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

ES=F vs. ^FVX

Last updated Jun 4, 2026

ES=F (S&P 500 E-Mini Futures) is an asset, while ^FVX (Treasury Yield 5 Years) is an index. Over the past 10 years, ES=F returned 13.66%/yr vs 12.99%/yr for ^FVX. At a 0.23 correlation, their price movements are largely independent.

Performance

ES=F vs. ^FVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and Treasury Yield 5 Years (^FVX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ES=F achieves a 9.50% return, which is significantly lower than ^FVX's 12.22% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 13.66% annualized return and ^FVX not far behind at 12.99%.

ES=F

1D
-1.00%
1M
4.39%
YTD
9.50%
6M
9.99%
1Y
26.18%
3Y*
20.74%
5Y*
12.29%
10Y*
13.66%

^FVX

1D
-0.22%
1M
2.05%
YTD
12.22%
6M
15.26%
1Y
3.70%
3Y*
2.83%
5Y*
37.66%
10Y*
12.99%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ES=F vs. ^FVX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ES=F
S&P 500 E-Mini Futures		9.50%16.12%23.15%24.84%-18.86%26.94%16.02%28.97%-6.38%19.66%
^FVX
Treasury Yield 5 Years		12.22%-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 -0.16, 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

-0.16

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

-0.10

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

-0.05

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

0.23

The correlation between ES=F and ^FVX shifts across timeframes, from -0.16 (1 year) to 0.23 (all time), reflecting how their relationship changes across market environments.

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S&P 500 E-Mini Futures

Treasury Yield 5 Years

Often compared with ES=F:
ES=F vs. NQ=FES=F vs. SPYES=F vs. CL=FES=F vs. ^GSPCES=F vs. GC=FES=F vs. ^TYXES=F vs. SPXT
Often compared with ^FVX:
^FVX vs. ^TNX^FVX vs. UVIX^FVX vs. OIL.NS^FVX vs. VOO^FVX vs. SPY^FVX vs. VCSH^FVX vs. TIP

Return for Risk

ES=F vs. ^FVX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ES=F
ES=F Risk / Return Rank: 8585
Overall Rank
ES=F Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
ES=F Sortino Ratio Rank: 8484
Sortino Ratio Rank
ES=F Omega Ratio Rank: 8080
Omega Ratio Rank
ES=F Calmar Ratio Rank: 8585
Calmar Ratio Rank
ES=F Martin Ratio Rank: 9393
Martin Ratio Rank
^FVX
^FVX Risk / Return Rank: 1919
Overall Rank
^FVX Sharpe Ratio Rank: 1919
Sharpe Ratio Rank
^FVX Sortino Ratio Rank: 1818
Sortino Ratio Rank
^FVX Omega Ratio Rank: 1818
Omega Ratio Rank
^FVX Calmar Ratio Rank: 2020
Calmar Ratio Rank
^FVX Martin Ratio Rank: 1818
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.

ES=F vs. ^FVX - Risk-Adjusted Trends 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.

ES=F^FVXDifference

Sharpe ratio

Return per unit of total volatility

2.08

0.21

+1.87

Sortino ratio

Return per unit of downside risk

2.91

0.43

+2.48

Omega ratio

Gain probability vs. loss probability

1.38

1.05

+0.33

Calmar ratio

Return relative to maximum drawdown

2.61

0.27

+2.34

Martin ratio

Return relative to average drawdown

11.71

0.47

+11.25

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ES=F vs. ^FVX - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 2.08, which is higher than the ^FVX Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of ES=F and ^FVX, 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

ES=F^FVXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.08

0.21

+1.87

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.71

0.98

-0.27

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.74

0.22

+0.52

Sharpe Ratio (All Time)

Calculated using the full available price history

0.38

-0.01

+0.39

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.

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Drawdown Indicators

ES=F^FVXDifference

Max Drawdown

Largest peak-to-trough decline

-57.11%

-97.53%

+40.42%

Max Drawdown (1Y)

Largest decline over 1 year

-8.95%

-14.88%

+5.93%

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 Drawdown

Current decline from peak

-1.00%

-47.10%

+46.10%

Average Drawdown

Average peak-to-trough decline

-12.50%

-56.54%

+44.04%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

8.52%

-6.43%

Volatility

ES=F vs. ^FVX - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.89%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.99%. 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^FVXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.89%

5.99%

-3.10%

Volatility (6M)

Calculated over the trailing 6-month period

8.77%

13.21%

-4.44%

Volatility (1Y)

Calculated over the trailing 1-year period

11.25%

18.75%

-7.50%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.50%

38.75%

-22.25%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.63%

58.61%

-40.98%

Frequently Asked Questions

ES=F and ^FVX have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^FVX has higher volatility (5.99%) compared to ES=F (2.89%). In terms of maximum drawdown, ES=F dropped -57.11% vs ^FVX's -97.53%.

ES=F currently has the higher Sharpe Ratio (2.08 vs 0.21), 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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