ES=F vs. ^GSPC
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^GSPC.
Correlation
The correlation between ES=F and ^GSPC is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
ES=F vs. ^GSPC - Performance Comparison
Key characteristics
ES=F:
1.59
^GSPC:
2.12
ES=F:
2.18
^GSPC:
2.83
ES=F:
1.31
^GSPC:
1.39
ES=F:
2.25
^GSPC:
3.13
ES=F:
9.09
^GSPC:
13.67
ES=F:
2.16%
^GSPC:
1.94%
ES=F:
11.88%
^GSPC:
12.54%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-3.90%
^GSPC:
-2.37%
Returns By Period
In the year-to-date period, ES=F achieves a 21.79% return, which is significantly lower than ^GSPC's 24.66% return. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 10.16%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
ES=F
21.79%
-1.30%
7.02%
23.40%
11.42%
10.16%
^GSPC
24.66%
0.49%
8.64%
26.56%
13.06%
11.10%
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Risk-Adjusted Performance
ES=F vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
ES=F vs. ^GSPC - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ES=F and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^GSPC - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.53%, while S&P 500 (^GSPC) has a volatility of 3.82%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.