^FVX vs. ES=F

Last updated Aug 6, 2026

^FVX (Treasury Yield 5 Years) is an index, while ES=F (E-mini S&P 500 Futures) is an asset. Over the past 10 years, ^FVX returned 14.36%/yr vs 13.55%/yr for ES=F. Their 0.25 correlation means their historical movements had little consistent relationship.

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

In the year-to-date period, ^FVX achieves a 16.17% return, which is significantly higher than ES=F's 12.55% return. Over the past 10 years, ^FVX has outperformed ES=F with an annualized return of 14.36%, while ES=F has yielded a comparatively lower 13.55% annualized return.

^FVX

• 1D: -0.21%
• 1M: 2.68%
• 6M: 12.81%
• YTD: 16.17%
• 1Y: 14.94%
• 3Y*: 1.27%
• 5Y*: 41.40%
• 10Y*: 14.36%
• ALL TIME*: -1.12%

ES=F

• 1D: -0.10%
• 1M: 2.19%
• 6M: 12.33%
• YTD: 12.55%
• 1Y: 22.65%
• 3Y*: 19.92%
• 5Y*: 11.86%
• 10Y*: 13.55%
• ALL TIME*: 6.60%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
^FVX Treasury Yield 5 Years	$0.00	$0.00	$0.00
ES=F E-mini S&P 500 Futures	$10.89B	$10.16B	$11.15B

^FVX vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^FVX Treasury Yield 5 Years	16.17%	-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	12.55%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%

Correlation

The correlation between ^FVX and ES=F is -0.19, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.19
Correlation (3Y) Balances recent behavior with more history.	-0.10
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.06
Correlation (10Y) Provides a long-term view across more market conditions.	0.10
Correlation (All Time) Calculated using the full available price history since Sep 18, 2000	0.25

The correlation between ^FVX and ES=F shifts across timeframes, from -0.19 (1 year) to 0.25 (all time), reflecting how their relationship changes across market environments.

Return for Risk

^FVX vs. ES=F — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

^FVX

^FVX Risk / Return Rank: 28
^FVX Sharpe Ratio Rank: 27
^FVX Sortino Ratio Rank: 25
^FVX Omega Ratio Rank: 26
^FVX Calmar Ratio Rank: 31
^FVX Martin Ratio Rank: 30

ES=F

ES=F Risk / Return Rank: 100
ES=F Sharpe Ratio Rank: 100
ES=F Sortino Ratio Rank: 100
ES=F Omega Ratio Rank: 100
ES=F Calmar Ratio Rank: 100
ES=F Martin Ratio Rank: 100

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

^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	0.86	1.77	-0.92
Sortino ratio: Return per unit of downside risk	1.33	2.47	-1.14
Omega ratio: Gain probability vs. loss probability	1.15	1.32	-0.17
Calmar ratio: Return relative to maximum drawdown	1.67	2.54	-0.87
Martin ratio: Return relative to average drawdown	3.89	10.48	-6.59

^FVX vs. ES=F - Sharpe Ratio Comparison

The current ^FVX Sharpe Ratio is 0.86, which is lower than the ES=F Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of ^FVX and ES=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

^FVX vs. ES=F - Drawdown Comparison

The maximum ^FVX drawdown since its inception was -98.80%, 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	-98.80%	-57.11%	-41.69%
Max Drawdown (1Y) Largest decline over 1 year	-8.97%	-8.95%	-0.02%
Max Drawdown (3Y) Largest decline over 3 years	-31.36%	-18.54%	-12.82%
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	-73.42%	-0.10%	-73.32%
Average Drawdown Average peak-to-trough decline	-58.57%	-12.62%	-45.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.85%	2.17%	+1.68%

Volatility

^FVX vs. ES=F - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 4.92% compared to E-mini S&P 500 Futures (ES=F) at 4.07%. 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	4.92%	4.07%	+0.85%
Volatility (6M) Calculated over the trailing 6-month period	13.89%	10.06%	+3.83%
Volatility (1Y) Calculated over the trailing 1-year period	17.55%	12.84%	+4.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	36.25%	17.12%	+19.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	58.04%	18.10%	+39.94%

Frequently Asked Questions

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

^FVX and ES=F have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^FVX or ES=F?

^FVX has higher volatility (4.92%) compared to ES=F (4.07%). In terms of maximum drawdown, ^FVX dropped -98.80% vs ES=F's -57.11%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (1.77 vs 0.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.