NQ=F vs. ^NDX
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or ^NDX.
Performance
NQ=F vs. ^NDX - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with NQ=F having a 22.48% return and ^NDX slightly higher at 23.48%. Both investments have delivered pretty close results over the past 10 years, with NQ=F having a 16.93% annualized return and ^NDX not far ahead at 17.13%.
NQ=F
22.48%
3.11%
10.46%
29.79%
19.77%
16.93%
^NDX
23.48%
3.53%
10.46%
29.84%
20.26%
17.13%
Key characteristics
| NQ=F | ^NDX | |
|---|---|---|
| Sharpe Ratio | 1.38 | 1.70 |
| Sortino Ratio | 1.91 | 2.28 |
| Omega Ratio | 1.26 | 1.31 |
| Calmar Ratio | 1.71 | 2.20 |
| Martin Ratio | 5.79 | 7.91 |
| Ulcer Index | 4.14% | 3.77% |
| Daily Std Dev | 17.10% | 17.59% |
| Max Drawdown | -35.28% | -82.90% |
| Current Drawdown | -1.80% | -1.61% |
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Correlation
The correlation between NQ=F and ^NDX is 0.98, 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.
Risk-Adjusted Performance
NQ=F vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and NASDAQ 100 (^NDX). 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
NQ=F vs. ^NDX - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for NQ=F and ^NDX. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. ^NDX - Volatility Comparison
E-Mini Nasdaq 100 Futures (NQ=F) and NASDAQ 100 (^NDX) have volatilities of 5.37% and 5.33%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.