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ES=F vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ES=F:

0.63

^GSPC:

0.56

Sortino Ratio

ES=F:

0.96

^GSPC:

0.97

Omega Ratio

ES=F:

1.14

^GSPC:

1.14

Calmar Ratio

ES=F:

0.63

^GSPC:

0.62

Martin Ratio

ES=F:

2.33

^GSPC:

2.35

Ulcer Index

ES=F:

4.99%

^GSPC:

5.00%

Daily Std Dev

ES=F:

19.43%

^GSPC:

19.78%

Max Drawdown

ES=F:

-57.11%

^GSPC:

-56.78%

Current Drawdown

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

YTD

0.94%

1M

7.90%

6M

-0.39%

1Y

12.53%

3Y*

12.87%

5Y*

14.52%

10Y*

11.02%

^GSPC

YTD

0.12%

1M

6.51%

6M

-1.84%

1Y

10.98%

3Y*

12.30%

5Y*

14.10%

10Y*

10.82%

*Annualized

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S&P 500 E-Mini Futures

S&P 500

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

ES=F vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F
The Risk-Adjusted Performance Rank of ES=F is 7878
Overall Rank
The Sharpe Ratio Rank of ES=F is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 7777
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 7878
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 7777
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 7878
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6666
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6161
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6969
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6666
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current ES=F Sharpe Ratio is 0.63, which is comparable to the ^GSPC Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of ES=F and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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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