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.
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.
Performance
ES=F vs. ^TNX - Performance Comparison
Key characteristics
ES=F:
1.59
^TNX:
0.61
ES=F:
2.18
^TNX:
1.06
ES=F:
1.31
^TNX:
1.12
ES=F:
2.25
^TNX:
0.25
ES=F:
9.09
^TNX:
1.33
ES=F:
2.16%
^TNX:
10.31%
ES=F:
11.88%
^TNX:
22.23%
ES=F:
-57.11%
^TNX:
-93.78%
ES=F:
-3.90%
^TNX:
-43.99%
Returns By Period
In the year-to-date period, ES=F achieves a 21.79% return, which is significantly higher than ^TNX's 16.24% return. Over the past 10 years, ES=F has outperformed ^TNX with an annualized return of 10.16%, while ^TNX has yielded a comparatively lower 7.62% annualized return.
ES=F
21.79%
-1.30%
7.02%
23.40%
11.42%
10.16%
^TNX
16.24%
2.63%
5.64%
15.91%
18.66%
7.62%
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Risk-Adjusted Performance
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.
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. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^TNX - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.53%, while Treasury Yield 10 Years (^TNX) has a volatility of 5.77%. 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.