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 0.24, 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:
1.59
^FVX:
0.57
ES=F:
2.18
^FVX:
1.01
ES=F:
1.31
^FVX:
1.12
ES=F:
2.25
^FVX:
0.24
ES=F:
9.09
^FVX:
1.08
ES=F:
2.16%
^FVX:
12.87%
ES=F:
11.88%
^FVX:
23.96%
ES=F:
-57.11%
^FVX:
-97.53%
ES=F:
-3.90%
^FVX:
-44.53%
Returns By Period
In the year-to-date period, ES=F achieves a 21.79% return, which is significantly higher than ^FVX's 14.06% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 10.16% annualized return and ^FVX not far ahead at 10.20%.
ES=F
21.79%
-1.30%
7.02%
23.40%
11.42%
10.16%
^FVX
14.06%
3.16%
2.67%
13.06%
20.39%
10.20%
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Risk-Adjusted Performance
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 3.53%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.90%. 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.