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ES=F vs. ^TYX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


ES=F^TYX
YTD Return12.98%8.26%
1Y Return22.10%12.87%
3Y Return (Ann)7.72%19.79%
5Y Return (Ann)12.17%8.32%
10Y Return (Ann)10.00%1.86%
Sharpe Ratio2.060.08
Daily Std Dev10.62%19.69%
Max Drawdown-57.11%-93.84%
Current Drawdown-0.02%-71.39%

Correlation

-0.50.00.51.00.2

The correlation between ES=F and ^TYX is 0.20, 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.

Performance

ES=F vs. ^TYX - Performance Comparison

In the year-to-date period, ES=F achieves a 12.98% return, which is significantly higher than ^TYX's 8.26% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 10.00%, while ^TYX has yielded a comparatively lower 1.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%2024FebruaryMarchAprilMayJune
13.89%
8.05%
ES=F
^TYX

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S&P 500 E-Mini Futures

Treasury Yield 30 Years

Risk-Adjusted Performance

ES=F vs. ^TYX - Risk-Adjusted Performance 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
Sharpe ratio
The chart of Sharpe ratio for ES=F, currently valued at 1.91, compared to the broader market-0.500.000.501.001.502.001.91
Sortino ratio
The chart of Sortino ratio for ES=F, currently valued at 2.77, compared to the broader market-1.000.001.002.002.77
Omega ratio
The chart of Omega ratio for ES=F, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.38
Calmar ratio
The chart of Calmar ratio for ES=F, currently valued at 1.52, compared to the broader market0.000.501.001.501.52
Martin ratio
The chart of Martin ratio for ES=F, currently valued at 7.75, compared to the broader market0.002.004.006.008.007.75
^TYX
Sharpe ratio
The chart of Sharpe ratio for ^TYX, currently valued at 0.02, compared to the broader market-0.500.000.501.001.502.000.02
Sortino ratio
The chart of Sortino ratio for ^TYX, currently valued at 0.17, compared to the broader market-1.000.001.002.000.17
Omega ratio
The chart of Omega ratio for ^TYX, currently valued at 1.02, compared to the broader market0.901.001.101.201.301.02
Calmar ratio
The chart of Calmar ratio for ^TYX, currently valued at 0.01, compared to the broader market0.000.501.001.500.01
Martin ratio
The chart of Martin ratio for ^TYX, currently valued at 0.04, compared to the broader market0.002.004.006.008.000.04

ES=F vs. ^TYX - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 2.06, which is higher than the ^TYX Sharpe Ratio of 0.08. The chart below compares the 12-month rolling Sharpe Ratio of ES=F and ^TYX.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002024FebruaryMarchAprilMayJune
1.91
0.02
ES=F
^TYX

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. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%2024FebruaryMarchAprilMayJune
-0.02%
-35.46%
ES=F
^TYX

Volatility

ES=F vs. ^TYX - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.27%, while Treasury Yield 30 Years (^TYX) has a volatility of 5.81%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%2024FebruaryMarchAprilMayJune
2.27%
5.81%
ES=F
^TYX