Correlation
The correlation between ES=F and NQ=F is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
ES=F vs. NQ=F
Compare and contrast key facts about S&P 500 E-Mini Futures (ES=F) and E-Mini Nasdaq 100 Futures (NQ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ES=F or NQ=F.
Performance
ES=F vs. NQ=F - Performance Comparison
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Key characteristics
ES=F:
0.63
NQ=F:
0.58
ES=F:
0.88
NQ=F:
0.92
ES=F:
1.13
NQ=F:
1.13
ES=F:
0.56
NQ=F:
0.59
ES=F:
2.09
NQ=F:
1.85
ES=F:
5.01%
NQ=F:
7.38%
ES=F:
19.40%
NQ=F:
25.54%
ES=F:
-57.11%
NQ=F:
-35.28%
ES=F:
-4.01%
NQ=F:
-4.60%
Returns By Period
In the year-to-date period, ES=F achieves a -0.33% return, which is significantly lower than NQ=F's 0.71% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 10.88%, while NQ=F has yielded a comparatively higher 16.85% annualized return.
ES=F
-0.33%
5.89%
-2.24%
12.62%
12.72%
14.23%
10.88%
NQ=F
0.71%
8.74%
1.83%
14.89%
19.12%
17.46%
16.85%
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Risk-Adjusted Performance
ES=F vs. NQ=F — Risk-Adjusted Performance Rank
ES=F
NQ=F
ES=F vs. NQ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 E-Mini Futures (ES=F) 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.
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Drawdowns
ES=F vs. NQ=F - Drawdown Comparison
The maximum ES=F drawdown since its inception was -57.11%, 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 ES=F and NQ=F.
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Volatility
ES=F vs. NQ=F - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 3.80%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 5.55%. This indicates that ES=F 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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