ES=F vs. ^GSPC
ES=F (E-mini S&P 500 Futures) is an asset, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ES=F returned 13.59%/yr vs 13.49%/yr for ^GSPC. Their 0.97 correlation means they have historically moved very closely together.
Performance
ES=F vs. ^GSPC - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with ES=F having a 12.91% return and ^GSPC slightly higher at 13.02%. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 13.59% annualized return and ^GSPC not far behind at 13.49%.
ES=F
- 1D
- 2.02%
- 1M
- 3.37%
- 6M
- 12.11%
- YTD
- 12.91%
- 1Y
- 22.44%
- 3Y*
- 20.05%
- 5Y*
- 11.97%
- 10Y*
- 13.59%
- ALL TIME*
- 6.61%
^GSPC
- 1D
- 1.79%
- 1M
- 3.38%
- 6M
- 11.83%
- YTD
- 13.02%
- 1Y
- 22.22%
- 3Y*
- 19.99%
- 5Y*
- 11.80%
- 10Y*
- 13.49%
- ALL TIME*
- 8.15%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $38.53T | $37.79T | $41.47T |
| $10.85B | $10.18B | $11.22B |
ES=F vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ES=F E-mini S&P 500 Futures | 12.91% | 16.12% | 23.15% | 24.84% | -18.86% | 26.94% | 16.02% | 28.97% | -6.38% | 19.66% |
^GSPC S&P 500 Index | 13.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between ES=F and ^GSPC is 0.99 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.99 |
Correlation (3Y) Balances recent behavior with more history. | 0.98 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.99 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.98 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2000 | 0.97 |
The correlation between ES=F and ^GSPC has been stable across timeframes, ranging from 0.97 to 0.99 - a consistent structural relationship.
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Return for Risk
ES=F vs. ^GSPC — Risk / Return Rank
ES=F
^GSPC
ES=F vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for E-mini S&P 500 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ES=F | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.04 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.31 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 2.45 | +0.06 |
| Martin ratioReturn relative to average drawdown | 10.39 | 10.40 | -0.01 |
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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.
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Drawdown Indicators
| ES=F | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.11% | -56.78% | -0.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.95% | -9.10% | +0.15% |
Max Drawdown (3Y)Largest decline over 3 years | -18.54% | -18.90% | +0.36% |
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 DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -12.62% | -10.70% | -1.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.17% | 2.14% | +0.03% |
Volatility
ES=F vs. ^GSPC - Volatility Comparison
E-mini S&P 500 Futures (ES=F) and S&P 500 Index (^GSPC) have volatilities of 4.22% and 4.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ES=F | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 4.12% | +0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 10.15% | 10.33% | -0.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.94% | 12.95% | -0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.13% | 17.04% | +0.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.11% | 18.09% | +0.02% |
Frequently Asked Questions
With a correlation of 0.99, ES=F and ^GSPC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
ES=F has higher volatility (4.22%) compared to ^GSPC (4.12%). In terms of maximum drawdown, ES=F dropped -57.11% vs ^GSPC's -56.78%.
ES=F currently has the higher Sharpe Ratio (1.75 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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