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.
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.
Performance
ES=F vs. ^TNX - Performance Comparison
Key characteristics
ES=F:
0.04
^TNX:
-0.34
ES=F:
0.19
^TNX:
-0.35
ES=F:
1.03
^TNX:
0.96
ES=F:
0.04
^TNX:
-0.14
ES=F:
0.16
^TNX:
-0.67
ES=F:
4.58%
^TNX:
11.28%
ES=F:
18.74%
^TNX:
21.87%
ES=F:
-57.11%
^TNX:
-93.78%
ES=F:
-13.02%
^TNX:
-46.67%
Returns By Period
In the year-to-date period, ES=F achieves a -9.69% return, which is significantly lower than ^TNX's -6.43% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 9.20% annualized return and ^TNX not far behind at 8.77%.
ES=F
-9.69%
-6.48%
-8.94%
5.27%
11.92%
9.20%
^TNX
-6.43%
-0.63%
6.55%
-8.16%
45.77%
8.77%
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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.
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. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^TNX - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 14.50% compared to Treasury Yield 10 Years (^TNX) at 9.05%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.