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 | 23.86% | 14.03% |
| 1Y Return | 31.91% | -2.32% |
| 3Y Return (Ann) | 7.42% | 31.03% |
| 5Y Return (Ann) | 12.49% | 14.42% |
| 10Y Return (Ann) | 10.50% | 4.02% |
| Sharpe Ratio | 1.97 | 0.00 |
| Sortino Ratio | 2.75 | 0.15 |
| Omega Ratio | 1.39 | 1.02 |
| Calmar Ratio | 2.71 | 0.00 |
| Martin Ratio | 11.14 | 0.01 |
| Ulcer Index | 2.12% | 8.86% |
| Daily Std Dev | 11.57% | 19.89% |
| Max Drawdown | -57.11% | -88.52% |
| Current Drawdown | -1.17% | -43.83% |
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 23.86% return, which is significantly higher than ^TYX's 14.03% return. Over the past 10 years, ES=F has outperformed ^TYX with an annualized return of 10.50%, while ^TYX has yielded a comparatively lower 4.02% 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
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.83%, while Treasury Yield 30 Years (^TYX) has a volatility of 6.32%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^TYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.