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ES=F vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ES=F and GC=F is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


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.

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Key characteristics

Sharpe Ratio

ES=F:

0.58

GC=F:

2.29

Sortino Ratio

ES=F:

0.98

GC=F:

2.87

Omega Ratio

ES=F:

1.14

GC=F:

1.38

Calmar Ratio

ES=F:

0.64

GC=F:

5.08

Martin Ratio

ES=F:

2.39

GC=F:

13.95

Ulcer Index

ES=F:

4.99%

GC=F:

2.91%

Daily Std Dev

ES=F:

19.44%

GC=F:

18.20%

Max Drawdown

ES=F:

-57.11%

GC=F:

-44.36%

Current Drawdown

ES=F:

-3.66%

GC=F:

-2.95%

Returns By Period

In the year-to-date period, ES=F achieves a 0.03% return, which is significantly lower than GC=F's 25.92% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 10.92% annualized return and GC=F not far behind at 10.78%.


ES=F

YTD

0.03%

1M

6.99%

6M

-1.67%

1Y

11.58%

3Y*

12.63%

5Y*

14.34%

10Y*

10.92%

GC=F

YTD

25.92%

1M

0.86%

6M

26.34%

1Y

41.93%

3Y*

21.38%

5Y*

14.08%

10Y*

10.78%

*Annualized

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S&P 500 E-Mini Futures

Gold

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

ES=F vs. GC=F — Risk-Adjusted Performance Rank

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

ES=F
The Risk-Adjusted Performance Rank of ES=F is 7878
Overall Rank
The Sharpe Ratio Rank of ES=F is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 7878
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 7979
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 7878
Martin Ratio Rank

GC=F
The Risk-Adjusted Performance Rank of GC=F is 9494
Overall Rank
The Sharpe Ratio Rank of GC=F is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 9393
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 9393
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9494
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 9494
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ES=F vs. GC=F - Risk-Adjusted Performance 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.


The current ES=F Sharpe Ratio is 0.58, which is lower than the GC=F Sharpe Ratio of 2.29. 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.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

ES=F vs. GC=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 4.06%, while Gold (GC=F) has a volatility of 7.82%. 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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