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Performance
NQ=F Performance Chart
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Returns By Period
E-Mini Nasdaq 100 Futures
- 1D
- —
- 1M
- —
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
NQ=F Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 10.25% | -0.66% | 10.18% | 0.14% | 2.96% | 24.43% | |||||||
| 2022 | -8.67% | -4.54% | 4.50% | -13.56% | -1.60% | -8.83% | 12.51% | -5.29% | -10.17% | 3.73% | 5.20% | -8.47% | -32.46% |
| 2021 | 0.20% | 0.00% | 1.38% | 5.81% | -1.18% | 6.30% | 2.80% | 4.19% | -5.78% | 7.87% | 1.97% | 1.05% | 26.66% |
Benchmark Metrics
E-Mini Nasdaq 100 Futures has an annualized alpha of 5.03%, beta of 1.02, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since August 20, 2003.
- This asset captured 130.93% of S&P 500 Index gains and 105.87% of its losses - amplifying both gains and losses, but participating more in upside than downside.
- This asset generated an annualized alpha of 5.03% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.02 and R2 of 0.81, this asset moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 5.03%
- Beta
- 1.02
- R²
- 0.81
- Upside Capture
- 130.93%
- Downside Capture
- 105.87%
Return for Risk
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NQ=F | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.32 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.46 | — |
| Martin ratioReturn relative to average drawdown | — | 10.92 | — |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the E-Mini Nasdaq 100 Futures. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the E-Mini Nasdaq 100 Futures was 53.85%, occurring on Nov 20, 2008. Recovery took 534 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -53.85%Nov 2008 | 1y 20d | 2y 1mo | 3y 2moNov 2007 - Jan 2011 |
Bear market2022 | -35.28%Nov 2022 | 11mo 16d | — | 4y 7moNov 2021 - now |
COVID crash2020 | -28.24%Mar 2020 | 1mo 2d | 2mo 14d | 3mo 16dFeb 2020 - Jun 2020 |
Rate-hike selloffLate 2018 | -23.24%Dec 2018 | 2mo 23d | 3mo 23d | 6mo 16dOct 2018 - Apr 2019 |
2006 correction2006 | -17.49%Jul 2006 | 6mo 10d | 3mo 25d | 10mo 5dJan 2006 - Nov 2006 |
Drawdown Indicators
| NQ=F | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | — | -56.78% | — |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.10% | — |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | — | -3.21% | — |
Average DrawdownAverage peak-to-trough decline | — | -10.71% | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.04% | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with NQ=F
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