^TYX vs. GOVT
Compare and contrast key facts about Treasury Yield 30 Years (^TYX) and iShares U.S. Treasury Bond ETF (GOVT).
GOVT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Treasury Bond Index. It was launched on Feb 14, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TYX or GOVT.
Performance
^TYX vs. GOVT - Performance Comparison
Returns By Period
In the year-to-date period, ^TYX achieves a 14.33% return, which is significantly higher than GOVT's 0.82% return. Over the past 10 years, ^TYX has outperformed GOVT with an annualized return of 4.36%, while GOVT has yielded a comparatively lower 0.83% annualized return.
^TYX
14.33%
1.75%
0.48%
1.06%
15.34%
4.36%
GOVT
0.82%
-0.91%
2.63%
4.70%
-0.81%
0.83%
Key characteristics
| ^TYX | GOVT | |
|---|---|---|
| Sharpe Ratio | 0.16 | 0.86 |
| Sortino Ratio | 0.39 | 1.26 |
| Omega Ratio | 1.04 | 1.15 |
| Calmar Ratio | 0.06 | 0.28 |
| Martin Ratio | 0.38 | 2.53 |
| Ulcer Index | 8.47% | 1.85% |
| Daily Std Dev | 19.80% | 5.46% |
| Max Drawdown | -88.52% | -19.07% |
| Current Drawdown | -43.68% | -12.29% |
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Correlation
The correlation between ^TYX and GOVT is -0.86. 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.
Risk-Adjusted Performance
^TYX vs. GOVT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and iShares U.S. Treasury Bond ETF (GOVT). 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
^TYX vs. GOVT - Drawdown Comparison
The maximum ^TYX drawdown since its inception was -88.52%, which is greater than GOVT's maximum drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for ^TYX and GOVT. For additional features, visit the drawdowns tool.
Volatility
^TYX vs. GOVT - Volatility Comparison
Treasury Yield 30 Years (^TYX) has a higher volatility of 5.91% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.38%. This indicates that ^TYX's price experiences larger fluctuations and is considered to be riskier than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.