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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.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%December2025FebruaryMarchAprilMay
519.69%
61.74%
ES=F
^N225

Key characteristics

Sharpe Ratio

ES=F:

0.27

^N225:

-0.05

Sortino Ratio

ES=F:

0.52

^N225:

0.13

Omega Ratio

ES=F:

1.08

^N225:

1.02

Calmar Ratio

ES=F:

0.26

^N225:

-0.06

Martin Ratio

ES=F:

1.01

^N225:

-0.17

Ulcer Index

ES=F:

5.27%

^N225:

9.75%

Daily Std Dev

ES=F:

19.03%

^N225:

29.90%

Max Drawdown

ES=F:

-57.11%

^N225:

-81.87%

Current Drawdown

ES=F:

-7.97%

^N225:

-12.77%

Returns By Period

In the year-to-date period, ES=F achieves a -4.45% return, which is significantly higher than ^N225's -7.68% return. Over the past 10 years, ES=F has outperformed ^N225 with an annualized return of 9.61%, while ^N225 has yielded a comparatively lower 6.75% annualized return.


ES=F

YTD

-4.45%

1M

15.43%

6M

-2.42%

1Y

8.94%

5Y*

12.98%

10Y*

9.61%

^N225

YTD

-7.68%

1M

9.03%

6M

-4.27%

1Y

-3.68%

5Y*

13.71%

10Y*

6.75%

*Annualized

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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 6767
Overall Rank
The Sharpe Ratio Rank of ES=F is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ES=F is 6666
Sortino Ratio Rank
The Omega Ratio Rank of ES=F is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ES=F is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ES=F is 6868
Martin Ratio Rank

^N225
The Risk-Adjusted Performance Rank of ^N225 is 2525
Overall Rank
The Sharpe Ratio Rank of ^N225 is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of ^N225 is 2727
Sortino Ratio Rank
The Omega Ratio Rank of ^N225 is 2727
Omega Ratio Rank
The Calmar Ratio Rank of ^N225 is 2222
Calmar Ratio Rank
The Martin Ratio Rank of ^N225 is 2424
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 0.27, which is higher than the ^N225 Sharpe Ratio of -0.05. 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00December2025FebruaryMarchAprilMay
0.22
0.07
ES=F
^N225

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. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-7.97%
-11.69%
ES=F
^N225

Volatility

ES=F vs. ^N225 - Volatility Comparison

S&P 500 E-Mini Futures (ES=F) has a higher volatility of 5.22% compared to Nikkei 225 (^N225) at 2.53%. 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.


5.00%10.00%15.00%December2025FebruaryMarchAprilMay
5.22%
2.53%
ES=F
^N225