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S&P 500 E-Mini Futures (ES=F)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


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Compare to other instruments

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


Popular comparisons:
ES=F vs. SPY ES=F vs. NQ=F ES=F vs. ^TYX ES=F vs. CL=F ES=F vs. ^FVX ES=F vs. ^GSPC ES=F vs. ^TNX ES=F vs. ^N225 ES=F vs. GC=F ES=F vs. SPXT
Popular comparisons:
ES=F vs. SPY ES=F vs. NQ=F ES=F vs. ^TYX ES=F vs. CL=F ES=F vs. ^FVX ES=F vs. ^GSPC ES=F vs. ^TNX ES=F vs. ^N225 ES=F vs. GC=F ES=F vs. SPXT

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P 500 E-Mini Futures, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.47%
9.66%
ES=F (S&P 500 E-Mini Futures)
Benchmark (^GSPC)

Returns By Period

S&P 500 E-Mini Futures had a return of 25.49% year-to-date (YTD) and 25.84% in the last 12 months. Over the past 10 years, S&P 500 E-Mini Futures had an annualized return of 10.42%, while the S&P 500 had an annualized return of 11.11%, indicating that S&P 500 E-Mini Futures did not perform as well as the benchmark.


ES=F

YTD

25.49%

1M

0.88%

6M

9.47%

1Y

25.84%

5Y*

12.06%

10Y*

10.42%

^GSPC (Benchmark)

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Monthly Returns

The table below presents the monthly returns of ES=F, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.20%4.79%4.01%-4.55%4.51%4.27%0.66%1.85%2.71%-0.96%5.09%25.49%
20235.93%-2.80%4.08%1.23%0.05%7.11%2.81%-2.13%-4.22%-2.62%8.65%5.16%24.65%
2022-5.34%-3.02%3.73%-8.90%0.09%-8.27%9.08%-4.28%-8.97%7.82%5.11%-5.40%-18.86%
2021-1.16%2.81%4.15%5.22%0.63%2.09%2.49%2.85%-4.93%6.96%-0.67%4.21%26.94%
2020-0.22%-8.47%-12.92%12.95%4.81%1.59%5.61%7.22%-4.20%-2.60%10.98%3.46%16.02%
20197.95%2.97%1.90%3.90%-6.65%6.97%1.29%-1.93%1.84%1.92%3.56%2.78%28.97%
20185.60%-3.94%-2.63%0.15%2.21%0.59%3.51%3.02%0.59%-7.13%1.74%-9.17%-6.38%
20171.71%3.88%-0.15%0.90%1.28%0.41%1.94%0.08%1.86%2.26%2.92%1.06%19.66%
2016-5.18%-0.03%6.32%0.37%1.75%-0.23%3.73%0.06%-0.41%-1.87%3.71%1.71%9.86%
2015-3.12%5.75%-2.00%0.89%1.30%-2.45%2.14%-6.16%-3.07%8.64%0.29%-2.13%-0.83%
2014-3.50%4.56%0.38%0.72%2.32%1.61%-1.42%3.99%-1.80%2.34%2.72%-0.67%11.49%
20135.16%1.34%3.27%1.89%2.31%-1.83%5.08%-2.93%2.64%4.58%3.03%2.05%29.65%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 91, ES=F is among the top 9% of futures on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ES=F is 9191
Overall Rank
The Sharpe Ratio Rank of ES=F is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 9292
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 9292
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 8585
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 100100
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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for ES=F, currently valued at 1.78, compared to the broader market0.000.501.001.502.001.782.07
The chart of Sortino ratio for ES=F, currently valued at 2.48, compared to the broader market-0.500.000.501.001.502.002.502.492.76
The chart of Omega ratio for ES=F, currently valued at 1.35, compared to the broader market1.001.101.201.301.351.39
The chart of Calmar ratio for ES=F, currently valued at 2.61, compared to the broader market0.001.002.003.002.613.05
The chart of Martin ratio for ES=F, currently valued at 10.54, compared to the broader market0.002.004.006.008.0010.0010.5413.27
ES=F
^GSPC

The current S&P 500 E-Mini Futures Sharpe ratio is 1.78. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of S&P 500 E-Mini Futures with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.78
2.07
ES=F (S&P 500 E-Mini Futures)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.98%
-1.91%
ES=F (S&P 500 E-Mini Futures)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 500 E-Mini Futures. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the S&P 500 E-Mini Futures was 57.11%, occurring on Mar 9, 2009. Recovery took 1034 trading sessions.

The current S&P 500 E-Mini Futures drawdown is 0.98%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.11%Oct 10, 2007356Mar 9, 20091034Apr 10, 20131390
-50%Mar 27, 2000659Oct 9, 20021238Jul 12, 20071897
-34.45%Feb 17, 202026Mar 23, 2020110Aug 21, 2020136
-25.02%Jan 4, 2022211Oct 12, 2022344Dec 18, 2023555
-20.36%Sep 24, 201866Dec 24, 201891Apr 26, 2019157

Volatility

Volatility Chart

The current S&P 500 E-Mini Futures volatility is 4.92%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.92%
3.82%
ES=F (S&P 500 E-Mini Futures)
Benchmark (^GSPC)
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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