^FVX vs. ES=F

Last updated Apr 2, 2026

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

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

^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%

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

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: 16
^FVX Sharpe Ratio Rank: 16
^FVX Sortino Ratio Rank: 17
^FVX Omega Ratio Rank: 17
^FVX Calmar Ratio Rank: 13
^FVX Martin Ratio Rank: 14

ES=F

ES=F Risk / Return Rank: 41
ES=F Sharpe Ratio Rank: 48
ES=F Sortino Ratio Rank: 41
ES=F Omega Ratio Rank: 50
ES=F Calmar Ratio Rank: 20
ES=F Martin Ratio Rank: 48

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 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 ratio Return per unit of total volatility	0.05	0.86	-0.81
Sortino ratio Return per unit of downside risk	0.23	1.33	-1.10
Omega ratio Gain probability vs. loss probability	1.03	1.20	-0.18
Calmar ratio Return relative to maximum drawdown	-0.05	1.43	-1.48
Martin ratio Return 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.

^FVX vs. ES=F - Sharpe Ratio Comparison

The current ^FVX Sharpe Ratio is 0.05, which is lower than the ES=F Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of ^FVX and ES=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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.

Drawdown Indicators

	^FVX	ES=F	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-49.91%	-5.69%	-44.22%
Average Drawdown Average peak-to-trough decline	-56.58%	-12.57%	-44.01%
Ulcer Index Depth 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.

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%