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:
1.13
^GSPC:
1.62
ES=F:
1.59
^GSPC:
2.20
ES=F:
1.22
^GSPC:
1.30
ES=F:
1.66
^GSPC:
2.46
ES=F:
6.23
^GSPC:
10.01
ES=F:
2.33%
^GSPC:
2.08%
ES=F:
12.87%
^GSPC:
12.88%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-2.17%
^GSPC:
-2.13%
Returns By Period
In the year-to-date period, ES=F achieves a 1.57% return, which is significantly lower than ^GSPC's 2.24% return. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 10.26%, while ^GSPC has yielded a comparatively higher 11.05% annualized return.
ES=F
1.57%
-2.00%
6.66%
18.18%
12.00%
10.26%
^GSPC
2.24%
-1.73%
6.72%
18.16%
13.31%
11.05%
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Risk-Adjusted Performance
ES=F vs. ^GSPC — Risk-Adjusted Performance Rank
ES=F
^GSPC
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
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 3.46% compared to S&P 500 (^GSPC) at 3.03%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.