^TYX vs. ES=F

Last updated Jun 3, 2026

^TYX (Treasury Yield 30 Years) is an index, while ES=F (S&P 500 E-Mini Futures) is an asset. Over the past 10 years, ^TYX returned 7.03%/yr vs 13.78%/yr for ES=F. At a 0.20 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, ^TYX achieves a 2.62% return, which is significantly lower than ES=F's 10.67% return. Over the past 10 years, ^TYX has underperformed ES=F with an annualized return of 7.03%, while ES=F has yielded a comparatively higher 13.78% annualized return.

^TYX

• 1D: -0.48%
• 1M: 0.02%
• YTD: 2.62%
• 6M: 4.77%
• 1Y: -0.56%
• 3Y*: 8.56%
• 5Y*: 16.70%
• 10Y*: 7.03%

ES=F

• 1D: 0.20%
• 1M: 5.10%
• YTD: 10.67%
• 6M: 11.52%
• 1Y: 28.27%
• 3Y*: 21.17%
• 5Y*: 12.72%
• 10Y*: 13.78%

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

^TYX vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^TYX Treasury Yield 30 Years	2.62%	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	10.67%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%

Correlation

The correlation between ^TYX 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	-0.12
Correlation (5Y) Calculated over the trailing 5-year period	-0.03
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	0.20

The correlation between ^TYX and ES=F shifts across timeframes, from -0.17 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

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: 11
^TYX Sharpe Ratio Rank: 9
^TYX Sortino Ratio Rank: 8
^TYX Omega Ratio Rank: 8
^TYX Calmar Ratio Rank: 14
^TYX Martin Ratio Rank: 14

ES=F

ES=F Risk / Return Rank: 82
ES=F Sharpe Ratio Rank: 84
ES=F Sortino Ratio Rank: 86
ES=F Omega Ratio Rank: 84
ES=F Calmar Ratio Rank: 71
ES=F Martin Ratio Rank: 84

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	-0.04	2.25	-2.29
Sortino ratio Return per unit of downside risk	0.02	3.13	-3.11
Omega ratio Gain probability vs. loss probability	1.00	1.42	-0.41
Calmar ratio Return relative to maximum drawdown	0.11	2.30	-2.19
Martin ratio Return relative to average drawdown	0.24	9.89	-9.65
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 -0.04, which is lower than the ES=F Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ^TYX 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

	^TYX	ES=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.04	2.25	-2.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.65	0.74	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.21	0.75	-0.54
Sharpe Ratio (All Time) Calculated using the full available price history	-0.02	0.38	-0.41

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	-9.55%	-8.95%	-0.60%
Max Drawdown (3Y) Largest decline over 3 years	-22.85%	-18.54%	-4.31%
Max Drawdown (5Y) Largest decline over 5 years	-25.46%	-25.02%	-0.44%
Max Drawdown (10Y) Largest decline over 10 years	-72.86%	-34.45%	-38.41%
Current Drawdown Current decline from peak	-39.12%	0.00%	-39.12%
Average Drawdown Average peak-to-trough decline	-45.96%	-12.50%	-33.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.46%	2.09%	+2.37%

Volatility

^TYX vs. ES=F - Volatility Comparison

Treasury Yield 30 Years (^TYX) has a higher volatility of 3.73% compared to S&P 500 E-Mini Futures (ES=F) at 2.67%. This indicates that ^TYX'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

	^TYX	ES=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.73%	2.67%	+1.06%
Volatility (6M) Calculated over the trailing 6-month period	7.98%	8.72%	-0.74%
Volatility (1Y) Calculated over the trailing 1-year period	12.22%	11.23%	+0.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.08%	16.49%	+8.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.12%	17.63%	+15.49%

Frequently Asked Questions

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

^TYX 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, ^TYX or ES=F?

^TYX has higher volatility (3.73%) compared to ES=F (2.67%). In terms of maximum drawdown, ^TYX dropped -88.52% vs ES=F's -57.11%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (2.25 vs -0.04), 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.