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 | 23.86% | 22.55% |
| 1Y Return | 31.91% | 31.30% |
| 3Y Return (Ann) | 7.42% | 8.46% |
| 5Y Return (Ann) | 12.49% | 19.68% |
| 10Y Return (Ann) | 10.50% | 17.14% |
| Sharpe Ratio | 1.97 | 1.62 |
| Sortino Ratio | 2.75 | 2.22 |
| Omega Ratio | 1.39 | 1.30 |
| Calmar Ratio | 2.71 | 1.99 |
| Martin Ratio | 11.14 | 6.78 |
| Ulcer Index | 2.12% | 4.12% |
| Daily Std Dev | 11.57% | 16.97% |
| Max Drawdown | -57.11% | -35.28% |
| Current Drawdown | -1.17% | -1.74% |
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 23.86% return, which is significantly higher than NQ=F's 22.55% return. Over the past 10 years, ES=F has underperformed NQ=F with an annualized return of 10.50%, while NQ=F has yielded a comparatively higher 17.14% 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 3.83%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 5.03%. 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.