ES=F vs. ^TYX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 30 Years (^TYX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^TYX.
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.
Performance
ES=F vs. ^TYX - Performance Comparison
Key characteristics
ES=F:
-0.01
^TYX:
0.08
ES=F:
0.13
^TYX:
0.26
ES=F:
1.02
^TYX:
1.03
ES=F:
-0.01
^TYX:
0.03
ES=F:
-0.04
^TYX:
0.18
ES=F:
4.59%
^TYX:
8.35%
ES=F:
18.72%
^TYX:
18.94%
ES=F:
-57.11%
^TYX:
-88.52%
ES=F:
-13.80%
^TYX:
-41.06%
Returns By Period
In the year-to-date period, ES=F achieves a -10.50% return, which is significantly lower than ^TYX's 0.48% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 9.03%, while ^TYX has yielded a comparatively lower 6.30% annualized return.
ES=F
-10.50%
-6.29%
-9.75%
4.95%
11.74%
9.03%
^TYX
0.48%
5.02%
9.42%
2.34%
29.72%
6.30%
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Risk-Adjusted Performance
ES=F vs. ^TYX — Risk-Adjusted Performance Rank
ES=F
^TYX
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.
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. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^TYX - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 14.45% compared to Treasury Yield 30 Years (^TYX) at 7.55%. 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.