^TYX vs. ES=F

Last updated Apr 3, 2026

Compare and contrast key facts about Treasury Yield 30 Years (^TYX) and S&P 500 E-Mini Futures (ES=F).

Performance

^TYX vs. ES=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 30 Years (^TYX) and S&P 500 E-Mini Futures (ES=F). The values are adjusted to include any dividend payments, if applicable.

^TYX vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^TYX Treasury Yield 30 Years	1.03%	1.13%	19.08%	1.11%	108.66%	15.74%	-31.10%	-20.89%	10.26%	-10.58%
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, ^TYX achieves a 1.03% return, which is significantly higher than ES=F's -3.90% return. Over the past 10 years, ^TYX has underperformed ES=F with an annualized return of 6.48%, while ES=F has yielded a comparatively higher 12.40% annualized return.

^TYX

• 1D: -0.20%
• 1M: 4.00%
• YTD: 1.03%
• 6M: 4.15%
• 1Y: 7.40%
• 3Y*: 10.30%
• 5Y*: 15.88%
• 10Y*: 6.48%

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

^TYX vs. ES=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^TYX

^TYX Risk / Return Rank: 26
^TYX Sharpe Ratio Rank: 31
^TYX Sortino Ratio Rank: 30
^TYX Omega Ratio Rank: 27
^TYX Calmar Ratio Rank: 21
^TYX Martin Ratio Rank: 21

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.

^TYX vs. ES=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) 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.

	^TYX	ES=F	Difference
Sharpe ratio Return per unit of total volatility	0.50	0.83	-0.33
Sortino ratio Return per unit of downside risk	0.84	1.28	-0.44
Omega ratio Gain probability vs. loss probability	1.10	1.20	-0.10
Calmar ratio Return relative to maximum drawdown	0.22	1.36	-1.14
Martin ratio Return relative to average drawdown	0.42	6.06	-5.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^TYX vs. ES=F - Sharpe Ratio Comparison

The current ^TYX Sharpe Ratio is 0.50, which is lower than the ES=F Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of ^TYX 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

	^TYX	ES=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.50	0.83	-0.33
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	0.60	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.19	0.67	-0.48
Sharpe Ratio (All Time) Calculated using the full available price history	-0.03	0.36	-0.39

Correlation

The correlation between ^TYX and ES=F is 0.21, 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

^TYX vs. ES=F - Drawdown Comparison

The maximum ^TYX drawdown since its inception was -88.52%, 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 ^TYX and ES=F.

Drawdown Indicators

	^TYX	ES=F	Difference
Max Drawdown Largest peak-to-trough decline	-88.52%	-57.11%	-31.41%
Max Drawdown (1Y) Largest decline over 1 year	-10.83%	-8.95%	-1.88%
Max Drawdown (5Y) Largest decline over 5 years	-30.52%	-25.02%	-5.50%
Max Drawdown (10Y) Largest decline over 10 years	-72.86%	-34.45%	-38.41%
Current Drawdown Current decline from peak	-40.07%	-5.59%	-34.48%
Average Drawdown Average peak-to-trough decline	-46.00%	-12.56%	-33.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.65%	2.01%	+3.64%

Volatility

^TYX vs. ES=F - Volatility Comparison

The current volatility for Treasury Yield 30 Years (^TYX) is 4.22%, while S&P 500 E-Mini Futures (ES=F) has a volatility of 5.00%. This indicates that ^TYX experiences smaller price fluctuations and is considered to be less risky than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^TYX	ES=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.22%	5.00%	-0.78%
Volatility (6M) Calculated over the trailing 6-month period	8.18%	8.75%	-0.57%
Volatility (1Y) Calculated over the trailing 1-year period	14.37%	17.09%	-2.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.35%	16.48%	+8.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.22%	17.61%	+15.61%