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.
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.
Performance
ES=F vs. ^GSPC - Performance Comparison
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Key characteristics
ES=F:
0.59
^GSPC:
0.62
ES=F:
0.86
^GSPC:
0.94
ES=F:
1.12
^GSPC:
1.14
ES=F:
0.54
^GSPC:
0.61
ES=F:
2.01
^GSPC:
2.29
ES=F:
5.01%
^GSPC:
5.01%
ES=F:
19.41%
^GSPC:
19.79%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-4.19%
^GSPC:
-3.78%
Returns By Period
In the year-to-date period, ES=F achieves a -0.53% return, which is significantly lower than ^GSPC's 0.52% return. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: ES=F at 10.84% and ^GSPC at 10.84%.
ES=F
-0.53%
5.74%
-1.84%
11.74%
12.22%
14.18%
10.84%
^GSPC
0.52%
6.32%
-1.44%
12.25%
12.45%
14.20%
10.84%
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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.
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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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Volatility
ES=F vs. ^GSPC - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.89%, while S&P 500 (^GSPC) has a volatility of 4.76%. 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.
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