^TYX vs. MSCI
Compare and contrast key facts about Treasury Yield 30 Years (^TYX) and MSCI Inc. (MSCI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TYX or MSCI.
Performance
^TYX vs. MSCI - Performance Comparison
Returns By Period
In the year-to-date period, ^TYX achieves a 14.33% return, which is significantly higher than MSCI's 3.97% return. Over the past 10 years, ^TYX has underperformed MSCI with an annualized return of 4.36%, while MSCI has yielded a comparatively higher 29.55% annualized return.
^TYX
14.33%
1.75%
0.48%
1.06%
15.34%
4.36%
MSCI
3.97%
-3.51%
19.20%
12.24%
18.80%
29.55%
Key characteristics
| ^TYX | MSCI | |
|---|---|---|
| Sharpe Ratio | 0.16 | 0.44 |
| Sortino Ratio | 0.39 | 0.77 |
| Omega Ratio | 1.04 | 1.11 |
| Calmar Ratio | 0.06 | 0.37 |
| Martin Ratio | 0.38 | 1.10 |
| Ulcer Index | 8.47% | 10.98% |
| Daily Std Dev | 19.80% | 27.60% |
| Max Drawdown | -88.52% | -69.06% |
| Current Drawdown | -43.68% | -11.10% |
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Correlation
The correlation between ^TYX and MSCI is 0.14, 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
^TYX vs. MSCI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and MSCI Inc. (MSCI). 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
^TYX vs. MSCI - Drawdown Comparison
The maximum ^TYX drawdown since its inception was -88.52%, which is greater than MSCI's maximum drawdown of -69.06%. Use the drawdown chart below to compare losses from any high point for ^TYX and MSCI. For additional features, visit the drawdowns tool.
Volatility
^TYX vs. MSCI - Volatility Comparison
The current volatility for Treasury Yield 30 Years (^TYX) is 5.91%, while MSCI Inc. (MSCI) has a volatility of 6.95%. This indicates that ^TYX experiences smaller price fluctuations and is considered to be less risky than MSCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.