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

Correlation

The correlation between ES=F and SPY is 0.95, 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.


-0.50.00.51.0
Correlation: 1.0

Performance

ES=F vs. SPY - Performance Comparison

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

400.00%500.00%600.00%700.00%800.00%900.00%1,000.00%December2025FebruaryMarchAprilMay
523.76%
903.99%
ES=F
SPY

Key characteristics

Sharpe Ratio

ES=F:

0.33

SPY:

0.72

Sortino Ratio

ES=F:

0.60

SPY:

1.13

Omega Ratio

ES=F:

1.09

SPY:

1.17

Calmar Ratio

ES=F:

0.33

SPY:

0.76

Martin Ratio

ES=F:

1.27

SPY:

3.04

Ulcer Index

ES=F:

5.20%

SPY:

4.72%

Daily Std Dev

ES=F:

19.07%

SPY:

20.06%

Max Drawdown

ES=F:

-57.11%

SPY:

-55.19%

Current Drawdown

ES=F:

-7.37%

SPY:

-7.25%

Returns By Period

In the year-to-date period, ES=F achieves a -3.82% return, which is significantly lower than SPY's -3.01% return. Over the past 10 years, ES=F has underperformed SPY with an annualized return of 9.79%, while SPY has yielded a comparatively higher 12.45% annualized return.


ES=F

YTD

-3.82%

1M

-0.06%

6M

-0.86%

1Y

12.13%

5Y*

13.52%

10Y*

9.79%

SPY

YTD

-3.01%

1M

0.40%

6M

-0.12%

1Y

13.65%

5Y*

16.65%

10Y*

12.45%

*Annualized

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Risk-Adjusted Performance

ES=F vs. SPY — 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 7777
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 7878
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

SPY
The Risk-Adjusted Performance Rank of SPY is 7272
Overall Rank
The Sharpe Ratio Rank of SPY is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 7171
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7373
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7676
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 7373
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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and SPDR S&P 500 ETF (SPY). 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 chart of Sharpe ratio for ES=F, currently valued at 0.33, compared to the broader market-0.500.000.501.001.502.00
ES=F: 0.33
SPY: 0.38
The chart of Sortino ratio for ES=F, currently valued at 0.60, compared to the broader market-1.000.001.002.00
ES=F: 0.60
SPY: 0.68
The chart of Omega ratio for ES=F, currently valued at 1.09, compared to the broader market0.901.001.101.201.30
ES=F: 1.09
SPY: 1.11
The chart of Calmar ratio for ES=F, currently valued at 0.33, compared to the broader market0.001.002.003.004.00
ES=F: 0.33
SPY: 0.40
The chart of Martin ratio for ES=F, currently valued at 1.27, compared to the broader market0.002.004.006.008.0010.0012.00
ES=F: 1.27
SPY: 1.46

The current ES=F Sharpe Ratio is 0.33, which is lower than the SPY Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ES=F and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50December2025FebruaryMarchAprilMay
0.33
0.38
ES=F
SPY

Drawdowns

ES=F vs. SPY - Drawdown Comparison

The maximum ES=F drawdown since its inception was -57.11%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ES=F and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-7.37%
-7.25%
ES=F
SPY

Volatility

ES=F vs. SPY - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 11.15%, while SPDR S&P 500 ETF (SPY) has a volatility of 12.45%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
11.15%
12.45%
ES=F
SPY