ES=F vs. GC=F

Last updated Apr 2, 2026

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

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

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	-3.99%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
GC=F Gold	10.61%	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 -3.99% return, which is significantly lower than GC=F's 10.61% return. Over the past 10 years, ES=F has underperformed GC=F with an annualized return of 12.35%, while GC=F has yielded a comparatively higher 14.62% annualized return.

ES=F

• 1D: 0.71%
• 1M: -3.93%
• YTD: -3.99%
• 6M: -2.13%
• 1Y: 16.61%
• 3Y*: 16.94%
• 5Y*: 10.22%
• 10Y*: 12.35%

GC=F

• 1D: 2.95%
• 1M: -9.63%
• YTD: 10.61%
• 6M: 23.71%
• 1Y: 53.41%
• 3Y*: 34.44%
• 5Y*: 22.61%
• 10Y*: 14.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

ES=F vs. GC=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F

ES=F Risk / Return Rank: 41
ES=F Sharpe Ratio Rank: 48
ES=F Sortino Ratio Rank: 41
ES=F Omega Ratio Rank: 50
ES=F Calmar Ratio Rank: 20
ES=F Martin Ratio Rank: 48

GC=F

GC=F Risk / Return Rank: 91
GC=F Sharpe Ratio Rank: 100
GC=F Sortino Ratio Rank: 100
GC=F Omega Ratio Rank: 94
GC=F Calmar Ratio Rank: 71
GC=F Martin Ratio Rank: 92

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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 ratio Return per unit of total volatility	0.86	1.85	-0.99
Sortino ratio Return per unit of downside risk	1.33	2.26	-0.93
Omega ratio Gain probability vs. loss probability	1.20	1.34	-0.14
Calmar ratio Return relative to maximum drawdown	1.43	2.74	-1.30
Martin ratio Return relative to average drawdown	6.48	10.15	-3.66
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ES=F vs. GC=F - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 0.86, which is lower than the GC=F Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of ES=F and GC=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ES=F	GC=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.86	1.85	-0.99
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.59	1.25	-0.66
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.89	-0.22
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.

Drawdown Indicators

	ES=F	GC=F	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-44.36%	-12.75%
Max Drawdown (1Y) Largest decline over 1 year	-12.11%	-17.73%	+5.62%
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 Drawdown Current decline from peak	-5.69%	-10.04%	+4.35%
Average Drawdown Average peak-to-trough decline	-12.57%	-13.03%	+0.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	4.78%	-2.80%

Volatility

ES=F vs. GC=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 5.08%, while Gold (GC=F) has a volatility of 11.29%. 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.

Volatility by Period

	ES=F	GC=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.08%	11.29%	-6.21%
Volatility (6M) Calculated over the trailing 6-month period	8.88%	24.59%	-15.71%
Volatility (1Y) Calculated over the trailing 1-year period	17.09%	27.77%	-10.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.49%	17.96%	-1.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.61%	16.36%	+1.25%