^TYX vs. ES=F
Compare and contrast key facts about Treasury Yield 30 Years (^TYX) 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: ^TYX or ES=F.
Performance
^TYX vs. ES=F - Performance Comparison
Returns By Period
In the year-to-date period, ^TYX achieves a 15.00% return, which is significantly lower than ES=F's 24.01% return. Over the past 10 years, ^TYX has underperformed ES=F with an annualized return of 4.24%, while ES=F has yielded a comparatively higher 10.37% annualized return.
^TYX
15.00%
2.87%
0.92%
1.65%
15.49%
4.24%
ES=F
24.01%
1.29%
12.93%
30.68%
12.56%
10.37%
Key characteristics
| ^TYX | ES=F | |
|---|---|---|
| Sharpe Ratio | 0.11 | 2.13 |
| Sortino Ratio | 0.31 | 2.94 |
| Omega Ratio | 1.03 | 1.42 |
| Calmar Ratio | 0.04 | 2.95 |
| Martin Ratio | 0.26 | 12.13 |
| Ulcer Index | 8.47% | 2.12% |
| Daily Std Dev | 19.81% | 11.67% |
| Max Drawdown | -88.52% | -57.11% |
| Current Drawdown | -43.35% | -1.05% |
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Correlation
The correlation between ^TYX and ES=F 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.
Risk-Adjusted Performance
^TYX vs. ES=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 30 Years (^TYX) 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
^TYX vs. ES=F - Drawdown Comparison
The maximum ^TYX drawdown since its inception was -88.52%, 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 ^TYX and ES=F. For additional features, visit the drawdowns tool.
Volatility
^TYX vs. ES=F - Volatility Comparison
Treasury Yield 30 Years (^TYX) has a higher volatility of 5.84% compared to S&P 500 E-Mini Futures (ES=F) at 4.00%. This indicates that ^TYX'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.