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:
1.56
^FVX:
0.36
ES=F:
2.15
^FVX:
0.71
ES=F:
1.30
^FVX:
1.08
ES=F:
2.24
^FVX:
0.15
ES=F:
8.45
^FVX:
0.67
ES=F:
2.31%
^FVX:
12.96%
ES=F:
12.38%
^FVX:
23.71%
ES=F:
-57.11%
^FVX:
-97.53%
ES=F:
-1.96%
^FVX:
-44.10%
Returns By Period
In the year-to-date period, ES=F achieves a 1.65% return, which is significantly higher than ^FVX's 0.78% return. Over the past 10 years, ES=F has underperformed ^FVX with an annualized return of 10.69%, while ^FVX has yielded a comparatively higher 12.71% annualized return.
ES=F
1.65%
1.68%
8.64%
23.90%
11.44%
10.69%
^FVX
0.78%
-0.25%
6.03%
8.40%
21.97%
12.71%
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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 3.73%, while Treasury Yield 5 Years (^FVX) has a volatility of 5.41%. 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.