PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^TYX vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^TYX and VOO is 0.26, 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.


-0.50.00.51.00.3

Performance

^TYX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 30 Years (^TYX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
22.65%
602.93%
^TYX
VOO

Key characteristics

Sharpe Ratio

^TYX:

0.95

VOO:

2.25

Sortino Ratio

^TYX:

1.52

VOO:

2.98

Omega Ratio

^TYX:

1.16

VOO:

1.42

Calmar Ratio

^TYX:

0.35

VOO:

3.31

Martin Ratio

^TYX:

2.24

VOO:

14.77

Ulcer Index

^TYX:

8.14%

VOO:

1.90%

Daily Std Dev

^TYX:

19.32%

VOO:

12.46%

Max Drawdown

^TYX:

-88.52%

VOO:

-33.99%

Current Drawdown

^TYX:

-42.20%

VOO:

-2.47%

Returns By Period

In the year-to-date period, ^TYX achieves a 17.34% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, ^TYX has underperformed VOO with an annualized return of 5.03%, while VOO has yielded a comparatively higher 13.08% annualized return.


^TYX

YTD

17.34%

1M

2.70%

6M

7.23%

1Y

16.85%

5Y*

14.71%

10Y*

5.03%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^TYX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for ^TYX, currently valued at 0.95, compared to the broader market0.001.002.000.952.07
The chart of Sortino ratio for ^TYX, currently valued at 1.52, compared to the broader market-1.000.001.002.003.001.522.77
The chart of Omega ratio for ^TYX, currently valued at 1.16, compared to the broader market0.901.001.101.201.301.401.161.39
The chart of Calmar ratio for ^TYX, currently valued at 0.80, compared to the broader market0.001.002.003.000.803.04
The chart of Martin ratio for ^TYX, currently valued at 2.24, compared to the broader market0.005.0010.0015.0020.002.2413.58
^TYX
VOO

The current ^TYX Sharpe Ratio is 0.95, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ^TYX and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.95
2.07
^TYX
VOO

Drawdowns

^TYX vs. VOO - Drawdown Comparison

The maximum ^TYX drawdown since its inception was -88.52%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^TYX and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.58%
-2.47%
^TYX
VOO

Volatility

^TYX vs. VOO - Volatility Comparison

Treasury Yield 30 Years (^TYX) has a higher volatility of 5.82% compared to Vanguard S&P 500 ETF (VOO) at 3.71%. This indicates that ^TYX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.82%
3.71%
^TYX
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab