ES=F vs. ^TYX
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Treasury Yield 30 Years (^TYX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^TYX.
Key characteristics
| ES=F | ^TYX | |
|---|---|---|
| YTD Return | 18.67% | 1.32% |
| 1Y Return | 28.43% | -7.48% |
| 3Y Return (Ann) | 8.40% | 29.55% |
| 5Y Return (Ann) | 12.33% | 12.89% |
| 10Y Return (Ann) | 10.34% | 2.11% |
| Sharpe Ratio | 2.25 | -0.63 |
| Daily Std Dev | 11.95% | 21.36% |
| Max Drawdown | -57.11% | -88.52% |
| Current Drawdown | -0.11% | -50.09% |
Correlation
The correlation between ES=F and ^TYX is 0.22, 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. ^TYX - Performance Comparison
In the year-to-date period, ES=F achieves a 18.67% return, which is significantly higher than ^TYX's 1.32% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 10.34%, while ^TYX has yielded a comparatively lower 2.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ES=F vs. ^TYX - 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 30 Years (^TYX). 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. ^TYX - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^TYX drawdown of -88.52%. Use the drawdown chart below to compare losses from any high point for ES=F and ^TYX. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^TYX - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) and Treasury Yield 30 Years (^TYX) have volatilities of 4.05% and 4.13%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.