ES=F vs. ^TNX

Last updated Apr 3, 2026

Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 10 Years (^TNX).

Performance

ES=F vs. ^TNX - 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 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

ES=F vs. ^TNX - 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%
^TNX Treasury Yield 10 Years	3.60%	-8.97%	18.29%	-0.34%	156.55%	64.89%	-52.21%	-28.56%	11.68%	-1.68%

Returns By Period

In the year-to-date period, ES=F achieves a -3.90% return, which is significantly lower than ^TNX's 3.60% return. Over the past 10 years, ES=F has outperformed ^TNX with an annualized return of 12.40%, while ^TNX has yielded a comparatively lower 9.26% annualized return.

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%

^TNX

• 1D: -0.14%
• 1M: 6.34%
• YTD: 3.60%
• 6M: 5.50%
• 1Y: 2.79%
• 3Y*: 7.93%
• 5Y*: 20.77%
• 10Y*: 9.26%

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

Return for Risk

ES=F vs. ^TNX — 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

^TNX

^TNX Risk / Return Rank: 20
^TNX Sharpe Ratio Rank: 20
^TNX Sortino Ratio Rank: 19
^TNX Omega Ratio Rank: 18
^TNX Calmar Ratio Rank: 23
^TNX Martin Ratio Rank: 22

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. ^TNX - 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 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.

	ES=F	^TNX	Difference
Sharpe ratio Return per unit of total volatility	0.83	0.16	+0.67
Sortino ratio Return per unit of downside risk	1.28	0.36	+0.93
Omega ratio Gain probability vs. loss probability	1.20	1.04	+0.16
Calmar ratio Return relative to maximum drawdown	1.36	0.27	+1.09
Martin ratio Return relative to average drawdown	6.06	0.45	+5.61
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. ^TNX - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 0.83, which is higher than the ^TNX Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of ES=F and ^TNX, 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	^TNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.83	0.16	+0.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.63	-0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.19	+0.48
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	-0.02	+0.38

Correlation

The correlation between ES=F and ^TNX 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. ^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.

Drawdown Indicators

	ES=F	^TNX	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-93.78%	+36.67%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-13.99%	+5.04%
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	-31.74%	+6.72%
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	-84.57%	+50.12%
Current Drawdown Current decline from peak	-5.59%	-46.24%	+40.65%
Average Drawdown Average peak-to-trough decline	-12.56%	-51.38%	+38.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	8.40%	-6.39%

Volatility

ES=F vs. ^TNX - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.00%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.90%. 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.

Volatility by Period

	ES=F	^TNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	5.90%	-0.90%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	10.53%	-1.78%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	17.76%	-0.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.48%	32.94%	-16.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	48.17%	-30.56%