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ES=F vs. ^TYX
Performance
Return for Risk
Drawdowns
Volatility

ES=F vs. ^TYX

Last updated Jun 4, 2026

ES=F (S&P 500 E-Mini Futures) is an asset, while ^TYX (Treasury Yield 30 Years) is an index. Over the past 10 years, ES=F returned 13.66%/yr vs 7.08%/yr for ^TYX. At a 0.20 correlation, their price movements are largely independent.

Performance

ES=F vs. ^TYX - 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 30 Years (^TYX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ES=F achieves a 9.50% return, which is significantly higher than ^TYX's 3.10% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 13.66%, while ^TYX has yielded a comparatively lower 7.08% annualized return.

ES=F

1D
-1.00%
1M
4.39%
YTD
9.50%
6M
9.99%
1Y
26.18%
3Y*
20.74%
5Y*
12.29%
10Y*
13.66%

^TYX

1D
0.46%
1M
-0.70%
YTD
3.10%
6M
5.61%
1Y
0.14%
3Y*
8.73%
5Y*
17.38%
10Y*
7.08%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ES=F vs. ^TYX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ES=F
S&P 500 E-Mini Futures		9.50%16.12%23.15%24.84%-18.86%26.94%16.02%28.97%-6.38%19.66%
^TYX
Treasury Yield 30 Years		3.10%1.13%19.08%1.11%108.66%15.74%-31.10%-20.89%10.26%-10.58%

Correlation

The correlation between ES=F and ^TYX is -0.17, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.18

Correlation (3Y)
Calculated over the trailing 3-year period

-0.12

Correlation (5Y)
Calculated over the trailing 5-year period

-0.02

Correlation (10Y)
Calculated over the trailing 10-year period

0.11

Correlation (All Time)
Calculated using the full available price history since Sep 11, 1997

0.20

The correlation between ES=F and ^TYX shifts across timeframes, from -0.17 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

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S&P 500 E-Mini Futures

Treasury Yield 30 Years

Often compared with ES=F:
ES=F vs. NQ=FES=F vs. SPYES=F vs. CL=FES=F vs. ^GSPCES=F vs. ^FVXES=F vs. GC=FES=F vs. SPXT
Often compared with ^TYX:
^TYX vs. ^TNX^TYX vs. TLT^TYX vs. VOO^TYX vs. TBX^TYX vs. PST^TYX vs. MSCI^TYX vs. GC=F

Return for Risk

ES=F vs. ^TYX — 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: 8585
Overall Rank
ES=F Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
ES=F Sortino Ratio Rank: 8484
Sortino Ratio Rank
ES=F Omega Ratio Rank: 8080
Omega Ratio Rank
ES=F Calmar Ratio Rank: 8585
Calmar Ratio Rank
ES=F Martin Ratio Rank: 9393
Martin Ratio Rank
^TYX
^TYX Risk / Return Rank: 1111
Overall Rank
^TYX Sharpe Ratio Rank: 1111
Sharpe Ratio Rank
^TYX Sortino Ratio Rank: 1010
Sortino Ratio Rank
^TYX Omega Ratio Rank: 1010
Omega Ratio Rank
^TYX Calmar Ratio Rank: 1212
Calmar Ratio Rank
^TYX Martin Ratio Rank: 1212
Martin Ratio Rank
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. ^TYX - 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 30 Years (^TYX). 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^TYXDifference

Sharpe ratio

Return per unit of total volatility

2.08

0.01

+2.07

Sortino ratio

Return per unit of downside risk

2.91

0.10

+2.81

Omega ratio

Gain probability vs. loss probability

1.38

1.01

+0.37

Calmar ratio

Return relative to maximum drawdown

2.61

0.01

+2.60

Martin ratio

Return relative to average drawdown

11.71

0.03

+11.68

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. ^TYX - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 2.08, which is higher than the ^TYX Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of ES=F and ^TYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

ES=F^TYXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.08

0.01

+2.07

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.71

0.68

+0.04

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.74

0.21

+0.53

Sharpe Ratio (All Time)

Calculated using the full available price history

0.38

-0.02

+0.41

Drawdowns

ES=F vs. ^TYX - Drawdown Comparison

The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^TYX drawdown of -88.52%. Use the drawdown chart below to compare losses from any high point for ES=F and ^TYX.

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Drawdown Indicators

ES=F^TYXDifference

Max Drawdown

Largest peak-to-trough decline

-57.11%

-88.52%

+31.41%

Max Drawdown (1Y)

Largest decline over 1 year

-8.95%

-9.55%

+0.60%

Max Drawdown (3Y)

Largest decline over 3 years

-18.54%

-22.85%

+4.31%

Max Drawdown (5Y)

Largest decline over 5 years

-25.02%

-25.46%

+0.44%

Max Drawdown (10Y)

Largest decline over 10 years

-34.45%

-72.86%

+38.41%

Current Drawdown

Current decline from peak

-1.00%

-38.84%

+37.84%

Average Drawdown

Average peak-to-trough decline

-12.50%

-45.96%

+33.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

4.44%

-2.35%

Volatility

ES=F vs. ^TYX - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.89%, while Treasury Yield 30 Years (^TYX) has a volatility of 3.67%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^TYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ES=F^TYXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.89%

3.67%

-0.78%

Volatility (6M)

Calculated over the trailing 6-month period

8.77%

7.99%

+0.78%

Volatility (1Y)

Calculated over the trailing 1-year period

11.25%

12.15%

-0.90%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.50%

25.08%

-8.58%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.63%

33.11%

-15.48%

Frequently Asked Questions

ES=F and ^TYX have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^TYX has higher volatility (3.67%) compared to ES=F (2.89%). In terms of maximum drawdown, ES=F dropped -57.11% vs ^TYX's -88.52%.

ES=F currently has the higher Sharpe Ratio (2.08 vs 0.01), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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