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^TYX vs. MSCI
Performance
Return for Risk
Drawdowns
Volatility

Performance

^TYX vs. MSCI - Performance Comparison

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

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Returns By Period

In the year-to-date period, ^TYX achieves a 2.62% return, which is significantly lower than MSCI's 10.69% return. Over the past 10 years, ^TYX has underperformed MSCI with an annualized return of 7.03%, while MSCI has yielded a comparatively higher 24.75% annualized return.


^TYX

1D
-0.48%
1M
0.02%
YTD
2.62%
6M
4.77%
1Y
-0.56%
3Y*
8.56%
5Y*
16.70%
10Y*
7.03%

MSCI

1D
-2.11%
1M
7.42%
YTD
10.69%
6M
16.03%
1Y
13.27%
3Y*
10.96%
5Y*
7.59%
10Y*
24.75%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^TYX vs. MSCI - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^TYX
Treasury Yield 30 Years
2.62%1.13%19.08%1.11%108.66%15.74%-31.10%-20.89%10.26%-10.58%
MSCI
MSCI Inc.
10.69%-3.17%7.31%22.90%-23.34%38.14%74.38%77.19%17.95%62.63%

Correlation

The correlation between ^TYX and MSCI is -0.13, 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

-0.13

Correlation (3Y)
Calculated over the trailing 3-year period

-0.16

Correlation (5Y)
Calculated over the trailing 5-year period

-0.11

Correlation (10Y)
Calculated over the trailing 10-year period

-0.01

Correlation (All Time)
Calculated using the full available price history since Nov 16, 2007

0.12

The correlation between ^TYX and MSCI shifts across timeframes, from -0.16 (3 years) to 0.12 (all time), reflecting how their relationship changes across market environments.

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Return for Risk

^TYX vs. MSCI — Risk / Return Rank

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

^TYX
^TYX Risk / Return Rank: 1111
Overall Rank
^TYX Sharpe Ratio Rank: 99
Sharpe Ratio Rank
^TYX Sortino Ratio Rank: 88
Sortino Ratio Rank
^TYX Omega Ratio Rank: 88
Omega Ratio Rank
^TYX Calmar Ratio Rank: 1414
Calmar Ratio Rank
^TYX Martin Ratio Rank: 1414
Martin Ratio Rank

MSCI
MSCI Risk / Return Rank: 5454
Overall Rank
MSCI Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
MSCI Sortino Ratio Rank: 4949
Sortino Ratio Rank
MSCI Omega Ratio Rank: 5050
Omega Ratio Rank
MSCI Calmar Ratio Rank: 5656
Calmar Ratio Rank
MSCI Martin Ratio Rank: 5959
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^TYX vs. MSCI - Risk-Adjusted Trends 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.


^TYXMSCIDifference

Sharpe ratio

Return per unit of total volatility

-0.04

0.47

-0.51

Sortino ratio

Return per unit of downside risk

0.02

0.83

-0.81

Omega ratio

Gain probability vs. loss probability

1.00

1.11

-0.11

Calmar ratio

Return relative to maximum drawdown

0.11

0.74

-0.63

Martin ratio

Return relative to average drawdown

0.24

1.94

-1.70

^TYX vs. MSCI - Sharpe Ratio Comparison

The current ^TYX Sharpe Ratio is -0.04, which is lower than the MSCI Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of ^TYX and MSCI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


^TYXMSCIDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.04

0.47

-0.51

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.65

0.25

+0.40

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.21

0.80

-0.59

Sharpe Ratio (All Time)

Calculated using the full available price history

-0.02

0.56

-0.58

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.


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Drawdown Indicators


^TYXMSCIDifference

Max Drawdown

Largest peak-to-trough decline

-88.52%

-69.06%

-19.46%

Max Drawdown (1Y)

Largest decline over 1 year

-9.55%

-18.07%

+8.52%

Max Drawdown (3Y)

Largest decline over 3 years

-22.85%

-25.99%

+3.14%

Max Drawdown (5Y)

Largest decline over 5 years

-25.46%

-43.74%

+18.28%

Max Drawdown (10Y)

Largest decline over 10 years

-72.86%

-43.74%

-29.12%

Current Drawdown

Current decline from peak

-39.12%

-2.11%

-37.01%

Average Drawdown

Average peak-to-trough decline

-45.96%

-13.09%

-32.87%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.46%

6.87%

-2.41%

Volatility

^TYX vs. MSCI - Volatility Comparison

The current volatility for Treasury Yield 30 Years (^TYX) is 3.73%, while MSCI Inc. (MSCI) has a volatility of 7.42%. 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.


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Volatility by Period


^TYXMSCIDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.73%

7.42%

-3.69%

Volatility (6M)

Calculated over the trailing 6-month period

7.98%

20.60%

-12.62%

Volatility (1Y)

Calculated over the trailing 1-year period

12.22%

28.45%

-16.23%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

25.08%

30.70%

-5.62%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

33.12%

31.17%

+1.95%

Frequently Asked Questions


^TYX and MSCI have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

MSCI has higher volatility (7.42%) compared to ^TYX (3.73%). In terms of maximum drawdown, ^TYX dropped -88.52% vs MSCI's -69.06%.

MSCI currently has the higher Sharpe Ratio (0.47 vs -0.04), 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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