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.
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
Key characteristics
ES=F:
0.27
^TYX:
0.34
ES=F:
0.52
^TYX:
0.64
ES=F:
1.08
^TYX:
1.07
ES=F:
0.26
^TYX:
0.13
ES=F:
1.01
^TYX:
0.84
ES=F:
5.27%
^TYX:
7.80%
ES=F:
19.03%
^TYX:
18.99%
ES=F:
-57.11%
^TYX:
-88.52%
ES=F:
-7.97%
^TYX:
-41.01%
Returns By Period
In the year-to-date period, ES=F achieves a -4.45% return, which is significantly lower than ^TYX's 0.56% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 9.61%, while ^TYX has yielded a comparatively lower 5.07% annualized return.
ES=F
-4.45%
15.43%
-2.42%
8.94%
12.98%
9.61%
^TYX
0.56%
9.69%
8.16%
3.68%
28.87%
5.07%
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Risk-Adjusted Performance
ES=F vs. ^TYX — Risk-Adjusted Performance Rank
ES=F
^TYX
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) has a higher volatility of 5.22% compared to Treasury Yield 30 Years (^TYX) at 4.44%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^TYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.