PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
^DJT vs. NQ=F
Performance
Return for Risk
Drawdowns
Volatility

^DJT vs. NQ=F

Last updated Jun 5, 2026

^DJT (Dow Jones Transportation Average) is an index, while NQ=F (E-Mini Nasdaq 100 Futures) is an asset. Over the past 10 years, ^DJT returned 10.85%/yr vs 20.98%/yr for NQ=F. A 0.62 correlation means they provide meaningful diversification when combined.

Performance

^DJT vs. NQ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Transportation Average (^DJT) and E-Mini Nasdaq 100 Futures (NQ=F). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ^DJT achieves a 25.44% return, which is significantly higher than NQ=F's 19.42% return. Over the past 10 years, ^DJT has underperformed NQ=F with an annualized return of 10.85%, while NQ=F has yielded a comparatively higher 20.98% annualized return.

^DJT

1D
1.36%
1M
6.91%
YTD
25.44%
6M
26.71%
1Y
48.73%
3Y*
15.89%
5Y*
7.08%
10Y*
10.85%

NQ=F

1D
-0.76%
1M
5.86%
YTD
19.42%
6M
18.14%
1Y
40.85%
3Y*
27.73%
5Y*
17.17%
10Y*
20.98%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^DJT vs. NQ=F - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^DJT
Dow Jones Transportation Average		25.44%9.19%-0.02%18.72%-18.73%31.75%14.73%18.87%-13.59%17.34%
NQ=F
E-Mini Nasdaq 100 Futures		19.42%19.93%24.69%54.45%-32.46%26.66%47.22%38.20%-1.18%31.76%

Correlation

The correlation between ^DJT and NQ=F is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.37

Correlation (3Y)
Calculated over the trailing 3-year period

0.46

Correlation (5Y)
Calculated over the trailing 5-year period

0.56

Correlation (10Y)
Calculated over the trailing 10-year period

0.55

Correlation (All Time)
Calculated using the full available price history since Apr 27, 2009

0.62

Over the past year, the correlation between ^DJT and NQ=F has dropped to 0.37 - well below their long-term average of 0.62, suggesting their price drivers have been diverging.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Dow Jones Transportation Average

E-Mini Nasdaq 100 Futures

Often compared with ^DJT:
^DJT vs. ^DJI^DJT vs. SPY^DJT vs. EVX^DJT vs. FNPIX^DJT vs. USMV^DJT vs. AMZN
Often compared with NQ=F:
NQ=F vs. ES=FNQ=F vs. QQQNQ=F vs. ESNQ=F vs. ^NDXNQ=F vs. TQQQNQ=F vs. SPYNQ=F vs. CL=F

Return for Risk

^DJT vs. NQ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^DJT
^DJT Risk / Return Rank: 6666
Overall Rank
^DJT Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
^DJT Sortino Ratio Rank: 6666
Sortino Ratio Rank
^DJT Omega Ratio Rank: 7171
Omega Ratio Rank
^DJT Calmar Ratio Rank: 6565
Calmar Ratio Rank
^DJT Martin Ratio Rank: 5656
Martin Ratio Rank
NQ=F
NQ=F Risk / Return Rank: 9292
Overall Rank
NQ=F Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
NQ=F Sortino Ratio Rank: 9393
Sortino Ratio Rank
NQ=F Omega Ratio Rank: 9393
Omega Ratio Rank
NQ=F Calmar Ratio Rank: 9393
Calmar Ratio Rank
NQ=F Martin Ratio Rank: 8888
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^DJT vs. NQ=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and E-Mini Nasdaq 100 Futures (NQ=F). 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.

^DJTNQ=FDifference
Sharpe ratioReturn per unit of total volatility
2.05
2.44

-0.39

Sortino ratioReturn per unit of downside risk
2.58
3.26

-0.68

Omega ratioGain probability vs. loss probability

1.37

1.43

-0.06

Calmar ratioReturn relative to maximum drawdown

2.68

3.20

-0.52

Martin ratioReturn relative to average drawdown

8.04

11.68

-3.63

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJT vs. NQ=F - Sharpe Ratio Comparison

The current ^DJT Sharpe Ratio is 2.05, which is comparable to the NQ=F Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of ^DJT and NQ=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

^DJTNQ=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.05

2.44

-0.39

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.30

0.76

-0.46

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.46

0.94

-0.48

Sharpe Ratio (All Time)

Calculated using the full available price history

0.40

0.97

-0.58

Drawdowns

^DJT vs. NQ=F - Drawdown Comparison

The maximum ^DJT drawdown since its inception was -60.92%, which is greater than NQ=F's maximum drawdown of -35.28%. Use the drawdown chart below to compare losses from any high point for ^DJT and NQ=F.

Loading charts...

Drawdown Indicators

^DJTNQ=FDifference

Max Drawdown

Largest peak-to-trough decline

-60.92%

-35.28%

-25.64%

Max Drawdown (1Y)

Largest decline over 1 year

-18.08%

-11.89%

-6.19%

Max Drawdown (3Y)

Largest decline over 3 years

-28.82%

-23.05%

-5.77%

Max Drawdown (5Y)

Largest decline over 5 years

-29.58%

-35.28%

+5.70%

Max Drawdown (10Y)

Largest decline over 10 years

-42.06%

-35.28%

-6.78%

Current Drawdown

Current decline from peak

-9.03%

-1.02%

-8.01%

Average Drawdown

Average peak-to-trough decline

-13.02%

-5.11%

-7.91%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.01%

3.31%

+2.70%

Volatility

^DJT vs. NQ=F - Volatility Comparison

Dow Jones Transportation Average (^DJT) has a higher volatility of 4.47% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 4.05%. This indicates that ^DJT's price experiences larger fluctuations and is considered to be riskier than NQ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

^DJTNQ=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.47%

4.05%

+0.42%

Volatility (6M)

Calculated over the trailing 6-month period

19.62%

11.89%

+7.73%

Volatility (1Y)

Calculated over the trailing 1-year period

23.64%

15.61%

+8.03%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

23.59%

22.43%

+1.16%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.70%

22.28%

+1.42%

Frequently Asked Questions

^DJT and NQ=F have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^DJT has higher volatility (4.47%) compared to NQ=F (4.05%). In terms of maximum drawdown, ^DJT dropped -60.92% vs NQ=F's -35.28%.

NQ=F currently has the higher Sharpe Ratio (2.44 vs 2.05), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for ^DJT and NQ=F

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer