ES=F vs. ^FVX

Last updated Apr 3, 2026

Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 5 Years (^FVX).

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.

ES=F vs. ^FVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F S&P 500 E-Mini Futures	-3.90%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
^FVX Treasury Yield 5 Years	6.07%	-15.02%	14.06%	-4.00%	216.71%	249.86%	-78.68%	-32.55%	13.78%	14.06%

Returns By Period

In the year-to-date period, ES=F achieves a -3.90% return, which is significantly lower than ^FVX's 6.07% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 12.40% annualized return and ^FVX not far ahead at 12.42%.

ES=F

• 1D: 0.09%
• 1M: -2.94%
• YTD: -3.90%
• 6M: -2.11%
• 1Y: 15.96%
• 3Y*: 16.83%
• 5Y*: 10.24%
• 10Y*: 12.40%

^FVX

• 1D: -0.18%
• 1M: 8.73%
• YTD: 6.07%
• 6M: 7.49%
• 1Y: -0.08%
• 3Y*: 3.81%
• 5Y*: 34.20%
• 10Y*: 12.42%

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

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: 34
ES=F Sharpe Ratio Rank: 33
ES=F Sortino Ratio Rank: 33
ES=F Omega Ratio Rank: 35
ES=F Calmar Ratio Rank: 22
ES=F Martin Ratio Rank: 48

^FVX

^FVX Risk / Return Rank: 15
^FVX Sharpe Ratio Rank: 15
^FVX Sortino Ratio Rank: 15
^FVX Omega Ratio Rank: 15
^FVX Calmar Ratio Rank: 16
^FVX Martin Ratio Rank: 16

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	^FVX	Difference
Sharpe ratio Return per unit of total volatility	0.83	-0.00	+0.84
Sortino ratio Return per unit of downside risk	1.28	0.15	+1.14
Omega ratio Gain probability vs. loss probability	1.20	1.02	+0.18
Calmar ratio Return relative to maximum drawdown	1.36	0.06	+1.30
Martin ratio Return relative to average drawdown	6.06	0.11	+5.96
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 0.83, which is higher than the ^FVX Sharpe Ratio of -0.00. The chart below compares the historical Sharpe Ratios of ES=F and ^FVX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ES=F	^FVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.83	-0.00	+0.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.86	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.21	+0.46
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	-0.02	+0.37

Correlation

The correlation between ES=F and ^FVX is 0.23, 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.

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.

Drawdown Indicators

	ES=F	^FVX	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-97.53%	+40.42%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-15.62%	+6.67%
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	-5.59%	-50.00%	+44.41%
Average Drawdown Average peak-to-trough decline	-12.56%	-56.58%	+44.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	9.26%	-7.25%

Volatility

ES=F vs. ^FVX - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.00%, while Treasury Yield 5 Years (^FVX) has a volatility of 7.45%. 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.

Volatility by Period

	ES=F	^FVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	7.45%	-2.45%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	12.85%	-4.10%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	21.34%	-4.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.48%	39.92%	-23.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	58.94%	-41.33%