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.
Key characteristics
| ES=F | ^GSPC | |
|---|---|---|
| YTD Return | 23.86% | 24.72% |
| 1Y Return | 31.91% | 32.12% |
| 3Y Return (Ann) | 7.42% | 8.33% |
| 5Y Return (Ann) | 12.49% | 13.81% |
| 10Y Return (Ann) | 10.50% | 11.31% |
| Sharpe Ratio | 1.97 | 2.66 |
| Sortino Ratio | 2.75 | 3.56 |
| Omega Ratio | 1.39 | 1.50 |
| Calmar Ratio | 2.71 | 3.81 |
| Martin Ratio | 11.14 | 17.03 |
| Ulcer Index | 2.12% | 1.90% |
| Daily Std Dev | 11.57% | 12.16% |
| Max Drawdown | -57.11% | -56.78% |
| Current Drawdown | -1.17% | -0.87% |
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 year-to-date returns for both investments are quite close, with ES=F having a 23.86% return and ^GSPC slightly higher at 24.72%. Over the past 10 years, ES=F has underperformed ^GSPC with an annualized return of 10.50%, while ^GSPC has yielded a comparatively higher 11.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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) and S&P 500 (^GSPC) have volatilities of 3.83% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.