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

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Compare to other instruments

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Performance

Performance Chart


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Returns By Period

S&P 500 E-Mini Futures (ES=F) returned 0.67% year-to-date (YTD) and 12.32% over the past 12 months. Over the past 10 years, ES=F had an annualized return of 10.48%, just below the S&P 500 benchmark at 10.87%.


ES=F

YTD

0.67%

1M

12.62%

6M

1.34%

1Y

12.32%

5Y*

15.50%

10Y*

10.48%

^GSPC (Benchmark)

YTD

1.30%

1M

12.94%

6M

1.49%

1Y

12.48%

5Y*

15.82%

10Y*

10.87%

*Annualized

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
20252.22%-1.71%-5.20%-1.17%6.95%0.67%
20241.05%4.79%4.01%-4.55%4.51%4.27%0.66%1.85%2.71%-1.30%5.45%-1.91%23.15%
20235.93%-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%0.63%2.09%2.36%2.98%-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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 78, ES=F is among the top 22% 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 7878
Overall Rank
The Sharpe Ratio Rank of ES=F is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 7878
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 7878
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 7878
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.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

S&P 500 E-Mini Futures Sharpe ratios as of May 17, 2025 (values are recalculated daily):

  • 1-Year: 0.62
  • 5-Year: 0.88
  • 10-Year: 0.58
  • All Time: 0.35

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of S&P 500 E-Mini Futures compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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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 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 1033 trading sessions.

The current S&P 500 E-Mini Futures drawdown is 3.04%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.11%Oct 10, 2007356Mar 9, 20091033Apr 10, 20131389
-50%Mar 27, 2000659Oct 9, 20021238Jul 12, 20071897
-34.45%Feb 17, 202026Mar 23, 2020110Aug 21, 2020136
-25.02%Jan 4, 2022208Oct 12, 2022299Dec 18, 2023507
-20.36%Sep 24, 201866Dec 24, 201891Apr 26, 2019157

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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