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ES=F vs. NQ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


ES=FNQ=F
YTD Return15.00%16.00%
1Y Return26.10%29.79%
3Y Return (Ann)8.02%11.11%
5Y Return (Ann)12.31%20.16%
10Y Return (Ann)10.22%17.78%
Sharpe Ratio1.991.92
Daily Std Dev10.60%15.63%
Max Drawdown-57.11%-35.28%
Current Drawdown0.00%-0.87%

Correlation

-0.50.00.51.00.9

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 15.00% return, which is significantly lower than NQ=F's 16.00% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 10.22%, while NQ=F has yielded a comparatively higher 17.78% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%2024FebruaryMarchAprilMayJune
538.72%
1,336.17%
ES=F
NQ=F

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


S&P 500 E-Mini Futures

E-Mini Nasdaq 100 Futures

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.


ES=F
Sharpe ratio
The chart of Sharpe ratio for ES=F, currently valued at 2.07, compared to the broader market-0.500.000.501.001.502.07
Sortino ratio
The chart of Sortino ratio for ES=F, currently valued at 2.99, compared to the broader market0.001.002.002.99
Omega ratio
The chart of Omega ratio for ES=F, currently valued at 1.40, compared to the broader market1.001.101.201.301.40
Calmar ratio
The chart of Calmar ratio for ES=F, currently valued at 1.66, compared to the broader market0.000.501.001.502.001.66
Martin ratio
The chart of Martin ratio for ES=F, currently valued at 8.51, compared to the broader market0.002.004.006.008.008.51
NQ=F
Sharpe ratio
The chart of Sharpe ratio for NQ=F, currently valued at 2.00, compared to the broader market-0.500.000.501.001.502.00
Sortino ratio
The chart of Sortino ratio for NQ=F, currently valued at 2.83, compared to the broader market0.001.002.002.83
Omega ratio
The chart of Omega ratio for NQ=F, currently valued at 1.40, compared to the broader market1.001.101.201.301.40
Calmar ratio
The chart of Calmar ratio for NQ=F, currently valued at 1.97, compared to the broader market0.000.501.001.502.001.97
Martin ratio
The chart of Martin ratio for NQ=F, currently valued at 10.27, compared to the broader market0.002.004.006.008.0010.27

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

The current ES=F Sharpe Ratio is 1.99, which roughly equals the NQ=F Sharpe Ratio of 1.92. The chart below compares the 12-month rolling Sharpe Ratio of ES=F and NQ=F.


Rolling 12-month Sharpe Ratio1.001.502.002.502024FebruaryMarchAprilMayJune
2.07
2.00
ES=F
NQ=F

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.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune0
-0.87%
ES=F
NQ=F

Volatility

ES=F vs. NQ=F - Volatility Comparison

The current volatility for S&P 500 E-Mini Futures (ES=F) is 2.10%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 3.06%. 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.


2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
2.10%
3.06%
ES=F
NQ=F