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Why don't SPY, SPX, and the e-mini s&p 500 track perfectly with each other?
What you should compare is SPX, SPY NAV, and ES fair value.   Like others have said is SPX is the index that others attempt to track. SPY tracks it, but it can get a tiny bit out of line as explained here by @Brick .  That's why they publish NAV or net asset value.  It's what the price should be.  For SPY this will be very close because of all the participants.  The MER is a factor, but more important is something called tracking error, which takes into account MER plus things like trading expenses plus revenue from securities lending.  SPY (the few times I've checked) has a smaller tracking error than the MER.  It's not much of a factor in pricing differences. ES is the price you'll pay today to get SPX delivered in the future (but settled in cash).  You have to take into account dividends and interest, this is called fair value.  You can find this usually every morning so you can compare what the futures are saying about the underlying index. http://www.cnbc.com/pre-markets/ The most likely difference is you're looking at different times of the day or different open/close calculations.