^TNX vs. ^TYX
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) and Treasury Yield 30 Years (^TYX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TNX or ^TYX.
Key characteristics
| ^TNX | ^TYX | |
|---|---|---|
| YTD Return | 8.17% | 11.64% |
| 1Y Return | -15.07% | -11.83% |
| 3Y Return (Ann) | 36.49% | 28.47% |
| 5Y Return (Ann) | 18.99% | 14.55% |
| 10Y Return (Ann) | 6.31% | 3.84% |
| Sharpe Ratio | -0.68 | -0.50 |
| Sortino Ratio | -0.89 | -0.60 |
| Omega Ratio | 0.91 | 0.94 |
| Calmar Ratio | -0.29 | -0.19 |
| Martin Ratio | -1.00 | -0.74 |
| Ulcer Index | 16.10% | 13.63% |
| Daily Std Dev | 23.77% | 20.37% |
| Max Drawdown | -93.78% | -88.52% |
| Current Drawdown | -47.87% | -45.01% |
Correlation
The correlation between ^TNX and ^TYX is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
^TNX vs. ^TYX - Performance Comparison
In the year-to-date period, ^TNX achieves a 8.17% return, which is significantly lower than ^TYX's 11.64% return. Over the past 10 years, ^TNX has outperformed ^TYX with an annualized return of 6.31%, while ^TYX has yielded a comparatively lower 3.84% 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. ^TYX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and Treasury Yield 30 Years (^TYX). 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. ^TYX - Drawdown Comparison
The maximum ^TNX drawdown since its inception was -93.78%, which is greater than ^TYX's maximum drawdown of -88.52%. Use the drawdown chart below to compare losses from any high point for ^TNX and ^TYX. For additional features, visit the drawdowns tool.
Volatility
^TNX vs. ^TYX - Volatility Comparison
Treasury Yield 10 Years (^TNX) has a higher volatility of 5.90% compared to Treasury Yield 30 Years (^TYX) at 5.04%. This indicates that ^TNX's price experiences larger fluctuations and is considered to be riskier than ^TYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.