ES=F vs. ^FVX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 5 Years (^FVX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^FVX.
Correlation
The correlation between ES=F and ^FVX 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
ES=F vs. ^FVX - Performance Comparison
Key characteristics
ES=F:
0.06
^FVX:
-0.60
ES=F:
0.23
^FVX:
-0.73
ES=F:
1.03
^FVX:
0.92
ES=F:
0.06
^FVX:
-0.25
ES=F:
0.28
^FVX:
-1.00
ES=F:
4.50%
^FVX:
14.32%
ES=F:
18.63%
^FVX:
23.70%
ES=F:
-57.11%
^FVX:
-97.53%
ES=F:
-13.16%
^FVX:
-49.81%
Returns By Period
The year-to-date returns for both investments are quite close, with ES=F having a -9.83% return and ^FVX slightly higher at -9.52%. Over the past 10 years, ES=F has underperformed ^FVX with an annualized return of 9.18%, while ^FVX has yielded a comparatively higher 11.87% annualized return.
ES=F
-9.83%
-5.45%
-8.71%
4.86%
12.48%
9.18%
^FVX
-9.52%
-2.92%
2.67%
-14.68%
63.20%
11.87%
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Risk-Adjusted Performance
ES=F vs. ^FVX — Risk-Adjusted Performance Rank
ES=F
^FVX
ES=F vs. ^FVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and Treasury Yield 5 Years (^FVX). 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
ES=F vs. ^FVX - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^FVX drawdown of -97.53%. Use the drawdown chart below to compare losses from any high point for ES=F and ^FVX. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^FVX - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 14.40% compared to Treasury Yield 5 Years (^FVX) at 10.78%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^FVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.