ES=F vs. SPY
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or SPY.
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.
Performance
ES=F vs. SPY - Performance Comparison
Key characteristics
ES=F:
1.13
SPY:
1.75
ES=F:
1.59
SPY:
2.36
ES=F:
1.22
SPY:
1.32
ES=F:
1.66
SPY:
2.66
ES=F:
6.23
SPY:
11.01
ES=F:
2.33%
SPY:
2.03%
ES=F:
12.87%
SPY:
12.77%
ES=F:
-57.11%
SPY:
-55.19%
ES=F:
-2.17%
SPY:
-2.12%
Returns By Period
In the year-to-date period, ES=F achieves a 1.57% return, which is significantly lower than SPY's 2.36% return. Over the past 10 years, ES=F has underperformed SPY with an annualized return of 10.26%, while SPY has yielded a comparatively higher 12.96% annualized return.
ES=F
1.57%
-2.00%
6.66%
18.18%
12.00%
10.26%
SPY
2.36%
-1.07%
7.41%
19.73%
14.21%
12.96%
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Risk-Adjusted Performance
ES=F vs. SPY — Risk-Adjusted Performance Rank
ES=F
SPY
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.
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.
Volatility
ES=F vs. SPY - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 3.46% compared to SPDR S&P 500 ETF (SPY) at 2.99%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.