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^DJUSM vs. NQ=F
Performance
Return for Risk
Drawdowns
Volatility

^DJUSM vs. NQ=F

Last updated Jun 5, 2026

^DJUSM (Dow Jones U.S. Mid-Cap Index) is an index, while NQ=F (E-Mini Nasdaq 100 Futures) is an asset. Over the past 10 years, ^DJUSM returned 10.90%/yr vs 20.98%/yr for NQ=F. A 0.79 correlation means they provide meaningful diversification when combined.

Performance

^DJUSM vs. NQ=F - Performance Comparison

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

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Returns By Period

In the year-to-date period, ^DJUSM achieves a 11.91% return, which is significantly lower than NQ=F's 19.42% return. Over the past 10 years, ^DJUSM has underperformed NQ=F with an annualized return of 10.90%, while NQ=F has yielded a comparatively higher 20.98% annualized return.

^DJUSM

1D
0.87%
1M
3.79%
YTD
11.91%
6M
10.84%
1Y
19.88%
3Y*
16.86%
5Y*
8.08%
10Y*
10.90%

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)

^DJUSM vs. NQ=F - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^DJUSM
Dow Jones U.S. Mid-Cap Index		11.91%11.70%14.17%14.40%-16.97%24.91%14.73%29.64%-10.32%17.92%
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 ^DJUSM and NQ=F is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

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

0.65

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

0.68

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

0.77

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

0.76

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

0.79

The correlation between ^DJUSM and NQ=F shifts across timeframes, from 0.65 (1 year) to 0.79 (all time), reflecting how their relationship changes across market environments.

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 U.S. Mid-Cap Index

E-Mini Nasdaq 100 Futures

Often compared with ^DJUSM:
^DJUSM vs. SPY
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

^DJUSM vs. NQ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^DJUSM
^DJUSM Risk / Return Rank: 5959
Overall Rank
^DJUSM Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
^DJUSM Sortino Ratio Rank: 5959
Sortino Ratio Rank
^DJUSM Omega Ratio Rank: 5656
Omega Ratio Rank
^DJUSM Calmar Ratio Rank: 6060
Calmar Ratio Rank
^DJUSM Martin Ratio Rank: 6262
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.

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

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Mid-Cap Index (^DJUSM) 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.

^DJUSMNQ=FDifference
Sharpe ratioReturn per unit of total volatility
1.65
2.44

-0.79

Sortino ratioReturn per unit of downside risk
2.36
3.26

-0.91

Omega ratioGain probability vs. loss probability

1.29

1.43

-0.14

Calmar ratioReturn relative to maximum drawdown

2.50

3.20

-0.70

Martin ratioReturn relative to average drawdown

9.16

11.68

-2.51

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

^DJUSM vs. NQ=F - Sharpe Ratio Comparison

The current ^DJUSM Sharpe Ratio is 1.65, which is lower than the NQ=F Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of ^DJUSM 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.

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Sharpe Ratios by Period

^DJUSMNQ=FDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.65

2.44

-0.79

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.47

0.76

-0.29

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.58

0.94

-0.36

Sharpe Ratio (All Time)

Calculated using the full available price history

0.41

0.97

-0.56

Drawdowns

^DJUSM vs. NQ=F - Drawdown Comparison

The maximum ^DJUSM drawdown since its inception was -60.72%, 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 ^DJUSM and NQ=F.

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Drawdown Indicators

^DJUSMNQ=FDifference

Max Drawdown

Largest peak-to-trough decline

-60.72%

-35.28%

-25.44%

Max Drawdown (1Y)

Largest decline over 1 year

-7.84%

-11.89%

+4.05%

Max Drawdown (3Y)

Largest decline over 3 years

-18.88%

-23.05%

+4.17%

Max Drawdown (5Y)

Largest decline over 5 years

-25.50%

-35.28%

+9.78%

Max Drawdown (10Y)

Largest decline over 10 years

-39.59%

-35.28%

-4.31%

Current Drawdown

Current decline from peak

0.00%

-1.02%

+1.02%

Average Drawdown

Average peak-to-trough decline

-8.95%

-5.11%

-3.84%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.14%

3.31%

-1.17%

Volatility

^DJUSM vs. NQ=F - Volatility Comparison

The current volatility for Dow Jones U.S. Mid-Cap Index (^DJUSM) is 2.88%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 4.05%. This indicates that ^DJUSM experiences smaller price fluctuations and is considered to be less risky than NQ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

^DJUSMNQ=FDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.88%

4.05%

-1.17%

Volatility (6M)

Calculated over the trailing 6-month period

8.82%

11.89%

-3.07%

Volatility (1Y)

Calculated over the trailing 1-year period

11.91%

15.61%

-3.70%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.14%

22.43%

-5.29%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.72%

22.28%

-3.56%

Frequently Asked Questions

^DJUSM and NQ=F have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

NQ=F has higher volatility (4.05%) compared to ^DJUSM (2.88%). In terms of maximum drawdown, ^DJUSM dropped -60.72% vs NQ=F's -35.28%.

NQ=F currently has the higher Sharpe Ratio (2.44 vs 1.65), 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.

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