^TNX vs. SPY
^TNX (Cboe 10-Year Treasury Note Yield Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^TNX returned 11.02%/yr vs 15.53%/yr for SPY. At a 0.16 correlation, their price movements are largely independent.
Performance
^TNX vs. SPY - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with ^TNX having a 7.93% return and SPY slightly higher at 8.15%. Over the past 10 years, ^TNX has underperformed SPY with an annualized return of 11.02%, while SPY has yielded a comparatively higher 15.53% annualized return.
^TNX
- 1D
- 0.94%
- 1M
- -1.43%
- YTD
- 7.93%
- 6M
- 7.77%
- 1Y
- 4.00%
- 3Y*
- 6.31%
- 5Y*
- 24.75%
- 10Y*
- 11.02%
SPY
- 1D
- -1.45%
- 1M
- -1.36%
- YTD
- 8.15%
- 6M
- 7.20%
- 1Y
- 23.59%
- 3Y*
- 20.68%
- 5Y*
- 13.05%
- 10Y*
- 15.53%
^TNX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^TNX Cboe 10-Year Treasury Note Yield Index | 7.93% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
SPY State Street SPDR S&P 500 ETF | 8.15% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ^TNX and SPY is -0.25, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993 | 0.16 |
The correlation between ^TNX and SPY shifts across timeframes, from -0.25 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^TNX vs. SPY — Risk / Return Rank
^TNX
SPY
^TNX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe 10-Year Treasury Note Yield Index (^TNX) and State Street 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.
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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.63 | ||
| Sortino ratioReturn per unit of downside risk | -2.10 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.34 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | 2.67 | -2.33 |
| Martin ratioReturn relative to average drawdown | 0.61 | 11.92 | -11.31 |
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Drawdowns
^TNX vs. SPY - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -96.85%, 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.
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Drawdown Indicators
| ^TNX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.85% | -55.19% | -41.66% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -8.88% | -3.06% |
Max Drawdown (3Y)Largest decline over 3 years | -27.41% | -18.76% | -8.65% |
Max Drawdown (5Y)Largest decline over 5 years | -27.41% | -24.50% | -2.91% |
Max Drawdown (10Y)Largest decline over 10 years | -84.57% | -33.72% | -50.85% |
Current DrawdownCurrent decline from peak | -71.64% | -3.17% | -68.47% |
Average DrawdownAverage peak-to-trough decline | -55.01% | -9.04% | -45.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.58% | 1.98% | +4.60% |
Volatility
^TNX vs. SPY - Volatility Comparison
The current volatility for Cboe 10-Year Treasury Note Yield Index (^TNX) is 3.57%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that ^TNX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^TNX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.57% | 4.87% | -1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 10.72% | 9.85% | +0.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.13% | 12.50% | +2.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.21% | 17.15% | +15.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.88% | 17.95% | +29.93% |
Frequently Asked Questions
^TNX and SPY have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.87%) compared to ^TNX (3.57%). In terms of maximum drawdown, ^TNX dropped -96.85% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.90 vs 0.27), 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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