Correlation
The correlation between ES=F and ^TNX 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.
ES=F vs. ^TNX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^TNX.
Performance
ES=F vs. ^TNX - Performance Comparison
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Key characteristics
ES=F:
0.63
^TNX:
-0.20
ES=F:
0.88
^TNX:
0.10
ES=F:
1.13
^TNX:
1.01
ES=F:
0.56
^TNX:
-0.02
ES=F:
2.09
^TNX:
-0.09
ES=F:
5.01%
^TNX:
10.69%
ES=F:
19.40%
^TNX:
22.21%
ES=F:
-57.11%
^TNX:
-93.78%
ES=F:
-4.01%
^TNX:
-44.86%
Returns By Period
In the year-to-date period, ES=F achieves a -0.33% return, which is significantly higher than ^TNX's -3.26% return. Over the past 10 years, ES=F has outperformed ^TNX with an annualized return of 10.88%, while ^TNX has yielded a comparatively lower 7.27% annualized return.
ES=F
-0.33%
5.89%
-2.24%
12.62%
12.72%
14.23%
10.88%
^TNX
-3.26%
5.91%
5.89%
-2.85%
17.27%
46.84%
7.27%
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Risk-Adjusted Performance
ES=F vs. ^TNX — Risk-Adjusted Performance Rank
ES=F
^TNX
ES=F vs. ^TNX - 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 10 Years (^TNX). 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.
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Drawdowns
ES=F vs. ^TNX - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ES=F and ^TNX.
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Volatility
ES=F vs. ^TNX - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.80%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.86%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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