ES=F vs. ^TYX

Last updated Apr 3, 2026

Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 30 Years (^TYX).

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.

ES=F vs. ^TYX - 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%
^TYX Treasury Yield 30 Years	1.03%	1.13%	19.08%	1.11%	108.66%	15.74%	-31.10%	-20.89%	10.26%	-10.58%

Returns By Period

In the year-to-date period, ES=F achieves a -3.90% return, which is significantly lower than ^TYX's 1.03% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 12.40%, while ^TYX has yielded a comparatively lower 6.48% 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%

^TYX

• 1D: -0.20%
• 1M: 4.00%
• YTD: 1.03%
• 6M: 4.15%
• 1Y: 7.40%
• 3Y*: 10.30%
• 5Y*: 15.88%
• 10Y*: 6.48%

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

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: 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

^TYX

^TYX Risk / Return Rank: 26
^TYX Sharpe Ratio Rank: 31
^TYX Sortino Ratio Rank: 30
^TYX Omega Ratio Rank: 27
^TYX Calmar Ratio Rank: 21
^TYX Martin Ratio Rank: 21

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	^TYX	Difference
Sharpe ratio Return per unit of total volatility	0.83	0.50	+0.33
Sortino ratio Return per unit of downside risk	1.28	0.84	+0.44
Omega ratio Gain probability vs. loss probability	1.20	1.10	+0.10
Calmar ratio Return relative to maximum drawdown	1.36	0.22	+1.14
Martin ratio Return relative to average drawdown	6.06	0.42	+5.64
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 0.83, which is higher than the ^TYX Sharpe Ratio of 0.50. The chart below compares the historical Sharpe Ratios of ES=F and ^TYX, 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	^TYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.83	0.50	+0.33
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.61	-0.02
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	-0.03	+0.39

Correlation

The correlation between ES=F and ^TYX is 0.21, 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. ^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.

Drawdown Indicators

	ES=F	^TYX	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-88.52%	+31.41%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-10.83%	+1.88%
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	-30.52%	+5.50%
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	-72.86%	+38.41%
Current Drawdown Current decline from peak	-5.59%	-40.07%	+34.48%
Average Drawdown Average peak-to-trough decline	-12.56%	-46.00%	+33.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	5.65%	-3.64%

Volatility

ES=F vs. ^TYX - Volatility Comparison

S&P 500 E-Mini Futures (ES=F) has a higher volatility of 5.00% compared to Treasury Yield 30 Years (^TYX) at 4.22%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^TYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ES=F	^TYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.00%	4.22%	+0.78%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	8.18%	+0.57%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	14.37%	+2.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.48%	25.35%	-8.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	33.22%	-15.61%