S&P 500 E-Mini Futures (ES=F)
Share Price Chart
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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 12.17% over the past 12 months. Over the past 10 years, ES=F had an annualized return of 10.49%, just below the S&P 500 benchmark at 10.89%.
ES=F
0.67%
12.47%
1.34%
12.17%
14.73%
10.49%
^GSPC (Benchmark)
1.30%
12.79%
1.49%
12.35%
15.12%
10.89%
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.22% | -1.71% | -5.20% | -1.17% | 6.95% | 0.67% | |||||||
| 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% | 0.63% | 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% |
| 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% |
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 77, ES=F is among the top 23% 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.
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.
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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, 2007 | 356 | Mar 9, 2009 | 1033 | Apr 10, 2013 | 1389 |
| -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 | 208 | Oct 12, 2022 | 299 | Dec 18, 2023 | 507 |
| -20.36% | Sep 24, 2018 | 66 | Dec 24, 2018 | 91 | Apr 26, 2019 | 157 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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