ES=F vs. GC=F
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and Gold (GC=F).
Performance
ES=F vs. GC=F - Performance Comparison
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ES=F vs. GC=F - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ES=F S&P 500 E-Mini Futures | -3.90% | 16.12% | 23.15% | 24.84% | -18.86% | 26.94% | 16.02% | 28.97% | -6.38% | 19.66% |
GC=F Gold | 8.72% | 64.52% | 27.48% | 13.34% | -0.43% | -3.47% | 24.59% | 18.87% | -2.14% | 13.59% |
Returns By Period
In the year-to-date period, ES=F achieves a -3.90% return, which is significantly lower than GC=F's 8.72% return. Over the past 10 years, ES=F has underperformed GC=F with an annualized return of 12.40%, while GC=F has yielded a comparatively higher 14.46% annualized return.
ES=F
- 1D
- 0.09%
- 1M
- -2.94%
- YTD
- -3.90%
- 6M
- -2.11%
- 1Y
- 15.96%
- 3Y*
- 16.83%
- 5Y*
- 10.24%
- 10Y*
- 12.40%
GC=F
- 1D
- -1.68%
- 1M
- -7.92%
- YTD
- 8.72%
- 6M
- 22.48%
- 1Y
- 49.77%
- 3Y*
- 33.33%
- 5Y*
- 22.19%
- 10Y*
- 14.46%
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Return for Risk
ES=F vs. GC=F — Risk / Return Rank
ES=F
GC=F
ES=F vs. GC=F - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and Gold (GC=F). 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 | GC=F | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.83 | 1.72 | -0.89 |
Sortino ratioReturn per unit of downside risk | 1.28 | 2.13 | -0.85 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.32 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | 1.36 | 2.64 | -1.28 |
Martin ratioReturn relative to average drawdown | 6.06 | 9.67 | -3.60 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ES=F | GC=F | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.83 | 1.72 | -0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 1.23 | -0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.88 | -0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.64 | -0.28 |
Correlation
The correlation between ES=F and GC=F is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Drawdowns
ES=F vs. GC=F - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for ES=F and GC=F.
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Drawdown Indicators
| ES=F | GC=F | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.11% | -44.36% | -12.75% |
Max Drawdown (1Y)Largest decline over 1 year | -8.95% | -17.73% | +8.78% |
Max Drawdown (5Y)Largest decline over 5 years | -25.02% | -20.43% | -4.59% |
Max Drawdown (10Y)Largest decline over 10 years | -34.45% | -20.87% | -13.58% |
Current DrawdownCurrent decline from peak | -5.59% | -11.58% | +5.99% |
Average DrawdownAverage peak-to-trough decline | -12.56% | -13.03% | +0.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.01% | 4.83% | -2.82% |
Volatility
ES=F vs. GC=F - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.00%, while Gold (GC=F) has a volatility of 11.34%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than GC=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ES=F | GC=F | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.00% | 11.34% | -6.34% |
Volatility (6M)Calculated over the trailing 6-month period | 8.75% | 24.65% | -15.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.09% | 27.83% | -10.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.48% | 17.97% | -1.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.61% | 16.37% | +1.24% |