Highlights
- Avg. Volume (1M)
- 1M
- Avg. Volume Value (1M)
- $10.70B
Share Price Chart
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Performance
ES=F Performance Chart
E-mini S&P 500 Futures (ES=F) is up 8.9% since the beginning of the year. ES=F is currently trading at $7,504 per share. Investors who bought $1,000 worth of ES=F shares 5 years ago would now be looking at an investment worth $1,709.
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Returns By Period
E-mini S&P 500 Futures (ES=F) has returned 8.86% so far this year and 17.72% over the past 12 months. Over the last decade, ES=F has posted an annualized return of 13.30%, slightly higher than the S&P 500 Index benchmark’s 13.26%.
E-mini S&P 500 Futures
- 1D
- 0.41%
- 1M
- -0.53%
- 6M
- 7.72%
- YTD
- 8.86%
- 1Y
- 17.72%
- 3Y*
- 17.71%
- 5Y*
- 11.32%
- 10Y*
- 13.30%
- ALL TIME*
- 6.46%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 18.15%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
ES=F Monthly Returns History
Based on dividend-adjusted daily data since Sep 18, 2000, ES=F's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, an investment would double in approximately 9.3 years.
Historically, 63% of months were positive and 37% were negative. The best month was Apr 2020 with a return of +13.0%, while the worst month was Oct 2008 at -17.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ES=F closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +14.1%, while the worst single day was Mar 16, 2020 at -10.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.06% | -1.10% | -4.62% | 10.24% | 4.86% | -0.63% | -0.59% | 8.86% | |||||
| 2025 | 2.22% | -1.71% | -5.20% | -1.17% | 5.89% | 5.71% | 1.93% | 1.55% | 4.11% | 2.01% | -0.21% | 0.48% | 16.12% |
| 2024 | 1.05% | 4.79% | 4.01% | -4.55% | 4.51% | 4.27% | 0.66% | 1.85% | 2.71% | -1.30% | 5.45% | -1.91% | 23.15% |
| 2023 | 5.93% | -2.80% | 4.08% | 1.23% | 0.05% | 7.11% | 2.81% | -2.13% | -4.22% | -2.62% | 8.65% | 5.31% | 24.84% |
| 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 September 18, 2000.
- 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
- 99.79%
- Downside Capture
- 100.19%
Return for Risk
Risk / Return Rank
ES=F ranks 100 for risk / return — above 100% of futures peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return 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 | -0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.25 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 1.99 | 2.00 | -0.02 |
| Martin ratioReturn relative to average drawdown | 8.20 | 8.49 | -0.29 |
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.
The current E-mini S&P 500 Futures drawdown is 1.58%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-57.11%Mar 2009 | 1y 5mo | 4y 1mo | 5y 6moOct 2007 - Apr 2013 | Financial crisis2007–2009 |
-47.60%Oct 2002 | 2y 21d | 4y 6mo | 6y 7moSep 2000 - Apr 2007 | Dot-com crash2000–2002 |
-34.45%Mar 2020 | 1mo 2d | 5mo 1d | 6mo 3dFeb 2020 - Aug 2020 | COVID crash2020 |
-25.02%Oct 2022 | 9mo 11d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 | Bear market2022 |
-20.43%Dec 2018 | 3mo 1d | 4mo 6d | 7mo 7dSep 2018 - Apr 2019 | Rate-hike selloffLate 2018 |
Drawdown Indicators
| ES=F | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.11% | -56.78% | -0.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.95% | -9.10% | +0.15% |
Max Drawdown (3Y)Largest decline over 3 years | -18.54% | -18.90% | +0.36% |
Max Drawdown (5Y)Largest decline over 5 years | -25.02% | -25.43% | +0.41% |
Max Drawdown (10Y)Largest decline over 10 years | -34.45% | -33.92% | -0.53% |
Current DrawdownCurrent decline from peak | -1.58% | -1.58% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -12.63% | -10.70% | -1.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.17% | 2.14% | +0.03% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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