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.
Key characteristics
| ES=F | ^FVX | |
|---|---|---|
| YTD Return | 14.73% | 12.73% |
| 1Y Return | 23.02% | 4.74% |
| 3Y Return (Ann) | 7.70% | 71.01% |
| 5Y Return (Ann) | 11.95% | 19.31% |
| 10Y Return (Ann) | 10.09% | 9.76% |
| Sharpe Ratio | 2.21 | 0.33 |
| Daily Std Dev | 10.52% | 26.88% |
| Max Drawdown | -57.11% | -97.53% |
| Current Drawdown | -0.44% | -45.17% |
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
In the year-to-date period, ES=F achieves a 14.73% return, which is significantly higher than ^FVX's 12.73% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 10.09% annualized return and ^FVX not far behind at 9.76%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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
The current volatility for S&P 500 E-Mini Futures (ES=F) is 1.81%, while Treasury Yield 5 Years (^FVX) has a volatility of 6.44%. 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.