ES=F vs. ^GSPC
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or ^GSPC.
Correlation
The correlation between ES=F and ^GSPC 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. ^GSPC - Performance Comparison
Key characteristics
ES=F:
-0.43
^GSPC:
-0.27
ES=F:
-0.45
^GSPC:
-0.24
ES=F:
0.93
^GSPC:
0.97
ES=F:
-0.35
^GSPC:
-0.23
ES=F:
-1.70
^GSPC:
-1.14
ES=F:
4.21%
^GSPC:
3.73%
ES=F:
16.27%
^GSPC:
15.94%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-19.84%
^GSPC:
-18.90%
Returns By Period
In the year-to-date period, ES=F achieves a -16.77% return, which is significantly lower than ^GSPC's -15.28% return. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 8.28%, while ^GSPC has yielded a comparatively higher 9.04% annualized return.
ES=F
-16.77%
-13.83%
-14.83%
-5.95%
10.93%
8.28%
^GSPC
-15.28%
-13.65%
-13.36%
-4.22%
12.35%
9.04%
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Risk-Adjusted Performance
ES=F vs. ^GSPC — Risk-Adjusted Performance Rank
ES=F
^GSPC
ES=F vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and S&P 500 (^GSPC). 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. ^GSPC - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ES=F and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. ^GSPC - Volatility Comparison
S&P 500 E-Mini Futures (ES=F) has a higher volatility of 10.44% compared to S&P 500 (^GSPC) at 8.57%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.