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:
0.27
^FVX:
-0.53
ES=F:
0.52
^FVX:
-0.62
ES=F:
1.08
^FVX:
0.93
ES=F:
0.26
^FVX:
-0.22
ES=F:
1.01
^FVX:
-0.94
ES=F:
5.27%
^FVX:
13.52%
ES=F:
19.03%
^FVX:
23.76%
ES=F:
-57.11%
^FVX:
-97.53%
ES=F:
-7.97%
^FVX:
-50.06%
Returns By Period
In the year-to-date period, ES=F achieves a -4.45% return, which is significantly higher than ^FVX's -9.98% return. Over the past 10 years, ES=F has underperformed ^FVX with an annualized return of 9.61%, while ^FVX has yielded a comparatively higher 10.20% annualized return.
ES=F
-4.45%
15.43%
-2.42%
8.94%
12.98%
9.61%
^FVX
-9.98%
6.31%
-5.49%
-12.05%
67.84%
10.20%
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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 5.40%, while Treasury Yield 5 Years (^FVX) has a volatility of 7.38%. 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.