ES=F vs. ^TYX

Last updated Jun 26, 2026

ES=F (E-mini S&P 500 Futures) is an asset, while ^TYX (Treasury Yield 30 Years) is an index. At a 0.25 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 E-mini S&P 500 Futures (ES=F) and Treasury Yield 30 Years (^TYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ES=F

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

^TYX

• 1D: -0.88%
• 1M: -3.34%
• YTD: 0.37%
• 6M: 1.25%
• 1Y: 0.33%
• 3Y*: 8.35%
• 5Y*: 17.50%
• 10Y*: 7.86%

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

ES=F vs. ^TYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F E-mini S&P 500 Futures	0.00%	0.00%	0.00%	7.45%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
^TYX Treasury Yield 30 Years	0.37%	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 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.16
Correlation (All Time) Calculated using the full available price history since Aug 14, 2003	0.25

The correlation between ES=F and ^TYX shifts across timeframes, from 0.05 (5 years) to 0.25 (all time), reflecting how their relationship changes across market environments.

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

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

^TYX

^TYX Risk / Return Rank: 11
^TYX Sharpe Ratio Rank: 12
^TYX Sortino Ratio Rank: 10
^TYX Omega Ratio Rank: 10
^TYX Calmar Ratio Rank: 11
^TYX Martin Ratio Rank: 12

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 E-mini S&P 500 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ES=F	^TYX	Difference
Sharpe ratio: Return per unit of total volatility	—	0.03	—
Sortino ratio: Return per unit of downside risk	—	0.12	—
Omega ratio: Gain probability vs. loss probability	—	1.01	—
Calmar ratio: Return relative to maximum drawdown	—	0.04	—
Martin ratio: Return relative to average drawdown	—	0.07	—

Drawdowns

Drawdown Indicators

	ES=F	^TYX	Difference
Max Drawdown Largest peak-to-trough decline	—	-93.84%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-9.55%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-22.85%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-22.85%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-72.86%	—
Current Drawdown Current decline from peak	—	-68.06%	—
Average Drawdown Average peak-to-trough decline	—	-56.71%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	4.47%	—

Volatility

Volatility by Period

	ES=F	^TYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	2.49%	—
Volatility (6M) Calculated over the trailing 6-month period	—	8.10%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	12.06%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	25.14%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	33.53%	—

Frequently Asked Questions

Can I hold both ES=F and ^TYX in my portfolio?

ES=F and ^TYX have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.