SAP.TO vs. ^TNX
SAP.TO (Saputo Inc.) is a stock, while ^TNX (Treasury Yield 10 Years) is an index. Over the past 10 years, SAP.TO returned 2.50%/yr vs 10.97%/yr for ^TNX. At a 0.04 correlation, their price movements are largely independent.
Performance
SAP.TO vs. ^TNX - Performance Comparison
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Different Trading Currencies
SAP.TO is traded in CAD, while ^TNX is traded in USD. To make them comparable, the ^TNX values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, SAP.TO achieves a 4.36% return, which is significantly lower than ^TNX's 9.25% return. Over the past 10 years, SAP.TO has underperformed ^TNX with an annualized return of 2.50%, while ^TNX has yielded a comparatively higher 10.97% annualized return.
SAP.TO
- 1D
- 1.30%
- 1M
- 4.61%
- YTD
- 4.36%
- 6M
- 9.14%
- 1Y
- 64.40%
- 3Y*
- 9.57%
- 5Y*
- 5.19%
- 10Y*
- 2.50%
^TNX
- 1D
- 1.22%
- 1M
- 3.03%
- YTD
- 9.25%
- 6M
- 10.27%
- 1Y
- 1.99%
- 3Y*
- 8.00%
- 5Y*
- 27.08%
- 10Y*
- 10.97%
SAP.TO vs. ^TNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAP.TO Saputo Inc. | 4.36% | 69.59% | -4.35% | -18.00% | 20.36% | -18.33% | -9.55% | 4.28% | -11.88% | -3.55% |
^TNX Treasury Yield 10 Years | 9.25% | -13.14% | 28.45% | -2.53% | 174.83% | 63.40% | -53.02% | -32.07% | 21.16% | -7.94% |
Correlation
The correlation between SAP.TO and ^TNX is -0.18, 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 | -0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.02 |
Correlation (All Time) Calculated using the full available price history since Jun 23, 2009 | 0.04 |
The correlation between SAP.TO and ^TNX shifts across timeframes, from -0.18 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SAP.TO vs. ^TNX — Risk / Return Rank
SAP.TO
^TNX
SAP.TO vs. ^TNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saputo Inc. (SAP.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.
| SAP.TO | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.65 | ||
| Sortino ratioReturn per unit of downside risk | +3.11 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 1.03 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 4.03 | 0.16 | +3.87 |
| Martin ratioReturn relative to average drawdown | 14.94 | 0.32 | +14.62 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SAP.TO | ^TNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.76 | 0.12 | +2.65 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.23 | 0.82 | -0.59 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.11 | 0.23 | -0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.05 | +0.44 |
Drawdowns
SAP.TO vs. ^TNX - Drawdown Comparison
The maximum SAP.TO drawdown since its inception was -44.63%, smaller than the maximum ^TNX drawdown of -83.97%. Use the drawdown chart below to compare losses from any high point for SAP.TO and ^TNX.
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Drawdown Indicators
| SAP.TO | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.63% | -83.97% | +39.34% |
Max Drawdown (1Y)Largest decline over 1 year | -16.05% | -12.47% | -3.58% |
Max Drawdown (3Y)Largest decline over 3 years | -32.20% | -28.10% | -4.10% |
Max Drawdown (5Y)Largest decline over 5 years | -35.29% | -28.10% | -7.19% |
Max Drawdown (10Y)Largest decline over 10 years | -44.63% | -83.93% | +39.30% |
Current DrawdownCurrent decline from peak | -4.77% | -9.63% | +4.86% |
Average DrawdownAverage peak-to-trough decline | -13.86% | -32.52% | +18.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.33% | 6.24% | -1.91% |
Volatility
SAP.TO vs. ^TNX - Volatility Comparison
Saputo Inc. (SAP.TO) has a higher volatility of 6.64% compared to Treasury Yield 10 Years (^TNX) at 5.28%. This indicates that SAP.TO's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SAP.TO | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.64% | 5.28% | +1.36% |
Volatility (6M)Calculated over the trailing 6-month period | 17.38% | 11.60% | +5.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.43% | 17.01% | +6.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.97% | 33.42% | -10.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.58% | 48.26% | -25.68% |
Frequently Asked Questions
SAP.TO and ^TNX have a correlation of -0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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