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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 3.10% return, which is significantly lower than MSCI's 7.76% return. Over the past 10 years, ^TYX has underperformed MSCI with an annualized return of 7.08%, while MSCI has yielded a comparatively higher 24.41% annualized return.


^TYX

1D
0.46%
1M
-0.70%
YTD
3.10%
6M
5.61%
1Y
0.14%
3Y*
8.73%
5Y*
17.38%
10Y*
7.08%

MSCI

1D
-2.65%
1M
5.76%
YTD
7.76%
6M
13.32%
1Y
9.84%
3Y*
9.97%
5Y*
6.82%
10Y*
24.41%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^TYX vs. MSCI - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^TYX
Treasury Yield 30 Years
3.10%1.13%19.08%1.11%108.66%15.74%-31.10%-20.89%10.26%-10.58%
MSCI
MSCI Inc.
7.76%-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: 1111
Sharpe Ratio Rank
^TYX Sortino Ratio Rank: 1010
Sortino Ratio Rank
^TYX Omega Ratio Rank: 1010
Omega Ratio Rank
^TYX Calmar Ratio Rank: 1212
Calmar Ratio Rank
^TYX Martin Ratio Rank: 1212
Martin Ratio Rank

MSCI
MSCI Risk / Return Rank: 5050
Overall Rank
MSCI Sharpe Ratio Rank: 5252
Sharpe Ratio Rank
MSCI Sortino Ratio Rank: 4646
Sortino Ratio Rank
MSCI Omega Ratio Rank: 4646
Omega Ratio Rank
MSCI Calmar Ratio Rank: 5353
Calmar Ratio Rank
MSCI Martin Ratio Rank: 5555
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

0.01

0.35

-0.33

Sortino ratio

Return per unit of downside risk

0.10

0.67

-0.57

Omega ratio

Gain probability vs. loss probability

1.01

1.09

-0.08

Calmar ratio

Return relative to maximum drawdown

0.01

0.55

-0.53

Martin ratio

Return relative to average drawdown

0.03

1.43

-1.40

^TYX vs. MSCI - Sharpe Ratio Comparison

The current ^TYX Sharpe Ratio is 0.01, which is lower than the MSCI Sharpe Ratio of 0.35. 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

0.01

0.35

-0.33

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.68

0.22

+0.45

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.21

0.79

-0.58

Sharpe Ratio (All Time)

Calculated using the full available price history

-0.02

0.55

-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

-38.84%

-4.70%

-34.14%

Average Drawdown

Average peak-to-trough decline

-45.96%

-13.09%

-32.87%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.44%

6.88%

-2.44%

Volatility

^TYX vs. MSCI - Volatility Comparison

The current volatility for Treasury Yield 30 Years (^TYX) is 3.67%, while MSCI Inc. (MSCI) has a volatility of 7.89%. 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

3.67%

7.89%

-4.22%

Volatility (6M)

Calculated over the trailing 6-month period

7.99%

20.78%

-12.79%

Volatility (1Y)

Calculated over the trailing 1-year period

12.15%

28.58%

-16.43%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

25.08%

30.72%

-5.64%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

33.11%

31.17%

+1.94%

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 (7.89%) compared to ^TYX (3.67%). In terms of maximum drawdown, ^TYX dropped -88.52% vs MSCI's -69.06%.

MSCI currently has the higher Sharpe Ratio (0.35 vs 0.01), 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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