ES=F vs. SPXT
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and ProShares S&P 500 Ex-Technology ETF (SPXT).
SPXT is a passively managed fund by ProShares that tracks the performance of the S&P 500 Ex-Information Technology & Telecommunication Services Index. It was launched on Sep 22, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or SPXT.
Key characteristics
| ES=F | SPXT | |
|---|---|---|
| YTD Return | 23.86% | 21.97% |
| 1Y Return | 31.91% | 30.08% |
| 3Y Return (Ann) | 7.42% | 7.23% |
| 5Y Return (Ann) | 12.49% | 11.91% |
| Sharpe Ratio | 1.97 | 3.03 |
| Sortino Ratio | 2.75 | 4.11 |
| Omega Ratio | 1.39 | 1.55 |
| Calmar Ratio | 2.71 | 4.17 |
| Martin Ratio | 11.14 | 21.96 |
| Ulcer Index | 2.12% | 1.39% |
| Daily Std Dev | 11.57% | 10.06% |
| Max Drawdown | -57.11% | -34.38% |
| Current Drawdown | -1.17% | -1.29% |
Correlation
The correlation between ES=F and SPXT is 0.75, 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.
Performance
ES=F vs. SPXT - Performance Comparison
In the year-to-date period, ES=F achieves a 23.86% return, which is significantly higher than SPXT's 21.97% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ES=F vs. SPXT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and ProShares S&P 500 Ex-Technology ETF (SPXT). 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.
Drawdowns
ES=F vs. SPXT - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, which is greater than SPXT's maximum drawdown of -34.38%. Use the drawdown chart below to compare losses from any high point for ES=F and SPXT. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. SPXT - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 3.83% compared to ProShares S&P 500 Ex-Technology ETF (SPXT) at 3.60%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than SPXT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.