Correlation
The correlation between ES=F and ^TNX 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.
ES=F vs. ^TNX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 10 Years (^TNX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^TNX.
Performance
ES=F vs. ^TNX - Performance Comparison
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Key characteristics
ES=F:
0.53
^TNX:
0.03
ES=F:
0.92
^TNX:
0.30
ES=F:
1.13
^TNX:
1.03
ES=F:
0.59
^TNX:
0.04
ES=F:
2.20
^TNX:
0.20
ES=F:
4.99%
^TNX:
10.66%
ES=F:
19.46%
^TNX:
22.18%
ES=F:
-57.11%
^TNX:
-93.78%
ES=F:
-4.61%
^TNX:
-43.80%
Returns By Period
In the year-to-date period, ES=F achieves a -0.96% return, which is significantly higher than ^TNX's -1.40% return. Over the past 10 years, ES=F has outperformed ^TNX with an annualized return of 10.81%, while ^TNX has yielded a comparatively lower 7.75% annualized return.
ES=F
-0.96%
5.93%
-2.12%
10.48%
12.26%
14.13%
10.81%
^TNX
-1.40%
5.70%
5.72%
0.94%
17.78%
47.00%
7.75%
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Risk-Adjusted Performance
ES=F vs. ^TNX — Risk-Adjusted Performance Rank
ES=F
^TNX
ES=F vs. ^TNX - 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 10 Years (^TNX). 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.
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Drawdowns
ES=F vs. ^TNX - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ES=F and ^TNX.
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Volatility
ES=F vs. ^TNX - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 4.00%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.74%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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