ES=F vs. ^GSPC

In the year-to-date period, ES=F achieves a -4.34% return, which is significantly lower than ^GSPC's -3.77% return. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 9.68%, while ^GSPC has yielded a comparatively higher 10.45% annualized return.

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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.

The current ES=F Sharpe Ratio is 0.39, which is comparable to the ^GSPC Sharpe Ratio of 0.44. 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.

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.