PortfoliosLab logo
ES=F vs. ^TYX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and Treasury Yield 30 Years (^TYX). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%December2025FebruaryMarchAprilMay
519.69%
-27.55%
ES=F
^TYX

Key characteristics

Sharpe Ratio

ES=F:

0.27

^TYX:

0.34

Sortino Ratio

ES=F:

0.52

^TYX:

0.64

Omega Ratio

ES=F:

1.08

^TYX:

1.07

Calmar Ratio

ES=F:

0.26

^TYX:

0.13

Martin Ratio

ES=F:

1.01

^TYX:

0.84

Ulcer Index

ES=F:

5.27%

^TYX:

7.80%

Daily Std Dev

ES=F:

19.03%

^TYX:

18.99%

Max Drawdown

ES=F:

-57.11%

^TYX:

-88.52%

Current Drawdown

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

YTD

-4.45%

1M

15.43%

6M

-2.42%

1Y

8.94%

5Y*

12.98%

10Y*

9.61%

^TYX

YTD

0.56%

1M

9.69%

6M

8.16%

1Y

3.68%

5Y*

28.87%

10Y*

5.07%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ES=F vs. ^TYX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F
The Risk-Adjusted Performance Rank of ES=F is 6767
Overall Rank
The Sharpe Ratio Rank of ES=F is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 6666
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 6868
Martin Ratio Rank

^TYX
The Risk-Adjusted Performance Rank of ^TYX is 3838
Overall Rank
The Sharpe Ratio Rank of ^TYX is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of ^TYX is 4343
Sortino Ratio Rank
The Omega Ratio Rank of ^TYX is 3636
Omega Ratio Rank
The Calmar Ratio Rank of ^TYX is 3333
Calmar Ratio Rank
The Martin Ratio Rank of ^TYX is 3535
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current ES=F Sharpe Ratio is 0.27, which is comparable to the ^TYX Sharpe Ratio of 0.34. The chart below compares the historical Sharpe Ratios of ES=F and ^TYX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00December2025FebruaryMarchAprilMay
0.22
0.45
ES=F
^TYX

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.


-40.00%-30.00%-20.00%-10.00%0.00%December2025FebruaryMarchAprilMay
-7.97%
-28.61%
ES=F
^TYX

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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
5.22%
4.44%
ES=F
^TYX