^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.
Key characteristics
| ^FVX | ES=F | |
|---|---|---|
| YTD Return | 12.73% | 14.73% |
| 1Y Return | 4.74% | 24.48% |
| 3Y Return (Ann) | 71.01% | 7.74% |
| 5Y Return (Ann) | 19.31% | 12.10% |
| 10Y Return (Ann) | 9.76% | 10.10% |
| Sharpe Ratio | 0.33 | 2.21 |
| Daily Std Dev | 26.88% | 10.52% |
| Max Drawdown | -97.53% | -57.11% |
| Current Drawdown | -45.17% | -0.44% |
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.
Performance
^FVX vs. ES=F - Performance Comparison
In the year-to-date period, ^FVX achieves a 12.73% return, which is significantly lower than ES=F's 14.73% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 9.76% annualized return and ES=F not far ahead at 10.10%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^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.
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. For additional features, visit the drawdowns tool.
Volatility
^FVX vs. ES=F - Volatility Comparison
Treasury Yield 5 Years (^FVX) has a higher volatility of 6.44% compared to S&P 500 E-Mini Futures (ES=F) at 1.81%. 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.