ES=F vs. GC=F

Last updated Jun 4, 2026

ES=F (S&P 500 E-Mini Futures) and GC=F (Gold) are both assets. Over the past 10 years, ES=F returned 13.66%/yr vs 13.66%/yr for GC=F. At a 0.01 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, ES=F achieves a 9.50% return, which is significantly higher than GC=F's 3.17% return. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: ES=F at 13.66% and GC=F at 13.66%.

ES=F

• 1D: -1.00%
• 1M: 4.39%
• YTD: 9.50%
• 6M: 9.99%
• 1Y: 26.18%
• 3Y*: 20.74%
• 5Y*: 12.29%
• 10Y*: 13.66%

GC=F

• 1D: -0.59%
• 1M: -1.26%
• YTD: 3.17%
• 6M: 6.27%
• 1Y: 33.21%
• 3Y*: 31.73%
• 5Y*: 18.75%
• 10Y*: 13.66%

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

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	9.50%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
GC=F Gold	3.17%	64.52%	27.48%	13.34%	-0.43%	-3.47%	24.59%	18.87%	-2.14%	13.59%

Correlation

The correlation between ES=F and GC=F is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.13
Correlation (5Y) Calculated over the trailing 5-year period	0.09
Correlation (10Y) Calculated over the trailing 10-year period	0.04
Correlation (All Time) Calculated using the full available price history since Aug 30, 2000	0.01

Over the past year, ES=F and GC=F have become more correlated (0.21) than their long-term average of 0.01, meaning their price movements have been converging.

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: 85
ES=F Sharpe Ratio Rank: 82
ES=F Sortino Ratio Rank: 84
ES=F Omega Ratio Rank: 80
ES=F Calmar Ratio Rank: 85
ES=F Martin Ratio Rank: 93

GC=F

GC=F Risk / Return Rank: 52
GC=F Sharpe Ratio Rank: 50
GC=F Sortino Ratio Rank: 49
GC=F Omega Ratio Rank: 47
GC=F Calmar Ratio Rank: 52
GC=F Martin Ratio Rank: 60

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	2.08	1.22	+0.86
Sortino ratio Return per unit of downside risk	2.91	1.60	+1.31
Omega ratio Gain probability vs. loss probability	1.38	1.25	+0.13
Calmar ratio Return relative to maximum drawdown	2.61	1.82	+0.80
Martin ratio Return relative to average drawdown	11.71	4.60	+7.11
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 2.08, which is higher than the GC=F Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of ES=F and GC=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ES=F	GC=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	1.22	+0.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	1.03	-0.31
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	0.83	-0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.62	-0.24

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	-8.95%	-17.73%	+8.78%
Max Drawdown (3Y) Largest decline over 3 years	-18.54%	-17.73%	-0.81%
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	-1.00%	-16.09%	+15.09%
Average Drawdown Average peak-to-trough decline	-12.50%	-13.03%	+0.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	7.09%	-5.00%

Volatility

ES=F vs. GC=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.89%, while Gold (GC=F) has a volatility of 5.24%. 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	2.89%	5.24%	-2.35%
Volatility (6M) Calculated over the trailing 6-month period	8.77%	23.04%	-14.27%
Volatility (1Y) Calculated over the trailing 1-year period	11.25%	26.46%	-15.21%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.50%	18.19%	-1.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.63%	16.44%	+1.19%

Frequently Asked Questions

Can I hold both ES=F and GC=F in my portfolio?

ES=F and GC=F have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ES=F or GC=F?

GC=F has higher volatility (5.24%) compared to ES=F (2.89%). In terms of maximum drawdown, ES=F dropped -57.11% vs GC=F's -44.36%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (2.08 vs 1.22), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.