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Performance
ES=F Performance Chart
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Returns By Period
E-mini S&P 500 Futures
- 1D
- —
- 1M
- —
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- -0.71%
- YTD
- 8.39%
- 6M
- 8.57%
- 1Y
- 24.33%
- 3Y*
- 18.94%
- 5Y*
- 12.24%
- 10Y*
- 13.54%
ES=F Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 5.93% | -2.80% | 4.08% | 1.23% | -0.95% | 7.45% | |||||||
| 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% | 0.67% | 2.05% | 2.36% | 2.98% | -4.93% | 6.96% | -0.67% | 4.21% | 26.94% |
Benchmark Metrics
E-mini S&P 500 Futures has an annualized alpha of 0.10%, beta of 0.98, and R2 of 0.95 versus S&P 500 Index. Calculated based on daily prices since August 14, 2003.
- With beta of 0.98 and R2 of 0.95, this asset moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 0.10%
- Beta
- 0.98
- R²
- 0.95
- Upside Capture
- 100.20%
- Downside Capture
- 100.73%
Return for Risk
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for E-mini S&P 500 Futures (ES=F) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ES=F | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.35 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.66 | — |
| Martin ratioReturn relative to average drawdown | — | 11.86 | — |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the E-mini S&P 500 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 E-mini S&P 500 Futures was 57.11%, occurring on Mar 9, 2009. Recovery took 1029 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -57.11%Mar 2009 | 1y 5mo | 4y 1mo | 5y 6moOct 2007 - Apr 2013 |
COVID crash2020 | -34.45%Mar 2020 | 1mo 2d | 5mo 1d | 6mo 3dFeb 2020 - Aug 2020 |
Bear market2022 | -25.02%Oct 2022 | 9mo 11d | — | 4y 5moJan 2022 - now |
Rate-hike selloffLate 2018 | -20.43%Dec 2018 | 3mo 1d | 4mo 6d | 7mo 7dSep 2018 - Apr 2019 |
2016 correction2016 | -14.26%Feb 2016 | 8mo 25d | 5mo 1d | 1y 1moMay 2015 - Jul 2016 |
Drawdown Indicators
| ES=F | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | — | -56.78% | — |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.10% | — |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | — | -2.49% | — |
Average DrawdownAverage peak-to-trough decline | — | -10.72% | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.03% | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ES=F
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