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.
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.
Performance
ES=F vs. ^GSPC - Performance Comparison
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Key characteristics
ES=F:
0.63
^GSPC:
0.56
ES=F:
0.96
^GSPC:
0.97
ES=F:
1.14
^GSPC:
1.14
ES=F:
0.63
^GSPC:
0.62
ES=F:
2.33
^GSPC:
2.35
ES=F:
4.99%
^GSPC:
5.00%
ES=F:
19.43%
^GSPC:
19.78%
ES=F:
-57.11%
^GSPC:
-56.78%
ES=F:
-2.78%
^GSPC:
-4.16%
Returns By Period
In the year-to-date period, ES=F achieves a 0.94% return, which is significantly higher than ^GSPC's 0.12% return. Both investments have delivered pretty close results over the past 10 years, with ES=F having a 11.02% annualized return and ^GSPC not far behind at 10.82%.
ES=F
0.94%
7.90%
-0.39%
12.53%
12.87%
14.52%
11.02%
^GSPC
0.12%
6.51%
-1.84%
10.98%
12.30%
14.10%
10.82%
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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.
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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.
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Volatility
ES=F vs. ^GSPC - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 4.09%, while S&P 500 (^GSPC) has a volatility of 4.77%. This indicates that ES=F experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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