ES=F vs. ^FVX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 5 Years (^FVX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^FVX.
Correlation
The correlation between ES=F and ^FVX is 0.23, 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. ^FVX - Performance Comparison
Key characteristics
ES=F:
1.13
^FVX:
-0.00
ES=F:
1.60
^FVX:
0.16
ES=F:
1.22
^FVX:
1.02
ES=F:
1.66
^FVX:
-0.00
ES=F:
6.23
^FVX:
-0.01
ES=F:
2.33%
^FVX:
13.14%
ES=F:
12.87%
^FVX:
22.51%
ES=F:
-57.11%
^FVX:
-97.53%
ES=F:
-2.16%
^FVX:
-46.07%
Returns By Period
In the year-to-date period, ES=F achieves a 1.58% return, which is significantly higher than ^FVX's -2.79% return. Over the past 10 years, ES=F has underperformed ^FVX with an annualized return of 10.24%, while ^FVX has yielded a comparatively higher 11.31% annualized return.
ES=F
1.58%
-1.48%
6.67%
18.28%
11.30%
10.24%
^FVX
-2.79%
-3.80%
16.66%
-1.69%
26.36%
11.31%
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Risk-Adjusted Performance
ES=F vs. ^FVX — Risk-Adjusted Performance Rank
ES=F
^FVX
ES=F vs. ^FVX - 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 5 Years (^FVX). 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. ^FVX - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^FVX drawdown of -97.53%. Use the drawdown chart below to compare losses from any high point for ES=F and ^FVX. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^FVX - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.45%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.65%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^FVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.