^TNX vs. ^GSPC
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or ^GSPC.
Performance
^TNX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ^TNX achieves a 14.64% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, ^TNX has underperformed ^GSPC with an annualized return of 6.76%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| ^TNX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.01 | 2.54 |
| Sortino Ratio | 0.19 | 3.40 |
| Omega Ratio | 1.02 | 1.47 |
| Calmar Ratio | 0.01 | 3.66 |
| Martin Ratio | 0.03 | 16.26 |
| Ulcer Index | 11.03% | 1.91% |
| Daily Std Dev | 22.96% | 12.23% |
| Max Drawdown | -93.78% | -56.78% |
| Current Drawdown | -44.76% | -0.88% |
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Correlation
The correlation between ^TNX and ^GSPC 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.
Risk-Adjusted Performance
^TNX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and S&P 500 (^GSPC). 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. ^GSPC - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^TNX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. ^GSPC - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.75% compared to S&P 500 (^GSPC) at 3.96%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.