^FVX vs. ES=F

Last updated Apr 3, 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	6.07%	-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	-3.90%	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 6.07% return, which is significantly higher than ES=F's -3.90% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 12.42% annualized return and ES=F not far behind at 12.40%.

^FVX

• 1D: -0.18%
• 1M: 8.73%
• YTD: 6.07%
• 6M: 7.49%
• 1Y: -0.08%
• 3Y*: 3.81%
• 5Y*: 34.20%
• 10Y*: 12.42%

ES=F

• 1D: 0.09%
• 1M: -2.94%
• YTD: -3.90%
• 6M: -2.11%
• 1Y: 15.96%
• 3Y*: 16.83%
• 5Y*: 10.24%
• 10Y*: 12.40%

*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: 15
^FVX Sharpe Ratio Rank: 15
^FVX Sortino Ratio Rank: 15
^FVX Omega Ratio Rank: 15
^FVX Calmar Ratio Rank: 16
^FVX Martin Ratio Rank: 16

ES=F

ES=F Risk / Return Rank: 34
ES=F Sharpe Ratio Rank: 33
ES=F Sortino Ratio Rank: 33
ES=F Omega Ratio Rank: 35
ES=F Calmar Ratio Rank: 22
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	-0.00	0.83	-0.84
Sortino ratio Return per unit of downside risk	0.15	1.28	-1.14
Omega ratio Gain probability vs. loss probability	1.02	1.20	-0.18
Calmar ratio Return relative to maximum drawdown	0.06	1.36	-1.30
Martin ratio Return relative to average drawdown	0.11	6.06	-5.96
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 -0.00, which is lower than the ES=F Sharpe Ratio of 0.83. 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	-0.00	0.83	-0.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.86	0.60	+0.26
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%	-8.95%	-6.67%
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	-50.00%	-5.59%	-44.41%
Average Drawdown Average peak-to-trough decline	-56.58%	-12.56%	-44.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.26%	2.01%	+7.25%

Volatility

^FVX vs. ES=F - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 7.45% compared to S&P 500 E-Mini Futures (ES=F) at 5.00%. 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	7.45%	5.00%	+2.45%
Volatility (6M) Calculated over the trailing 6-month period	12.85%	8.75%	+4.10%
Volatility (1Y) Calculated over the trailing 1-year period	21.34%	17.09%	+4.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	39.92%	16.48%	+23.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	58.94%	17.61%	+41.33%