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

Correlation

The correlation between ^TYX and GOVT is -0.19. 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.


Performance

^TYX vs. GOVT - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^TYX:

0.42

GOVT:

0.71

Sortino Ratio

^TYX:

0.46

GOVT:

0.98

Omega Ratio

^TYX:

1.05

GOVT:

1.13

Calmar Ratio

^TYX:

0.08

GOVT:

0.25

Martin Ratio

^TYX:

0.58

GOVT:

1.74

Ulcer Index

^TYX:

7.15%

GOVT:

2.26%

Daily Std Dev

^TYX:

19.03%

GOVT:

6.03%

Max Drawdown

^TYX:

-88.52%

GOVT:

-19.78%

Current Drawdown

^TYX:

-39.45%

GOVT:

-11.46%

Returns By Period

In the year-to-date period, ^TYX achieves a 3.22% return, which is significantly higher than GOVT's -0.27% return. Over the past 10 years, ^TYX has outperformed GOVT with an annualized return of 5.16%, while GOVT has yielded a comparatively lower 0.82% annualized return.


^TYX

YTD

3.22%

1M

2.72%

6M

7.25%

1Y

8.33%

3Y*

18.14%

5Y*

28.70%

10Y*

5.16%

GOVT

YTD

-0.27%

1M

-0.40%

6M

1.80%

1Y

4.26%

3Y*

0.56%

5Y*

-2.11%

10Y*

0.82%

*Annualized

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Treasury Yield 30 Years

iShares U.S. Treasury Bond ETF

Risk-Adjusted Performance

^TYX vs. GOVT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^TYX
The Risk-Adjusted Performance Rank of ^TYX is 3232
Overall Rank
The Sharpe Ratio Rank of ^TYX is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TYX is 2929
Sortino Ratio Rank
The Omega Ratio Rank of ^TYX is 2929
Omega Ratio Rank
The Calmar Ratio Rank of ^TYX is 2626
Calmar Ratio Rank
The Martin Ratio Rank of ^TYX is 2929
Martin Ratio Rank

GOVT
The Risk-Adjusted Performance Rank of GOVT is 5252
Overall Rank
The Sharpe Ratio Rank of GOVT is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of GOVT is 5757
Sortino Ratio Rank
The Omega Ratio Rank of GOVT is 5353
Omega Ratio Rank
The Calmar Ratio Rank of GOVT is 3131
Calmar Ratio Rank
The Martin Ratio Rank of GOVT is 4949
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The current ^TYX Sharpe Ratio is 0.42, which is lower than the GOVT Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of ^TYX and GOVT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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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 -19.78%. Use the drawdown chart below to compare losses from any high point for ^TYX and GOVT. For additional features, visit the drawdowns tool.


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Volatility

^TYX vs. GOVT - Volatility Comparison

Treasury Yield 30 Years (^TYX) has a higher volatility of 4.65% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.47%. 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.


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