ES=F vs. SPY

In the year-to-date period, ES=F achieves a -0.96% return, which is significantly lower than SPY's -0.89% return. Over the past 10 years, ES=F has underperformed SPY with an annualized return of 10.81%, while SPY has yielded a comparatively higher 12.57% annualized return.

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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 current ES=F Sharpe Ratio is 0.53, which is comparable to the SPY Sharpe Ratio of 0.57. 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.

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.

The current volatility for S&P 500 E-Mini Futures (ES=F) is 4.00%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.45%. 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.