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^TNX vs. ^TYX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

^TNX vs. ^TYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 10 Years (^TNX) and Treasury Yield 30 Years (^TYX). The values are adjusted to include any dividend payments, if applicable.

-35.00%-30.00%-25.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-19.30%
-22.61%
^TNX
^TYX

Key characteristics

Sharpe Ratio

^TNX:

0.75

^TYX:

0.95

Sortino Ratio

^TNX:

1.25

^TYX:

1.52

Omega Ratio

^TNX:

1.14

^TYX:

1.16

Calmar Ratio

^TNX:

0.30

^TYX:

0.35

Martin Ratio

^TNX:

1.62

^TYX:

2.24

Ulcer Index

^TNX:

10.31%

^TYX:

8.14%

Daily Std Dev

^TNX:

22.26%

^TYX:

19.32%

Max Drawdown

^TNX:

-93.78%

^TYX:

-88.52%

Current Drawdown

^TNX:

-43.61%

^TYX:

-42.20%

Returns By Period

The year-to-date returns for both investments are quite close, with ^TNX having a 17.02% return and ^TYX slightly higher at 17.34%. Over the past 10 years, ^TNX has outperformed ^TYX with an annualized return of 7.22%, while ^TYX has yielded a comparatively lower 5.03% annualized return.


^TNX

YTD

17.02%

1M

2.68%

6M

6.27%

1Y

16.18%

5Y*

18.78%

10Y*

7.22%

^TYX

YTD

17.34%

1M

2.70%

6M

7.23%

1Y

16.85%

5Y*

14.71%

10Y*

5.03%

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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.


Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.79, compared to the broader market0.001.002.000.790.95
The chart of Sortino ratio for ^TNX, currently valued at 1.32, compared to the broader market-1.000.001.002.003.001.321.52
The chart of Omega ratio for ^TNX, currently valued at 1.14, compared to the broader market0.901.001.101.201.301.401.141.16
The chart of Calmar ratio for ^TNX, currently valued at 0.32, compared to the broader market0.001.002.003.000.320.35
The chart of Martin ratio for ^TNX, currently valued at 1.68, compared to the broader market0.005.0010.0015.0020.001.682.24
^TNX
^TYX

The current ^TNX Sharpe Ratio is 0.75, which is comparable to the ^TYX Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of ^TNX and ^TYX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.79
0.95
^TNX
^TYX

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.


-54.00%-52.00%-50.00%-48.00%-46.00%-44.00%-42.00%JulyAugustSeptemberOctoberNovemberDecember
-43.61%
-42.20%
^TNX
^TYX

Volatility

^TNX vs. ^TYX - Volatility Comparison

Treasury Yield 10 Years (^TNX) has a higher volatility of 6.13% compared to Treasury Yield 30 Years (^TYX) at 5.82%. 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.


4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.13%
5.82%
^TNX
^TYX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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