^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.
Performance
^TNX vs. ^TYX - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with ^TNX having a 13.97% return and ^TYX slightly higher at 14.26%. Over the past 10 years, ^TNX has outperformed ^TYX with an annualized return of 6.67%, while ^TYX has yielded a comparatively lower 4.17% annualized return.
^TNX
13.97%
5.36%
-0.63%
-0.27%
20.04%
6.67%
^TYX
14.26%
2.34%
0.90%
0.26%
15.35%
4.17%
Key characteristics
| ^TNX | ^TYX | |
|---|---|---|
| Sharpe Ratio | -0.02 | 0.07 |
| Sortino Ratio | 0.15 | 0.24 |
| Omega Ratio | 1.02 | 1.03 |
| Calmar Ratio | -0.01 | 0.03 |
| Martin Ratio | -0.03 | 0.15 |
| Ulcer Index | 11.02% | 8.51% |
| Daily Std Dev | 22.96% | 19.80% |
| Max Drawdown | -93.78% | -88.52% |
| Current Drawdown | -45.08% | -43.72% |
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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.
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) and Treasury Yield 30 Years (^TYX) have volatilities of 5.78% and 6.00%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.