ES=F vs. NQ=F

Last updated Aug 5, 2026

ES=F (E-mini S&P 500 Futures) and NQ=F (E-Mini Nasdaq 100 Futures) are both assets. Over the past 10 years, ES=F returned 13.59%/yr vs 20.09%/yr for NQ=F. Their correlation of 0.88 means they have usually moved in the same direction.

Performance

ES=F vs. NQ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in E-mini S&P 500 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 12.91% return, which is significantly lower than NQ=F's 17.21% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 13.59%, while NQ=F has yielded a comparatively higher 20.09% annualized return.

ES=F

• 1D: 2.02%
• 1M: 3.37%
• 6M: 12.11%
• YTD: 12.91%
• 1Y: 22.44%
• 3Y*: 20.05%
• 5Y*: 11.97%
• 10Y*: 13.59%
• ALL TIME*: 6.61%

NQ=F

• 1D: 3.27%
• 1M: 0.95%
• 6M: 17.23%
• YTD: 17.21%
• 1Y: 28.08%
• 3Y*: 24.79%
• 5Y*: 14.49%
• 10Y*: 20.09%
• ALL TIME*: 8.38%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ES=F E-mini S&P 500 Futures	$10.85B	$10.18B	$11.22B
NQ=F E-Mini Nasdaq 100 Futures	$16.76B	$15.90B	$17.53B

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

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ES=F E-mini S&P 500 Futures	12.91%	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	17.21%	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 0.93, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.93
Correlation (3Y) Balances recent behavior with more history.	0.93
Correlation (5Y) Shows whether the relationship held over a longer period.	0.94
Correlation (10Y) Provides a long-term view across more market conditions.	0.91
Correlation (All Time) Calculated using the full available price history since Sep 18, 2000	0.88

The correlation between ES=F and NQ=F has been stable across timeframes, ranging from 0.88 to 0.94 - a consistent structural relationship.

Return for Risk

ES=F vs. NQ=F — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ES=F

ES=F Risk / Return Rank: 100
ES=F Sharpe Ratio Rank: 100
ES=F Sortino Ratio Rank: 100
ES=F Omega Ratio Rank: 100
ES=F Calmar Ratio Rank: 100
ES=F Martin Ratio Rank: 100

NQ=F

NQ=F Risk / Return Rank: 70
NQ=F Sharpe Ratio Rank: 69
NQ=F Sortino Ratio Rank: 68
NQ=F Omega Ratio Rank: 64
NQ=F Calmar Ratio Rank: 79
NQ=F Martin Ratio Rank: 68

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

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

This table presents a comparison of risk-adjusted performance metrics for E-mini S&P 500 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ES=F	NQ=F	Difference
Sharpe ratio: Return per unit of total volatility	1.75	1.46	+0.29
Sortino ratio: Return per unit of downside risk	2.45	2.03	+0.42
Omega ratio: Gain probability vs. loss probability	1.32	1.25	+0.06
Calmar ratio: Return relative to maximum drawdown	2.52	2.37	+0.15
Martin ratio: Return relative to average drawdown	10.39	7.40	+2.99

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

The current ES=F Sharpe Ratio is 1.75, which is comparable to the NQ=F Sharpe Ratio of 1.46. 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.

Drawdowns

ES=F vs. NQ=F - Drawdown Comparison

The maximum ES=F drawdown since its inception was -57.11%, smaller than the maximum NQ=F drawdown of -78.99%. 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%	-78.99%	+21.88%
Max Drawdown (1Y) Largest decline over 1 year	-8.95%	-11.89%	+2.94%
Max Drawdown (3Y) Largest decline over 3 years	-18.54%	-22.50%	+3.96%
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	0.00%	-2.85%	+2.85%
Average Drawdown Average peak-to-trough decline	-12.62%	-29.46%	+16.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	3.81%	-1.64%

Volatility

ES=F vs. NQ=F - Volatility Comparison

The current volatility for E-mini S&P 500 Futures (ES=F) is 4.22%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 7.53%. 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	4.22%	7.53%	-3.31%
Volatility (6M) Calculated over the trailing 6-month period	10.15%	16.00%	-5.85%
Volatility (1Y) Calculated over the trailing 1-year period	12.94%	19.44%	-6.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.13%	23.16%	-6.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.11%	22.63%	-4.52%

Frequently Asked Questions

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

With a correlation of 0.93, ES=F and NQ=F move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

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

NQ=F has higher volatility (7.53%) compared to ES=F (4.22%). In terms of maximum drawdown, ES=F dropped -57.11% vs NQ=F's -78.99%.

Which has better risk-adjusted returns?

ES=F currently has the higher Sharpe Ratio (1.75 vs 1.46), 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.