ES=F vs. NQ=F

Last updated Jun 4, 2026

ES=F (S&P 500 E-Mini Futures) and NQ=F (E-Mini Nasdaq 100 Futures) are both assets. Over the past 10 years, ES=F returned 13.66%/yr vs 21.06%/yr for NQ=F. Their correlation of 0.87 suggests significant overlap in exposure.

Performance

ES=F vs. NQ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 E-Mini Futures (ES=F) and E-Mini Nasdaq 100 Futures (NQ=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ES=F achieves a 9.50% return, which is significantly lower than NQ=F's 19.79% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 13.66%, while NQ=F has yielded a comparatively higher 21.06% annualized return.

ES=F

• 1D: -1.00%
• 1M: 4.39%
• YTD: 9.50%
• 6M: 9.99%
• 1Y: 26.18%
• 3Y*: 20.74%
• 5Y*: 12.29%
• 10Y*: 13.66%

NQ=F

• 1D: -0.71%
• 1M: 9.79%
• YTD: 19.79%
• 6M: 18.85%
• 1Y: 40.49%
• 3Y*: 27.90%
• 5Y*: 17.24%
• 10Y*: 21.06%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ES=F vs. NQ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F S&P 500 E-Mini Futures	9.50%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%
NQ=F E-Mini Nasdaq 100 Futures	19.79%	19.93%	24.69%	54.45%	-32.46%	26.66%	47.22%	38.20%	-1.18%	31.76%

Correlation

The correlation between ES=F and NQ=F is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since Apr 27, 2009	0.87

The correlation between ES=F and NQ=F has been stable across timeframes, ranging from 0.87 to 0.91 - a consistent structural relationship.

Return for Risk

ES=F vs. NQ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ES=F

ES=F Risk / Return Rank: 85
ES=F Sharpe Ratio Rank: 82
ES=F Sortino Ratio Rank: 84
ES=F Omega Ratio Rank: 80
ES=F Calmar Ratio Rank: 85
ES=F Martin Ratio Rank: 93

NQ=F

NQ=F Risk / Return Rank: 90
NQ=F Sharpe Ratio Rank: 90
NQ=F Sortino Ratio Rank: 89
NQ=F Omega Ratio Rank: 89
NQ=F Calmar Ratio Rank: 92
NQ=F Martin Ratio Rank: 91

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.

ES=F vs. NQ=F - Risk-Adjusted Trends 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.

	ES=F	NQ=F	Difference
Sharpe ratio Return per unit of total volatility	2.08	2.49	-0.41
Sortino ratio Return per unit of downside risk	2.91	3.32	-0.41
Omega ratio Gain probability vs. loss probability	1.38	1.43	-0.05
Calmar ratio Return relative to maximum drawdown	2.61	3.27	-0.66
Martin ratio Return relative to average drawdown	11.71	11.92	-0.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ES=F vs. NQ=F - Sharpe Ratio Comparison

The current ES=F Sharpe Ratio is 2.08, which is comparable to the NQ=F Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of ES=F 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.

Sharpe Ratios by Period

	ES=F	NQ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	2.49	-0.41
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	0.77	-0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	0.94	-0.20
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.97	-0.59

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.

Drawdown Indicators

	ES=F	NQ=F	Difference
Max Drawdown Largest peak-to-trough decline	-57.11%	-35.28%	-21.83%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-11.89%	+2.94%
Max Drawdown (3Y) Largest decline over 3 years	-18.54%	-23.05%	+4.51%
Max Drawdown (5Y) Largest decline over 5 years	-25.02%	-35.28%	+10.26%
Max Drawdown (10Y) Largest decline over 10 years	-34.45%	-35.28%	+0.83%
Current Drawdown Current decline from peak	-1.00%	-0.71%	-0.29%
Average Drawdown Average peak-to-trough decline	-12.50%	-5.11%	-7.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	3.31%	-1.22%

Volatility

ES=F vs. NQ=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.89%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 4.36%. 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.

Volatility by Period

	ES=F	NQ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.89%	4.36%	-1.47%
Volatility (6M) Calculated over the trailing 6-month period	8.77%	11.88%	-3.11%
Volatility (1Y) Calculated over the trailing 1-year period	11.25%	15.61%	-4.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.50%	22.45%	-5.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.63%	22.29%	-4.66%

Frequently Asked Questions

Can I hold both ES=F and NQ=F in my portfolio?

ES=F and NQ=F have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ES=F or NQ=F?

NQ=F has higher volatility (4.36%) compared to ES=F (2.89%). In terms of maximum drawdown, ES=F dropped -57.11% vs NQ=F's -35.28%.

Which has better risk-adjusted returns?

NQ=F currently has the higher Sharpe Ratio (2.49 vs 2.08), 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.