^TYX vs. MSCI
Compare and contrast key facts about Treasury Yield 30 Years (^TYX) and MSCI Inc. (MSCI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^TYX or MSCI.
Key characteristics
| ^TYX | MSCI | |
|---|---|---|
| YTD Return | 14.51% | -6.64% |
| 1Y Return | 24.82% | -1.87% |
| 3Y Return (Ann) | 19.85% | 5.60% |
| 5Y Return (Ann) | 6.85% | 20.45% |
| 10Y Return (Ann) | 2.20% | 30.42% |
| Sharpe Ratio | 1.02 | 0.01 |
| Daily Std Dev | 19.70% | 28.29% |
| Max Drawdown | -93.84% | -69.06% |
| Current Drawdown | -69.74% | -20.17% |
Correlation
The correlation between ^TYX and MSCI is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
^TYX vs. MSCI - Performance Comparison
In the year-to-date period, ^TYX achieves a 14.51% return, which is significantly higher than MSCI's -6.64% return. Over the past 10 years, ^TYX has underperformed MSCI with an annualized return of 2.20%, while MSCI has yielded a comparatively higher 30.42% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Risk-Adjusted Performance
^TYX vs. MSCI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) and MSCI Inc. (MSCI). 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. MSCI - Drawdown Comparison
The maximum ^TYX drawdown since its inception was -93.84%, which is greater than MSCI's maximum drawdown of -69.06%. The drawdown chart below compares losses from any high point along the way for ^TYX and MSCI
Volatility
^TYX vs. MSCI - Volatility Comparison
The current volatility for Treasury Yield 30 Years (^TYX) is 5.24%, while MSCI Inc. (MSCI) has a volatility of 6.73%. This indicates that ^TYX experiences smaller price fluctuations and is considered to be less risky than MSCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.