^TNX vs. SPY
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or SPY.
Key characteristics
^TNX | SPY | |
---|---|---|
YTD Return | 5.35% | 24.15% |
1Y Return | -18.34% | 38.94% |
3Y Return (Ann) | 35.72% | 10.71% |
5Y Return (Ann) | 18.49% | 16.24% |
10Y Return (Ann) | 6.33% | 13.67% |
Sharpe Ratio | -0.72 | 3.06 |
Sortino Ratio | -0.94 | 4.07 |
Omega Ratio | 0.90 | 1.56 |
Calmar Ratio | -0.31 | 3.23 |
Martin Ratio | -1.02 | 20.13 |
Ulcer Index | 16.61% | 1.87% |
Daily Std Dev | 23.66% | 12.32% |
Max Drawdown | -93.78% | -55.19% |
Current Drawdown | -49.23% | 0.00% |
Correlation
The correlation between ^TNX and SPY is 0.18, 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
^TNX vs. SPY - Performance Comparison
In the year-to-date period, ^TNX achieves a 5.35% return, which is significantly lower than SPY's 24.15% return. Over the past 10 years, ^TNX has underperformed SPY with an annualized return of 6.33%, while SPY has yielded a comparatively higher 13.67% 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
^TNX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and SPDR S&P 500 ETF (SPY). 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
^TNX vs. SPY - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^TNX and SPY. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. SPY - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.53% compared to SPDR S&P 500 ETF (SPY) at 2.52%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.