ES=F vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and S&P 500 Index (^GSPC).

Performance

ES=F vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

ES=F vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F S&P 500 E-Mini Futures	-3.99%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

The year-to-date returns for both investments are quite close, with ES=F having a -3.99% return and ^GSPC slightly higher at -3.95%. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 12.35% annualized return and ^GSPC not far behind at 12.24%.

ES=F

• 1D: 0.71%
• 1M: -3.93%
• YTD: -3.99%
• 6M: -2.13%
• 1Y: 16.61%
• 3Y*: 16.94%
• 5Y*: 10.22%
• 10Y*: 12.35%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

ES=F vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F

ES=F Risk / Return Rank: 41
ES=F Sharpe Ratio Rank: 48
ES=F Sortino Ratio Rank: 41
ES=F Omega Ratio Rank: 50
ES=F Calmar Ratio Rank: 20
ES=F Martin Ratio Rank: 48

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ES=F vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and S&P 500 Index (^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.

	ES=F	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.86	0.92	-0.05
Sortino ratio Return per unit of downside risk	1.33	1.41	-0.08
Omega ratio Gain probability vs. loss probability	1.20	1.21	-0.01
Calmar ratio Return relative to maximum drawdown	1.43	1.41	+0.02
Martin ratio Return relative to average drawdown	6.48	6.61	-0.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ES=F vs. ^GSPC - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 0.86, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of ES=F and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ES=F	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.86	0.92	-0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.59	0.61	-0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.68	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.46	-0.10

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.

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.

Drawdown Indicators

	ES=F	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-56.78%	-0.33%
Max Drawdown (1Y) Largest decline over 1 year	-12.11%	-12.14%	+0.03%
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	-25.43%	+0.41%
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	-33.92%	-0.53%
Current Drawdown Current decline from peak	-5.69%	-5.78%	+0.09%
Average Drawdown Average peak-to-trough decline	-12.57%	-10.75%	-1.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	2.60%	-0.62%

Volatility

ES=F vs. ^GSPC - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.08%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. 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.

Volatility by Period

	ES=F	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.08%	5.37%	-0.29%
Volatility (6M) Calculated over the trailing 6-month period	8.88%	9.55%	-0.67%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	18.33%	-1.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.49%	16.90%	-0.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	18.05%	-0.44%