SPY vs. ^TNX
SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index, while ^TNX (Cboe 10-Year Treasury Note Yield Index) is an index. Over the past 10 years, SPY returned 15.42%/yr vs 10.79%/yr for ^TNX. At a 0.16 correlation, their price movements are largely independent.
Performance
SPY vs. ^TNX - Performance Comparison
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Returns By Period
In the year-to-date period, SPY achieves a 9.07% return, which is significantly higher than ^TNX's 7.78% return. Over the past 10 years, SPY has outperformed ^TNX with an annualized return of 15.42%, while ^TNX has yielded a comparatively lower 10.79% annualized return.
SPY
- 1D
- 0.54%
- 1M
- -0.86%
- YTD
- 9.07%
- 6M
- 9.42%
- 1Y
- 25.67%
- 3Y*
- 20.86%
- 5Y*
- 13.36%
- 10Y*
- 15.42%
^TNX
- 1D
- 0.54%
- 1M
- 0.58%
- YTD
- 7.78%
- 6M
- 6.99%
- 1Y
- 1.42%
- 3Y*
- 5.34%
- 5Y*
- 25.14%
- 10Y*
- 10.79%
SPY vs. ^TNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 9.07% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
^TNX Cboe 10-Year Treasury Note Yield Index | 7.78% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
Correlation
The correlation between SPY and ^TNX is -0.24, 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 | -0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993 | 0.16 |
The correlation between SPY and ^TNX shifts across timeframes, from -0.24 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SPY vs. ^TNX — Risk / Return Rank
SPY
^TNX
SPY vs. ^TNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) and Cboe 10-Year Treasury Note Yield Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SPY | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.79 | ||
| Sortino ratioReturn per unit of downside risk | +2.30 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.04 | +0.32 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 0.25 | +2.49 |
| Martin ratioReturn relative to average drawdown | 12.39 | 0.45 | +11.94 |
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Drawdowns
SPY vs. ^TNX - Drawdown Comparison
The maximum SPY drawdown since its inception was -55.19%, smaller than the maximum ^TNX drawdown of -96.85%. Use the drawdown chart below to compare losses from any high point for SPY and ^TNX.
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Drawdown Indicators
| SPY | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.19% | -96.85% | +41.66% |
Max Drawdown (1Y)Largest decline over 1 year | -8.88% | -11.94% | +3.06% |
Max Drawdown (3Y)Largest decline over 3 years | -18.76% | -27.41% | +8.65% |
Max Drawdown (5Y)Largest decline over 5 years | -24.50% | -27.41% | +2.91% |
Max Drawdown (10Y)Largest decline over 10 years | -33.72% | -84.57% | +50.85% |
Current DrawdownCurrent decline from peak | -2.35% | -71.67% | +69.32% |
Average DrawdownAverage peak-to-trough decline | -9.04% | -55.00% | +45.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 6.59% | -4.62% |
Volatility
SPY vs. ^TNX - Volatility Comparison
The current volatility for State Street SPDR S&P 500 ETF (SPY) is 4.34%, while Cboe 10-Year Treasury Note Yield Index (^TNX) has a volatility of 5.04%. This indicates that SPY 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.
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Volatility by Period
| SPY | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 5.04% | -0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 9.58% | 10.72% | -1.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.29% | 15.22% | -2.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.12% | 32.36% | -15.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.96% | 47.97% | -30.01% |
Frequently Asked Questions
SPY and ^TNX have a correlation of -0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^TNX has higher volatility (5.04%) compared to SPY (4.34%). In terms of maximum drawdown, SPY dropped -55.19% vs ^TNX's -96.85%.
SPY currently has the higher Sharpe Ratio (1.98 vs 0.20), 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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