S&P 500 E-Mini Futures (ES=F)
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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.
Returns By Period
S&P 500 E-Mini Futures had a return of 23.86% year-to-date (YTD) and 31.91% in the last 12 months. Over the past 10 years, S&P 500 E-Mini Futures had an annualized return of 10.50%, while the S&P 500 had an annualized return of 11.31%, indicating that S&P 500 E-Mini Futures did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 23.86% | 24.72% |
| 1 month | 1.68% | 2.30% |
| 6 months | 12.05% | 12.31% |
| 1 year | 31.91% | 32.12% |
| 5 years (annualized) | 12.49% | 13.81% |
| 10 years (annualized) | 10.50% | 11.31% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.20% | 4.79% | 4.01% | -4.55% | 4.51% | 4.27% | 0.66% | 1.85% | 2.71% | -0.96% | 23.86% | ||
| 2023 | 5.93% | -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% |
| 2019 | 7.95% | 2.97% | 1.90% | 3.90% | -6.65% | 6.97% | 1.29% | -1.93% | 1.84% | 1.92% | 3.56% | 2.78% | 28.97% |
| 2018 | 5.60% | -3.94% | -2.63% | 0.15% | 2.21% | 0.59% | 3.51% | 3.02% | 0.59% | -7.13% | 1.74% | -9.17% | -6.38% |
| 2017 | 1.71% | 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% |
| 2013 | 5.16% | 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
The current risk-adjusted rank of ES=F is 85, placing it in the top 15% of futures on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
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.
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 1.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -57.11% | Oct 10, 2007 | 356 | Mar 9, 2009 | 1034 | Apr 10, 2013 | 1390 |
| -50% | Mar 27, 2000 | 659 | Oct 9, 2002 | 1238 | Jul 12, 2007 | 1897 |
| -34.45% | Feb 17, 2020 | 26 | Mar 23, 2020 | 110 | Aug 21, 2020 | 136 |
| -25.02% | Jan 4, 2022 | 211 | Oct 12, 2022 | 344 | Dec 18, 2023 | 555 |
| -20.36% | Sep 24, 2018 | 66 | Dec 24, 2018 | 91 | Apr 26, 2019 | 157 |
Volatility
Volatility Chart
The current S&P 500 E-Mini Futures volatility is 3.83%, 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.