Correlation
The correlation between ES=F and SPXT is 0.79, 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.
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.
Performance
ES=F vs. SPXT - Performance Comparison
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Key characteristics
ES=F:
0.63
SPXT:
0.78
ES=F:
0.96
SPXT:
1.18
ES=F:
1.14
SPXT:
1.17
ES=F:
0.63
SPXT:
0.82
ES=F:
2.33
SPXT:
3.24
ES=F:
4.99%
SPXT:
3.96%
ES=F:
19.43%
SPXT:
16.67%
ES=F:
-57.11%
SPXT:
-34.38%
ES=F:
-2.78%
SPXT:
-3.93%
Returns By Period
In the year-to-date period, ES=F achieves a 0.94% return, which is significantly lower than SPXT's 1.80% return.
ES=F
0.94%
7.90%
-0.39%
12.53%
12.87%
14.52%
11.02%
SPXT
1.80%
4.32%
-1.97%
12.94%
10.50%
13.20%
N/A
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Risk-Adjusted Performance
ES=F vs. SPXT — Risk-Adjusted Performance Rank
ES=F
SPXT
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.
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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.
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Volatility
ES=F vs. SPXT - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 4.09%, while ProShares S&P 500 Ex-Technology ETF (SPXT) has a volatility of 4.43%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than SPXT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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