^FVX vs. ES=F
Compare and contrast key facts about Treasury Yield 5 Years (^FVX) and S&P 500 E-Mini Futures (ES=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FVX or ES=F.
Correlation
The correlation between ^FVX and ES=F 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
^FVX vs. ES=F - Performance Comparison
Key characteristics
^FVX:
0.36
ES=F:
1.56
^FVX:
0.71
ES=F:
2.15
^FVX:
1.08
ES=F:
1.30
^FVX:
0.15
ES=F:
2.24
^FVX:
0.67
ES=F:
8.45
^FVX:
12.96%
ES=F:
2.31%
^FVX:
23.71%
ES=F:
12.38%
^FVX:
-97.53%
ES=F:
-57.11%
^FVX:
-44.10%
ES=F:
-1.96%
Returns By Period
In the year-to-date period, ^FVX achieves a 0.78% return, which is significantly lower than ES=F's 1.65% return. Over the past 10 years, ^FVX has outperformed ES=F with an annualized return of 12.71%, while ES=F has yielded a comparatively lower 10.69% annualized return.
^FVX
0.78%
-0.25%
6.03%
8.40%
21.97%
12.71%
ES=F
1.65%
1.68%
8.64%
23.90%
11.44%
10.69%
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Risk-Adjusted Performance
^FVX vs. ES=F — Risk-Adjusted Performance Rank
^FVX
ES=F
^FVX vs. ES=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and S&P 500 E-Mini Futures (ES=F). 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
^FVX vs. ES=F - Drawdown Comparison
The maximum ^FVX drawdown since its inception was -97.53%, which is greater than ES=F's maximum drawdown of -57.11%. Use the drawdown chart below to compare losses from any high point for ^FVX and ES=F. For additional features, visit the drawdowns tool.
Volatility
^FVX vs. ES=F - Volatility Comparison
Treasury Yield 5 Years (^FVX) has a higher volatility of 5.41% compared to S&P 500 E-Mini Futures (ES=F) at 3.73%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.