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^TYX vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^TYX and GC=F is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.1

Performance

^TYX vs. GC=F - Performance Comparison

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

-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.23%
13.48%
^TYX
GC=F

Key characteristics

Sharpe Ratio

^TYX:

0.95

GC=F:

2.06

Sortino Ratio

^TYX:

1.52

GC=F:

2.59

Omega Ratio

^TYX:

1.16

GC=F:

1.37

Calmar Ratio

^TYX:

0.35

GC=F:

3.78

Martin Ratio

^TYX:

2.24

GC=F:

10.45

Ulcer Index

^TYX:

8.14%

GC=F:

2.89%

Daily Std Dev

^TYX:

19.32%

GC=F:

14.53%

Max Drawdown

^TYX:

-88.52%

GC=F:

-44.36%

Current Drawdown

^TYX:

-42.20%

GC=F:

-5.73%

Returns By Period

In the year-to-date period, ^TYX achieves a 17.34% return, which is significantly lower than GC=F's 27.46% return. Over the past 10 years, ^TYX has underperformed GC=F with an annualized return of 5.03%, while GC=F has yielded a comparatively higher 7.37% annualized return.


^TYX

YTD

17.34%

1M

2.70%

6M

7.23%

1Y

16.85%

5Y*

14.71%

10Y*

5.03%

GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

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Risk-Adjusted Performance

^TYX vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and Gold (GC=F). 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 ^TYX, currently valued at 0.42, compared to the broader market0.001.002.000.422.06
The chart of Sortino ratio for ^TYX, currently valued at 0.77, compared to the broader market-1.000.001.002.003.000.772.59
The chart of Omega ratio for ^TYX, currently valued at 1.08, compared to the broader market0.901.001.101.201.301.401.081.37
The chart of Calmar ratio for ^TYX, currently valued at 0.23, compared to the broader market0.001.002.003.000.233.78
The chart of Martin ratio for ^TYX, currently valued at 0.96, compared to the broader market0.005.0010.0015.0020.000.9610.45
^TYX
GC=F

The current ^TYX Sharpe Ratio is 0.95, which is lower than the GC=F Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of ^TYX and GC=F, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.42
2.06
^TYX
GC=F

Drawdowns

^TYX vs. GC=F - Drawdown Comparison

The maximum ^TYX drawdown since its inception was -88.52%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for ^TYX and GC=F. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.90%
-5.73%
^TYX
GC=F

Volatility

^TYX vs. GC=F - Volatility Comparison

Treasury Yield 30 Years (^TYX) has a higher volatility of 5.78% compared to Gold (GC=F) at 5.48%. This indicates that ^TYX's price experiences larger fluctuations and is considered to be riskier than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.78%
5.48%
^TYX
GC=F
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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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