I'm still relatively new to Quantopian. I'm just running a little experiment to make sense of a very simple strategy: buy and hold S&P Emini futures. I'm not trying to prove this strategy is anything special (esp not as a hedging strategy), but I'm just trying to see that the results would be somewhat comparable to the SPY benchmark. So I'm just trying to make sense of the results.
When I run the backtest against the SPY benchmark, the result don't make very much sense to me. The total return is about 6.6% (ES) vs benchmark of 115.5% (SPY) - this is period from 2011 to 2017.
Why is there such a large skew in favor of the SPY benchmark? Aren't the Emini's much more highly leveraged than SPY ETFs??? I would have expected the correlation to be similar (SPY and ES are tracking the same thing almost), but I would have expected the ES to have a much higher return since its a much more highly leveraged instrument.