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.
Key characteristics
| ES=F | NQ=F | |
|---|---|---|
| YTD Return | 12.98% | 15.64% |
| 1Y Return | 22.84% | 28.04% |
| 3Y Return (Ann) | 7.53% | 11.60% |
| 5Y Return (Ann) | 12.17% | 20.85% |
| 10Y Return (Ann) | 10.07% | 17.81% |
| Sharpe Ratio | 2.06 | 1.81 |
| Daily Std Dev | 10.62% | 15.69% |
| Max Drawdown | -57.11% | -35.28% |
| Current Drawdown | -0.02% | 0.00% |
Correlation
The correlation between ES=F and NQ=F is 0.86, 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.
Performance
ES=F vs. NQ=F - Performance Comparison
In the year-to-date period, ES=F achieves a 12.98% return, which is significantly lower than NQ=F's 15.64% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 10.07%, while NQ=F has yielded a comparatively higher 17.81% 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=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.
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. For additional features, visit the drawdowns tool.
Volatility
ES=F vs. NQ=F - Volatility Comparison
The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.27%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 3.04%. 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.