ES=F vs. SPY

Last updated Jun 26, 2026

ES=F (E-mini S&P 500 Futures) is an asset, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Their correlation of 0.90 suggests significant overlap in exposure.

Performance

ES=F vs. SPY - Performance Comparison

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

Returns By Period

ES=F

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: -1.92%
• YTD: 8.25%
• 6M: 6.93%
• 1Y: 22.29%
• 3Y*: 20.89%
• 5Y*: 12.99%
• 10Y*: 15.75%

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

ES=F vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F E-mini S&P 500 Futures	0.00%	0.00%	0.00%	7.45%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
SPY State Street SPDR S&P 500 ETF	8.25%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between ES=F and SPY is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Aug 14, 2003	0.90

The correlation between ES=F and SPY shifts across timeframes, from 0.64 (5 years) to 0.90 (all time), reflecting how their relationship changes across market environments.

Return for Risk

ES=F vs. SPY — Risk / Return Rank

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

ES=F

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

SPY

SPY Risk / Return Rank: 63
SPY Sharpe Ratio Rank: 63
SPY Sortino Ratio Rank: 61
SPY Omega Ratio Rank: 63
SPY Calmar Ratio Rank: 59
SPY Martin Ratio Rank: 70

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for E-mini S&P 500 Futures (ES=F) and State Street 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ES=F	SPY	Difference
Sharpe ratio: Return per unit of total volatility	—	1.80	—
Sortino ratio: Return per unit of downside risk	—	2.46	—
Omega ratio: Gain probability vs. loss probability	—	1.33	—
Calmar ratio: Return relative to maximum drawdown	—	2.52	—
Martin ratio: Return relative to average drawdown	—	11.15	—

Drawdowns

Drawdown Indicators

	ES=F	SPY	Difference
Max Drawdown Largest peak-to-trough decline	—	-55.19%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-8.88%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	—	-3.08%	—
Average Drawdown Average peak-to-trough decline	—	-9.03%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.00%	—

Volatility

Volatility by Period

	ES=F	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	4.79%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.80%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	12.43%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	17.15%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	17.95%	—

Frequently Asked Questions

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

With a correlation of 0.90, ES=F and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.