Correlation
The correlation between ^FVX and ES=F is 0.24, 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.
^FVX vs. ES=F
Compare and contrast key facts about Treasury Yield 5 Years (^FVX) and S&P 500 E-Mini Futures (ES=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FVX or ES=F.
Performance
^FVX vs. ES=F - Performance Comparison
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Key characteristics
^FVX:
-0.47
ES=F:
0.59
^FVX:
-0.45
ES=F:
0.86
^FVX:
0.95
ES=F:
1.12
^FVX:
-0.18
ES=F:
0.54
^FVX:
-0.74
ES=F:
2.01
^FVX:
13.75%
ES=F:
5.01%
^FVX:
24.52%
ES=F:
19.41%
^FVX:
-97.53%
ES=F:
-57.11%
^FVX:
-48.52%
ES=F:
-4.19%
Returns By Period
In the year-to-date period, ^FVX achieves a -7.19% return, which is significantly lower than ES=F's -0.53% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 10.73% annualized return and ES=F not far ahead at 10.84%.
^FVX
-7.19%
7.68%
-1.17%
-12.43%
14.27%
67.97%
10.73%
ES=F
-0.53%
5.74%
-1.84%
11.74%
12.22%
14.18%
10.84%
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Risk-Adjusted Performance
^FVX vs. ES=F — Risk-Adjusted Performance Rank
^FVX
ES=F
^FVX vs. ES=F - Risk-Adjusted Performance 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.
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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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Volatility
^FVX vs. ES=F - Volatility Comparison
Treasury Yield 5 Years (^FVX) has a higher volatility of 7.02% compared to S&P 500 E-Mini Futures (ES=F) at 3.89%. 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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