NQ=F vs. AMZN
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and Amazon.com, Inc. (AMZN).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or AMZN.
Performance
NQ=F vs. AMZN - Performance Comparison
Returns By Period
In the year-to-date period, NQ=F achieves a 22.27% return, which is significantly lower than AMZN's 30.56% return. Over the past 10 years, NQ=F has underperformed AMZN with an annualized return of 16.93%, while AMZN has yielded a comparatively higher 28.08% annualized return.
NQ=F
22.27%
1.33%
11.33%
29.70%
19.73%
16.93%
AMZN
30.56%
4.58%
9.57%
35.22%
17.89%
28.08%
Key characteristics
| NQ=F | AMZN | |
|---|---|---|
| Sharpe Ratio | 1.37 | 1.39 |
| Sortino Ratio | 1.90 | 1.99 |
| Omega Ratio | 1.26 | 1.25 |
| Calmar Ratio | 1.69 | 1.68 |
| Martin Ratio | 5.74 | 6.39 |
| Ulcer Index | 4.14% | 5.93% |
| Daily Std Dev | 17.10% | 27.26% |
| Max Drawdown | -35.28% | -94.40% |
| Current Drawdown | -1.96% | -7.34% |
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Correlation
The correlation between NQ=F and AMZN is 0.70, 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. AMZN - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and Amazon.com, Inc. (AMZN). 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. AMZN - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum AMZN drawdown of -94.40%. Use the drawdown chart below to compare losses from any high point for NQ=F and AMZN. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. AMZN - Volatility Comparison
The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 5.37%, while Amazon.com, Inc. (AMZN) has a volatility of 10.51%. This indicates that NQ=F experiences smaller price fluctuations and is considered to be less risky than AMZN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.