Y Return (Ann) | 18.99% | 16.24% |
| 10Y Return (Ann) | 6.31% | 13.67% |
| Sharpe Ratio | -0.68 | 3.06 |
| Sortino Ratio | -0.89 | 4.07 |
| Omega Ratio | 0.91 | 1.56 |
| Calmar Ratio | -0.29 | 3.23 |
| Martin Ratio | -1.00 | 20.13 |
| Ulcer Index | 16.10% | 1.87% |
| Daily Std Dev | 23.77% | 12.32% |
| Max Drawdown | -93.78% | -55.19% |
| Current Drawdown | -47.87% | 0.00% |
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.
Performance
^TNX vs. SPY - Performance Comparison
In the year-to-date period, ^TNX achieves a 8.17% return, which is significantly lower than SPY's 24.15% return. Over the past 10 years, ^TNX has underperformed SPY with an annualized return of 6.31%, while SPY has yielded a comparatively higher 13.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 5.90% compared to SPDR S&P 500 ETF (SPY) at 2.51%. 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.