^FVX vs. ES=F

Last updated Jun 26, 2026

^FVX (Treasury Yield 5 Years) is an index, while ES=F (E-mini S&P 500 Futures) is an asset. At a 0.26 correlation, their price movements are largely independent.

Performance

^FVX vs. ES=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 5 Years (^FVX) and E-mini S&P 500 Futures (ES=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

^FVX

• 1D: -1.47%
• 1M: -0.48%
• YTD: 11.85%
• 6M: 12.00%
• 1Y: 8.21%
• 3Y*: 1.65%
• 5Y*: 34.95%
• 10Y*: 15.32%

ES=F

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

^FVX vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^FVX Treasury Yield 5 Years	11.85%	-15.02%	14.06%	-4.00%	216.71%	249.86%	-78.68%	-32.55%	13.78%	14.06%
ES=F E-mini S&P 500 Futures	0.00%	0.00%	0.00%	7.45%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%

Correlation

The correlation between ^FVX and ES=F is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (5Y) Calculated over the trailing 5-year period	-0.00
Correlation (10Y) Calculated over the trailing 10-year period	0.15
Correlation (All Time) Calculated using the full available price history since Aug 14, 2003	0.26

The correlation between ^FVX and ES=F shifts across timeframes, from -0.00 (5 years) to 0.26 (all time), reflecting how their relationship changes across market environments.

Return for Risk

^FVX vs. ES=F — Risk / Return Rank

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

^FVX

^FVX Risk / Return Rank: 23
^FVX Sharpe Ratio Rank: 23
^FVX Sortino Ratio Rank: 22
^FVX Omega Ratio Rank: 22
^FVX Calmar Ratio Rank: 24
^FVX Martin Ratio Rank: 23

ES=F

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^FVX vs. ES=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and E-mini S&P 500 Futures (ES=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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	^FVX	ES=F	Difference
Sharpe ratio: Return per unit of total volatility	0.46	—	—
Sortino ratio: Return per unit of downside risk	0.76	—	—
Omega ratio: Gain probability vs. loss probability	1.09	—	—
Calmar ratio: Return relative to maximum drawdown	0.63	—	—
Martin ratio: Return relative to average drawdown	1.17	—	—

Drawdowns

Drawdown Indicators

	^FVX	ES=F	Difference
Max Drawdown Largest peak-to-trough decline	-98.80%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-13.28%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-31.36%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-31.36%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-93.69%	—	—
Current Drawdown Current decline from peak	-74.41%	—	—
Average Drawdown Average peak-to-trough decline	-58.54%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	7.07%	—	—

Volatility

Volatility by Period

	^FVX	ES=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.71%	—	—
Volatility (6M) Calculated over the trailing 6-month period	13.33%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	18.35%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	38.00%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	58.43%	—	—

Frequently Asked Questions

Can I hold both ^FVX and ES=F in my portfolio?

^FVX and ES=F have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.