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ES=F vs. ^N225
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ES=F and ^N225 is 0.05, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

ES=F vs. ^N225 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and Nikkei 225 (^N225). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ES=F:

0.58

^N225:

-0.08

Sortino Ratio

ES=F:

0.98

^N225:

0.09

Omega Ratio

ES=F:

1.14

^N225:

1.01

Calmar Ratio

ES=F:

0.64

^N225:

-0.09

Martin Ratio

ES=F:

2.39

^N225:

-0.23

Ulcer Index

ES=F:

4.99%

^N225:

10.13%

Daily Std Dev

ES=F:

19.44%

^N225:

29.91%

Max Drawdown

ES=F:

-57.11%

^N225:

-81.87%

Current Drawdown

ES=F:

-3.66%

^N225:

-10.01%

Returns By Period

In the year-to-date period, ES=F achieves a 0.03% return, which is significantly higher than ^N225's -4.75% return. Over the past 10 years, ES=F has outperformed ^N225 with an annualized return of 10.92%, while ^N225 has yielded a comparatively lower 6.33% annualized return.


ES=F

YTD

0.03%

1M

6.99%

6M

-1.67%

1Y

11.58%

3Y*

12.63%

5Y*

14.34%

10Y*

10.92%

^N225

YTD

-4.75%

1M

6.42%

6M

-1.15%

1Y

-2.32%

3Y*

12.37%

5Y*

11.67%

10Y*

6.33%

*Annualized

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S&P 500 E-Mini Futures

Nikkei 225

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

Risk-Adjusted Performance

ES=F vs. ^N225 — 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 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 7878
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 7979
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 7878
Martin Ratio Rank

^N225
The Risk-Adjusted Performance Rank of ^N225 is 2323
Overall Rank
The Sharpe Ratio Rank of ^N225 is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^N225 is 2525
Sortino Ratio Rank
The Omega Ratio Rank of ^N225 is 2525
Omega Ratio Rank
The Calmar Ratio Rank of ^N225 is 2020
Calmar Ratio Rank
The Martin Ratio Rank of ^N225 is 2222
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. ^N225 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) and Nikkei 225 (^N225). 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 0.58, which is higher than the ^N225 Sharpe Ratio of -0.08. The chart below compares the historical Sharpe Ratios of ES=F and ^N225, 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. ^N225 - Drawdown Comparison

The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum ^N225 drawdown of -81.87%. Use the drawdown chart below to compare losses from any high point for ES=F and ^N225.


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

Volatility

ES=F vs. ^N225 - Volatility Comparison

S&P 500 E-Mini Futures (ES=F) has a higher volatility of 4.06% compared to Nikkei 225 (^N225) at 3.62%. This indicates that ES=F's price experiences larger fluctuations and is considered to be riskier than ^N225 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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