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:
0.33
SPY:
0.72
ES=F:
0.60
SPY:
1.13
ES=F:
1.09
SPY:
1.17
ES=F:
0.33
SPY:
0.76
ES=F:
1.27
SPY:
3.04
ES=F:
5.20%
SPY:
4.72%
ES=F:
19.07%
SPY:
20.06%
ES=F:
-57.11%
SPY:
-55.19%
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
-3.82%
-0.06%
-0.86%
12.13%
13.52%
9.79%
SPY
-3.01%
0.40%
-0.12%
13.65%
16.65%
12.45%
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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
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.