^FVX vs. ES=F

Last updated Jun 5, 2026

^FVX (Treasury Yield 5 Years) is an index, while ES=F (S&P 500 E-Mini Futures) is an asset. Over the past 10 years, ^FVX returned 13.09%/yr vs 13.66%/yr for ES=F. At a 0.23 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, ^FVX achieves a 13.22% return, which is significantly higher than ES=F's 10.09% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 13.09% annualized return and ES=F not far ahead at 13.66%.

^FVX

• 1D: 0.89%
• 1M: 3.49%
• YTD: 13.22%
• 6M: 14.45%
• 1Y: 7.17%
• 3Y*: 3.13%
• 5Y*: 39.98%
• 10Y*: 13.09%

ES=F

• 1D: 0.21%
• 1M: 4.12%
• YTD: 10.09%
• 6M: 10.50%
• 1Y: 26.86%
• 3Y*: 21.02%
• 5Y*: 12.41%
• 10Y*: 13.66%

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

^FVX vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^FVX Treasury Yield 5 Years	13.22%	-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	10.09%	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 -0.17, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.17
Correlation (3Y) Calculated over the trailing 3-year period	-0.10
Correlation (5Y) Calculated over the trailing 5-year period	-0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.11
Correlation (All Time) Calculated using the full available price history since Sep 11, 1997	0.23

The correlation between ^FVX and ES=F shifts across timeframes, from -0.17 (1 year) to 0.23 (all time), reflecting how their relationship changes across market environments.

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: 22
^FVX Sharpe Ratio Rank: 23
^FVX Sortino Ratio Rank: 21
^FVX Omega Ratio Rank: 21
^FVX Calmar Ratio Rank: 23
^FVX Martin Ratio Rank: 21

ES=F

ES=F Risk / Return Rank: 89
ES=F Sharpe Ratio Rank: 86
ES=F Sortino Ratio Rank: 87
ES=F Omega Ratio Rank: 87
ES=F Calmar Ratio Rank: 84
ES=F Martin Ratio Rank: 100

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	0.25	2.14	-1.89
Sortino ratio: Return per unit of downside risk	0.48	2.99	-2.51
Omega ratio: Gain probability vs. loss probability	1.06	1.39	-0.34
Calmar ratio: Return relative to maximum drawdown	0.31	2.68	-2.37
Martin ratio: Return relative to average drawdown	0.54	12.02	-11.48
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 0.25, which is lower than the ES=F Sharpe Ratio of 2.14. 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.

Sharpe Ratios by Period

	^FVX	ES=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.25	2.14	-1.89
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.04	0.72	+0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.22	0.74	-0.52
Sharpe Ratio (All Time) Calculated using the full available price history	-0.01	0.38	-0.39

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	-14.88%	-8.95%	-5.93%
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	-46.63%	-0.47%	-46.16%
Average Drawdown Average peak-to-trough decline	-56.53%	-12.49%	-44.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.52%	2.09%	+6.43%

Volatility

^FVX vs. ES=F - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 5.81% compared to S&P 500 E-Mini Futures (ES=F) at 2.46%. 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	5.81%	2.46%	+3.35%
Volatility (6M) Calculated over the trailing 6-month period	13.10%	8.67%	+4.43%
Volatility (1Y) Calculated over the trailing 1-year period	18.75%	11.22%	+7.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	38.66%	16.49%	+22.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	58.60%	17.62%	+40.98%

Frequently Asked Questions

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

^FVX and ES=F have a correlation of -0.17, 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 (5.81%) compared to ES=F (2.46%). In terms of maximum drawdown, ^FVX dropped -97.53% vs ES=F's -57.11%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (2.14 vs 0.25), 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.