ES=F vs. ^TYX
ES=F (E-mini S&P 500 Futures) is an asset, while ^TYX (Treasury Yield 30 Years) is an index. Over the past 10 years, ES=F returned 13.55%/yr vs 8.43%/yr for ^TYX. Their 0.23 correlation means their historical movements had little consistent relationship.
Performance
ES=F vs. ^TYX - Performance Comparison
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Returns By Period
In the year-to-date period, ES=F achieves a 12.55% return, which is significantly higher than ^TYX's 7.23% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 13.55%, while ^TYX has yielded a comparatively lower 8.43% annualized return.
ES=F
- 1D
- -0.10%
- 1M
- 2.19%
- 6M
- 12.33%
- YTD
- 12.55%
- 1Y
- 22.65%
- 3Y*
- 19.92%
- 5Y*
- 11.86%
- 10Y*
- 13.55%
- ALL TIME*
- 6.60%
^TYX
- 1D
- -0.78%
- 1M
- 4.11%
- 6M
- 5.79%
- YTD
- 7.23%
- 1Y
- 8.19%
- 3Y*
- 7.19%
- 5Y*
- 22.74%
- 10Y*
- 8.43%
- ALL TIME*
- -0.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $10.89B | $10.16B | $11.15B |
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 | 12.55% | 16.12% | 23.15% | 24.84% | -18.86% | 26.94% | 16.02% | 28.97% | -6.38% | 19.66% |
^TYX Treasury Yield 30 Years | 7.23% | 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 -0.21, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.21 |
Correlation (3Y) Balances recent behavior with more history. | -0.12 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.04 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.11 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2000 | 0.23 |
The correlation between ES=F and ^TYX shifts across timeframes, from -0.21 (1 year) to 0.23 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ES=F vs. ^TYX — Risk / Return Rank
ES=F
^TYX
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 ratioReturn per unit of total volatility | +1.07 | ||
| Sortino ratioReturn per unit of downside risk | +1.39 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.12 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 2.54 | 0.95 | +1.59 |
| Martin ratioReturn relative to average drawdown | 10.48 | 2.11 | +8.37 |
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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 -93.84%. 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 | ^TYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.11% | -93.84% | +36.73% |
Max Drawdown (1Y)Largest decline over 1 year | -8.95% | -8.69% | -0.26% |
Max Drawdown (3Y)Largest decline over 3 years | -18.54% | -22.85% | +4.31% |
Max Drawdown (5Y)Largest decline over 5 years | -25.02% | -22.85% | -2.17% |
Max Drawdown (10Y)Largest decline over 10 years | -34.45% | -72.86% | +38.41% |
Current DrawdownCurrent decline from peak | -0.10% | -65.88% | +65.78% |
Average DrawdownAverage peak-to-trough decline | -12.62% | -56.74% | +44.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.17% | 3.89% | -1.72% |
Volatility
ES=F vs. ^TYX - Volatility Comparison
E-mini S&P 500 Futures (ES=F) has a higher volatility of 4.07% compared to Treasury Yield 30 Years (^TYX) at 3.12%. 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.
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Volatility by Period
| ES=F | ^TYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.07% | 3.12% | +0.95% |
Volatility (6M)Calculated over the trailing 6-month period | 10.06% | 8.27% | +1.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.84% | 11.63% | +1.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.12% | 24.58% | -7.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.10% | 33.33% | -15.23% |
Frequently Asked Questions
ES=F and ^TYX have a correlation of -0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ES=F has higher volatility (4.07%) compared to ^TYX (3.12%). In terms of maximum drawdown, ES=F dropped -57.11% vs ^TYX's -93.84%.
ES=F currently has the higher Sharpe Ratio (1.77 vs 0.71), 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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