^FVX vs. ES=F
Compare and contrast key facts about Treasury Yield 5 Years (^FVX) and S&P 500 E-Mini Futures (ES=F).
Performance
^FVX vs. ES=F - Performance Comparison
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^FVX vs. ES=F - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^FVX Treasury Yield 5 Years | 6.26% | -15.02% | 14.06% | -4.00% | 216.71% | 249.86% | -78.68% | -32.55% | 13.78% | 14.06% |
ES=F S&P 500 E-Mini Futures | -3.99% | 16.12% | 23.15% | 24.84% | -18.86% | 26.94% | 16.02% | 28.97% | -6.38% | 19.66% |
Returns By Period
In the year-to-date period, ^FVX achieves a 6.26% return, which is significantly higher than ES=F's -3.99% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 12.28% annualized return and ES=F not far ahead at 12.35%.
^FVX
- 1D
- 0.25%
- 1M
- 9.22%
- YTD
- 6.26%
- 6M
- 7.47%
- 1Y
- 1.15%
- 3Y*
- 3.08%
- 5Y*
- 34.25%
- 10Y*
- 12.28%
ES=F
- 1D
- 0.71%
- 1M
- -3.93%
- YTD
- -3.99%
- 6M
- -2.13%
- 1Y
- 16.61%
- 3Y*
- 16.94%
- 5Y*
- 10.22%
- 10Y*
- 12.35%
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Return for Risk
^FVX vs. ES=F — Risk / Return Rank
^FVX
ES=F
^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 S&P 500 E-Mini 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.
| ^FVX | ES=F | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.05 | 0.86 | -0.81 |
Sortino ratioReturn per unit of downside risk | 0.23 | 1.33 | -1.10 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.20 | -0.18 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | 1.43 | -1.48 |
Martin ratioReturn relative to average drawdown | -0.08 | 6.48 | -6.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^FVX | ES=F | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.05 | 0.86 | -0.81 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.86 | 0.59 | +0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.21 | 0.67 | -0.46 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.02 | 0.36 | -0.37 |
Correlation
The correlation between ^FVX and ES=F is 0.23, 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.
Drawdowns
^FVX vs. ES=F - Drawdown Comparison
The maximum ^FVX drawdown since its inception was -97.53%, which is greater than ES=F's maximum drawdown of -57.11%. Use the drawdown chart below to compare losses from any high point for ^FVX and ES=F.
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Drawdown Indicators
| ^FVX | ES=F | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.53% | -57.11% | -40.42% |
Max Drawdown (1Y)Largest decline over 1 year | -15.62% | -12.11% | -3.51% |
Max Drawdown (5Y)Largest decline over 5 years | -31.36% | -25.02% | -6.34% |
Max Drawdown (10Y)Largest decline over 10 years | -93.69% | -34.45% | -59.24% |
Current DrawdownCurrent decline from peak | -49.91% | -5.69% | -44.22% |
Average DrawdownAverage peak-to-trough decline | -56.58% | -12.57% | -44.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.25% | 1.98% | +7.27% |
Volatility
^FVX vs. ES=F - Volatility Comparison
Treasury Yield 5 Years (^FVX) has a higher volatility of 7.46% compared to S&P 500 E-Mini Futures (ES=F) at 5.08%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^FVX | ES=F | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.46% | 5.08% | +2.38% |
Volatility (6M)Calculated over the trailing 6-month period | 12.93% | 8.88% | +4.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.42% | 17.09% | +4.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.94% | 16.49% | +23.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 58.95% | 17.61% | +41.34% |