GWO.TO vs. ^TNX
Compare and contrast key facts about Great-West Lifeco Inc. (GWO.TO) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GWO.TO or ^TNX.
Key characteristics
| GWO.TO | ^TNX | |
|---|---|---|
| YTD Return | 14.54% | 15.13% |
| 1Y Return | 21.32% | 0.23% |
| 3Y Return (Ann) | 14.12% | 41.37% |
| 5Y Return (Ann) | 13.91% | 19.49% |
| 10Y Return (Ann) | 9.16% | 6.75% |
| Sharpe Ratio | 1.67 | -0.17 |
| Sortino Ratio | 2.34 | -0.08 |
| Omega Ratio | 1.30 | 0.99 |
| Calmar Ratio | 2.10 | -0.07 |
| Martin Ratio | 4.79 | -0.35 |
| Ulcer Index | 5.00% | 11.31% |
| Daily Std Dev | 14.36% | 23.47% |
| Max Drawdown | -67.52% | -93.78% |
| Current Drawdown | -1.59% | -44.52% |
Correlation
The correlation between GWO.TO and ^TNX 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.
Performance
GWO.TO vs. ^TNX - Performance Comparison
The year-to-date returns for both investments are quite close, with GWO.TO having a 14.54% return and ^TNX slightly higher at 15.13%. Over the past 10 years, GWO.TO has outperformed ^TNX with an annualized return of 9.16%, while ^TNX has yielded a comparatively lower 6.75% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
GWO.TO vs. ^TNX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Great-West Lifeco Inc. (GWO.TO) 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.
Drawdowns
GWO.TO vs. ^TNX - Drawdown Comparison
The maximum GWO.TO drawdown since its inception was -67.52%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for GWO.TO and ^TNX. For additional features, visit the drawdowns tool.
Volatility
GWO.TO vs. ^TNX - Volatility Comparison
The current volatility for Great-West Lifeco Inc. (GWO.TO) is 4.93%, while Treasury Yield 10 Years (^TNX) has a volatility of 6.35%. This indicates that GWO.TO 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.