ES=F vs. ^FVX
ES=F (E-mini S&P 500 Futures) is an asset, while ^FVX (Treasury Yield 5 Years) is an index. Over the past 10 years, ES=F returned 13.59%/yr vs 14.39%/yr for ^FVX. Their 0.25 correlation means their historical movements had little consistent relationship.
Performance
ES=F vs. ^FVX - Performance Comparison
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Returns By Period
In the year-to-date period, ES=F achieves a 12.91% return, which is significantly lower than ^FVX's 16.42% return. Over the past 10 years, ES=F has underperformed ^FVX with an annualized return of 13.59%, while ^FVX has yielded a comparatively higher 14.39% annualized return.
ES=F
- 1D
- 2.02%
- 1M
- 3.37%
- 6M
- 12.11%
- YTD
- 12.91%
- 1Y
- 22.44%
- 3Y*
- 20.05%
- 5Y*
- 11.97%
- 10Y*
- 13.59%
- ALL TIME*
- 6.61%
^FVX
- 1D
- -1.52%
- 1M
- 2.43%
- 6M
- 12.93%
- YTD
- 16.42%
- 1Y
- 15.76%
- 3Y*
- 1.34%
- 5Y*
- 43.22%
- 10Y*
- 14.39%
- ALL TIME*
- -1.12%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $10.85B | $10.18B | $11.22B |
ES=F vs. ^FVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ES=F E-mini S&P 500 Futures | 12.91% | 16.12% | 23.15% | 24.84% | -18.86% | 26.94% | 16.02% | 28.97% | -6.38% | 19.66% |
^FVX Treasury Yield 5 Years | 16.42% | -15.02% | 14.06% | -4.00% | 216.71% | 249.86% | -78.68% | -32.55% | 13.78% | 14.06% |
Correlation
The correlation between ES=F and ^FVX is -0.19, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.19 |
Correlation (3Y) Balances recent behavior with more history. | -0.11 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.06 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.10 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2000 | 0.25 |
The correlation between ES=F and ^FVX shifts across timeframes, from -0.19 (1 year) to 0.25 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ES=F vs. ^FVX — Risk / Return Rank
ES=F
^FVX
ES=F vs. ^FVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for E-mini S&P 500 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ES=F | ^FVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.85 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.16 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 1.77 | +0.75 |
| Martin ratioReturn relative to average drawdown | 10.39 | 4.11 | +6.28 |
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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 -98.80%. Use the drawdown chart below to compare losses from any high point for ES=F and ^FVX.
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Drawdown Indicators
| ES=F | ^FVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.11% | -98.80% | +41.69% |
Max Drawdown (1Y)Largest decline over 1 year | -8.95% | -8.97% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -18.54% | -31.36% | +12.82% |
Max Drawdown (5Y)Largest decline over 5 years | -25.02% | -31.36% | +6.34% |
Max Drawdown (10Y)Largest decline over 10 years | -34.45% | -93.69% | +59.24% |
Current DrawdownCurrent decline from peak | 0.00% | -73.37% | +73.37% |
Average DrawdownAverage peak-to-trough decline | -12.62% | -58.57% | +45.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.17% | 3.84% | -1.67% |
Volatility
ES=F vs. ^FVX - Volatility Comparison
The current volatility for E-mini S&P 500 Futures (ES=F) is 4.22%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.01%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^FVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ES=F | ^FVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 5.01% | -0.79% |
Volatility (6M)Calculated over the trailing 6-month period | 10.15% | 13.89% | -3.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.94% | 17.57% | -4.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.13% | 36.36% | -19.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.11% | 58.05% | -39.94% |
Frequently Asked Questions
ES=F and ^FVX have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^FVX has higher volatility (5.01%) compared to ES=F (4.22%). In terms of maximum drawdown, ES=F dropped -57.11% vs ^FVX's -98.80%.
ES=F currently has the higher Sharpe Ratio (1.75 vs 0.90), 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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