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^FVX vs. ES=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.0
Correlation: 0.2

Performance

^FVX vs. ES=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 5 Years (^FVX) and S&P 500 E-Mini Futures (ES=F). 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%NovemberDecember2025FebruaryMarchApril
-38.87%
508.74%
^FVX
ES=F

Key characteristics

Sharpe Ratio

^FVX:

-0.63

ES=F:

0.25

Sortino Ratio

^FVX:

-0.77

ES=F:

0.50

Omega Ratio

^FVX:

0.91

ES=F:

1.07

Calmar Ratio

^FVX:

-0.26

ES=F:

0.25

Martin Ratio

^FVX:

-1.12

ES=F:

0.99

Ulcer Index

^FVX:

13.30%

ES=F:

5.12%

Daily Std Dev

^FVX:

23.75%

ES=F:

19.07%

Max Drawdown

^FVX:

-97.53%

ES=F:

-57.11%

Current Drawdown

^FVX:

-51.67%

ES=F:

-9.60%

Returns By Period

In the year-to-date period, ^FVX achieves a -12.88% return, which is significantly lower than ES=F's -6.14% return. Both investments have delivered pretty close results over the past 10 years, with ^FVX having a 9.75% annualized return and ES=F not far behind at 9.46%.


^FVX

YTD

-12.88%

1M

-4.14%

6M

-7.02%

1Y

-17.74%

5Y*

61.72%

10Y*

9.75%

ES=F

YTD

-6.14%

1M

-0.38%

6M

-4.79%

1Y

8.25%

5Y*

12.47%

10Y*

9.46%

*Annualized

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Risk-Adjusted Performance

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

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

^FVX
The Risk-Adjusted Performance Rank of ^FVX is 66
Overall Rank
The Sharpe Ratio Rank of ^FVX is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of ^FVX is 44
Sortino Ratio Rank
The Omega Ratio Rank of ^FVX is 44
Omega Ratio Rank
The Calmar Ratio Rank of ^FVX is 1212
Calmar Ratio Rank
The Martin Ratio Rank of ^FVX is 88
Martin Ratio Rank

ES=F
The Risk-Adjusted Performance Rank of ES=F is 6060
Overall Rank
The Sharpe Ratio Rank of ES=F is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 5151
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 6060
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 6666
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.

^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.


The chart of Sharpe ratio for ^FVX, currently valued at -0.60, compared to the broader market-0.500.000.501.001.50
^FVX: -0.60
ES=F: 0.17
The chart of Sortino ratio for ^FVX, currently valued at -0.73, compared to the broader market-1.00-0.500.000.501.001.502.00
^FVX: -0.73
ES=F: 0.39
The chart of Omega ratio for ^FVX, currently valued at 0.91, compared to the broader market0.901.001.101.201.30
^FVX: 0.91
ES=F: 1.06
The chart of Calmar ratio for ^FVX, currently valued at -0.27, compared to the broader market-0.500.000.501.001.50
^FVX: -0.27
ES=F: 0.17
The chart of Martin ratio for ^FVX, currently valued at -1.19, compared to the broader market0.002.004.006.008.00
^FVX: -1.19
ES=F: 0.68

The current ^FVX Sharpe Ratio is -0.63, which is lower than the ES=F Sharpe Ratio of 0.25. The chart below compares the historical Sharpe Ratios of ^FVX and ES=F, 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 Ratio-1.00-0.500.000.501.001.502.002.50NovemberDecember2025FebruaryMarchApril
-0.60
0.17
^FVX
ES=F

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-43.98%
-9.60%
^FVX
ES=F

Volatility

^FVX vs. ES=F - Volatility Comparison

The current volatility for Treasury Yield 5 Years (^FVX) is 9.17%, while S&P 500 E-Mini Futures (ES=F) has a volatility of 14.04%. This indicates that ^FVX experiences smaller price fluctuations and is considered to be less risky than ES=F 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%NovemberDecember2025FebruaryMarchApril
9.17%
14.04%
^FVX
ES=F