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:
-0.01
^GSPC:
0.24
ES=F:
0.13
^GSPC:
0.47
ES=F:
1.02
^GSPC:
1.07
ES=F:
-0.01
^GSPC:
0.24
ES=F:
-0.04
^GSPC:
1.08
ES=F:
4.59%
^GSPC:
4.25%
ES=F:
18.72%
^GSPC:
19.00%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-13.80%
^GSPC:
-14.02%
Returns By Period
The year-to-date returns for both investments are quite close, with ES=F having a -10.50% return and ^GSPC slightly higher at -10.18%. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 9.03%, while ^GSPC has yielded a comparatively higher 9.68% annualized return.
ES=F
-10.50%
-6.29%
-9.75%
4.95%
11.74%
9.03%
^GSPC
-10.18%
-5.91%
-9.57%
5.19%
12.98%
9.68%
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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 14.45% compared to S&P 500 (^GSPC) at 13.43%. 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.