^TYX vs. ^TNX
Compare and contrast key facts about Treasury Yield 30 Years (^TYX) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TYX or ^TNX.
Key characteristics
| ^TYX | ^TNX | |
|---|---|---|
| YTD Return | 6.97% | 4.45% |
| 1Y Return | -13.15% | -16.69% |
| 3Y Return (Ann) | 27.40% | 37.07% |
| 5Y Return (Ann) | 13.63% | 18.34% |
| 10Y Return (Ann) | 3.68% | 6.29% |
| Sharpe Ratio | -0.69 | -0.54 |
| Sortino Ratio | -0.90 | -0.65 |
| Omega Ratio | 0.90 | 0.93 |
| Calmar Ratio | -0.27 | -0.23 |
| Martin Ratio | -0.96 | -0.77 |
| Ulcer Index | 14.47% | 16.49% |
| Daily Std Dev | 20.27% | 23.85% |
| Max Drawdown | -88.52% | -93.78% |
| Current Drawdown | -47.31% | -49.67% |
Correlation
The correlation between ^TYX and ^TNX 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.
Performance
^TYX vs. ^TNX - Performance Comparison
In the year-to-date period, ^TYX achieves a 6.97% return, which is significantly higher than ^TNX's 4.45% return. Over the past 10 years, ^TYX has underperformed ^TNX with an annualized return of 3.68%, while ^TNX has yielded a comparatively higher 6.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^TYX vs. ^TNX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and Treasury Yield 10 Years (^TNX). 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. ^TNX - Drawdown Comparison
The maximum ^TYX drawdown since its inception was -88.52%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ^TYX and ^TNX. For additional features, visit the drawdowns tool.
Volatility
^TYX vs. ^TNX - Volatility Comparison
The current volatility for Treasury Yield 30 Years (^TYX) is 4.46%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.28%. This indicates that ^TYX experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.