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^TYX vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^TYX and ^TNX is 0.16, 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

^TYX vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 30 Years (^TYX) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^TYX:

0.43

^TNX:

0.10

Sortino Ratio

^TYX:

0.54

^TNX:

0.12

Omega Ratio

^TYX:

1.06

^TNX:

1.01

Calmar Ratio

^TYX:

0.10

^TNX:

-0.01

Martin Ratio

^TYX:

0.67

^TNX:

-0.05

Ulcer Index

^TYX:

7.81%

^TNX:

10.62%

Daily Std Dev

^TYX:

19.00%

^TNX:

22.10%

Max Drawdown

^TYX:

-88.52%

^TNX:

-93.78%

Current Drawdown

^TYX:

-39.96%

^TNX:

-44.47%

Returns By Period

In the year-to-date period, ^TYX achieves a 2.36% return, which is significantly higher than ^TNX's -2.58% return. Over the past 10 years, ^TYX has underperformed ^TNX with an annualized return of 4.77%, while ^TNX has yielded a comparatively higher 7.04% annualized return.


^TYX

YTD

2.36%

1M

3.20%

6M

6.48%

1Y

8.43%

5Y*

29.32%

10Y*

4.77%

^TNX

YTD

-2.58%

1M

4.11%

6M

0.61%

1Y

1.78%

5Y*

47.59%

10Y*

7.04%

*Annualized

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Risk-Adjusted Performance

^TYX vs. ^TNX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^TYX
The Risk-Adjusted Performance Rank of ^TYX is 3434
Overall Rank
The Sharpe Ratio Rank of ^TYX is 4848
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TYX is 3333
Sortino Ratio Rank
The Omega Ratio Rank of ^TYX is 3030
Omega Ratio Rank
The Calmar Ratio Rank of ^TYX is 2828
Calmar Ratio Rank
The Martin Ratio Rank of ^TYX is 3030
Martin Ratio Rank

^TNX
The Risk-Adjusted Performance Rank of ^TNX is 2424
Overall Rank
The Sharpe Ratio Rank of ^TNX is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TNX is 2222
Sortino Ratio Rank
The Omega Ratio Rank of ^TNX is 2222
Omega Ratio Rank
The Calmar Ratio Rank of ^TNX is 2323
Calmar Ratio Rank
The Martin Ratio Rank of ^TNX is 2323
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^TYX vs. ^TNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and Treasury Yield 10 Years (^TNX). 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.


The current ^TYX Sharpe Ratio is 0.43, which is higher than the ^TNX Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of ^TYX and ^TNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^TYX vs. ^TNX - Drawdown Comparison

The maximum ^TYX drawdown since its inception was -88.52%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ^TYX and ^TNX. For additional features, visit the drawdowns tool.


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Volatility

^TYX vs. ^TNX - Volatility Comparison

The current volatility for Treasury Yield 30 Years (^TYX) is 4.59%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.80%. This indicates that ^TYX experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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