Share Price Chart
Loading graphics...
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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.
Loading graphics...
Returns By Period
S&P 500 E-Mini Futures (ES=F) has returned -4.72% so far this year and 16.17% over the past 12 months. Over the last decade, ES=F has posted an annualized return of 12.27%, slightly higher than the S&P 500 Index benchmark’s 12.16%.
S&P 500 E-Mini Futures
- 1D
- 2.81%
- 1M
- -4.67%
- YTD
- -4.72%
- 6M
- -2.54%
- 1Y
- 16.17%
- 3Y*
- 16.65%
- 5Y*
- 10.37%
- 10Y*
- 12.27%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Sep 10, 1997, ES=F's average daily return is +0.03%, while the average monthly return is +0.68%. At this rate, your investment would double in approximately 8.5 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 53% 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% | -4.67% | -4.72% | |||||||||
| 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% | 0.63% | 2.09% | 2.36% | 2.98% | -4.93% | 6.96% | -0.67% | 4.21% | 26.94% |
Benchmark Metrics
S&P 500 E-Mini Futures has an annualized alpha of -0.11%, beta of 0.98, and R² of 0.92 versus S&P 500 Index. Calculated based on daily prices since September 11, 1997.
- With beta of 0.98 and R² of 0.92, 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
- -0.11%
- Beta
- 0.98
- R²
- 0.92
- Upside Capture
- 99.62%
- Downside Capture
- 101.42%
Return for Risk
Risk / Return Rank
ES=F ranks 37 for risk / return — below 37% of futures on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and compare them to a chosen benchmark (S&P 500 Index).
| ES=F | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.84 | 0.90 | -0.05 |
Sortino ratioReturn per unit of downside risk | 1.30 | 1.39 | -0.09 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.21 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.60 | 1.40 | +0.20 |
Martin ratioReturn relative to average drawdown | 7.35 | 6.61 | +0.74 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ES=F risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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.
Loading graphics...
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 6.40%.
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.
Loading graphics...