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^TYX vs. ES=F
Performance
Return for Risk
Drawdowns
Volatility

^TYX vs. ES=F

Last updated Jun 5, 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 6.94%/yr vs 13.66%/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.

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Returns By Period

In the year-to-date period, ^TYX achieves a 2.85% return, which is significantly lower than ES=F's 10.09% return. Over the past 10 years, ^TYX has underperformed ES=F with an annualized return of 6.94%, while ES=F has yielded a comparatively higher 13.66% annualized return.

^TYX

1D
-0.24%
1M
0.71%
YTD
2.85%
6M
3.88%
1Y
1.92%
3Y*
8.57%
5Y*
17.33%
10Y*
6.94%

ES=F

1D
0.21%
1M
2.68%
YTD
10.09%
6M
10.32%
1Y
27.61%
3Y*
21.02%
5Y*
12.41%
10Y*
13.66%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^TYX vs. ES=F - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^TYX
Treasury Yield 30 Years		2.85%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		10.09%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 -0.18, 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

-0.18

Correlation (3Y)
Calculated over the trailing 3-year period

-0.12

Correlation (5Y)
Calculated over the trailing 5-year period

-0.02

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 -0.18 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

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Treasury Yield 30 Years

S&P 500 E-Mini Futures

Often compared with ^TYX:
^TYX vs. ^TNX^TYX vs. TLT^TYX vs. VOO^TYX vs. TBX^TYX vs. PST^TYX vs. MSCI^TYX vs. GC=F
Often compared with ES=F:
ES=F vs. NQ=FES=F vs. SPYES=F vs. CL=FES=F vs. ^GSPCES=F vs. ^FVXES=F vs. GC=FES=F vs. SPXT

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: 1818
Overall Rank
^TYX Sharpe Ratio Rank: 1919
Sharpe Ratio Rank
^TYX Sortino Ratio Rank: 1717
Sortino Ratio Rank
^TYX Omega Ratio Rank: 1717
Omega Ratio Rank
^TYX Calmar Ratio Rank: 1919
Calmar Ratio Rank
^TYX Martin Ratio Rank: 1919
Martin Ratio Rank
ES=F
ES=F Risk / Return Rank: 8989
Overall Rank
ES=F Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
ES=F Sortino Ratio Rank: 8787
Sortino Ratio Rank
ES=F Omega Ratio Rank: 8787
Omega Ratio Rank
ES=F Calmar Ratio Rank: 8484
Calmar Ratio Rank
ES=F Martin Ratio Rank: 100100
Martin Ratio Rank
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.

^TYXES=FDifference
Sharpe ratioReturn per unit of total volatility
0.15
2.14

-1.99

Sortino ratioReturn per unit of downside risk
0.30
2.99

-2.69

Omega ratioGain probability vs. loss probability

1.03

1.39

-0.36

Calmar ratioReturn relative to maximum drawdown

0.19

2.68

-2.49

Martin ratioReturn relative to average drawdown

0.41

12.02

-11.61

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 0.15, which is lower than the ES=F Sharpe Ratio of 2.14. 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.

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Sharpe Ratios by Period

^TYXES=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.15

2.14

-1.99

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.67

0.72

-0.05

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.20

0.74

-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.

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Drawdown Indicators

^TYXES=FDifference

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

-38.99%

-0.47%

-38.52%

Average Drawdown

Average peak-to-trough decline

-45.96%

-12.49%

-33.47%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.45%

2.09%

+2.36%

Volatility

^TYX vs. ES=F - Volatility Comparison

Treasury Yield 30 Years (^TYX) has a higher volatility of 3.58% compared to S&P 500 E-Mini Futures (ES=F) at 2.46%. 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.

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Volatility by Period

^TYXES=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.58%

2.46%

+1.12%

Volatility (6M)

Calculated over the trailing 6-month period

7.99%

8.67%

-0.68%

Volatility (1Y)

Calculated over the trailing 1-year period

12.15%

11.22%

+0.93%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

25.06%

16.49%

+8.57%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

33.11%

17.62%

+15.49%

Frequently Asked Questions

^TYX and ES=F have a correlation of -0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^TYX has higher volatility (3.58%) compared to ES=F (2.46%). In terms of maximum drawdown, ^TYX dropped -88.52% vs ES=F's -57.11%.

ES=F currently has the higher Sharpe Ratio (2.14 vs 0.15), 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.

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