ES vs. NQ=F
Compare and contrast key facts about Eversource Energy (ES) 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 or NQ=F.
Key characteristics
| ES | NQ=F | |
|---|---|---|
| YTD Return | 2.07% | 23.95% |
| 1Y Return | 13.24% | 32.88% |
| 3Y Return (Ann) | -6.07% | 8.85% |
| 5Y Return (Ann) | -2.46% | 19.96% |
| 10Y Return (Ann) | 5.62% | 17.25% |
| Sharpe Ratio | 0.83 | 1.74 |
| Sortino Ratio | 1.30 | 2.35 |
| Omega Ratio | 1.16 | 1.33 |
| Calmar Ratio | 0.49 | 2.13 |
| Martin Ratio | 2.88 | 7.26 |
| Ulcer Index | 6.98% | 4.12% |
| Daily Std Dev | 24.27% | 16.94% |
| Max Drawdown | -65.47% | -35.28% |
| Current Drawdown | -29.23% | -0.61% |
Correlation
The correlation between ES and NQ=F is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ES vs. NQ=F - Performance Comparison
In the year-to-date period, ES achieves a 2.07% return, which is significantly lower than NQ=F's 23.95% return. Over the past 10 years, ES has underperformed NQ=F with an annualized return of 5.62%, while NQ=F has yielded a comparatively higher 17.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ES vs. NQ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Eversource Energy (ES) 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.
Drawdowns
ES vs. NQ=F - Drawdown Comparison
The maximum ES drawdown since its inception was -65.47%, 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 and NQ=F. For additional features, visit the drawdowns tool.
Volatility
ES vs. NQ=F - Volatility Comparison
Eversource Energy (ES) has a higher volatility of 6.49% compared to E-Mini Nasdaq 100 Futures (NQ=F) at 4.92%. This indicates that ES'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.