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

Correlation

The correlation between NQ=F and AMZN is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

NQ=F vs. AMZN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in E-Mini Nasdaq 100 Futures (NQ=F) and Amazon.com, Inc. (AMZN). The values are adjusted to include any dividend payments, if applicable.

1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%December2025FebruaryMarchAprilMay
1,365.20%
4,471.63%
NQ=F
AMZN

Key characteristics

Sharpe Ratio

NQ=F:

0.40

AMZN:

0.06

Sortino Ratio

NQ=F:

0.64

AMZN:

0.33

Omega Ratio

NQ=F:

1.09

AMZN:

1.04

Calmar Ratio

NQ=F:

0.37

AMZN:

0.07

Martin Ratio

NQ=F:

1.17

AMZN:

0.20

Ulcer Index

NQ=F:

7.10%

AMZN:

11.54%

Daily Std Dev

NQ=F:

24.80%

AMZN:

33.53%

Max Drawdown

NQ=F:

-35.28%

AMZN:

-94.40%

Current Drawdown

NQ=F:

-9.46%

AMZN:

-20.24%

Returns By Period

In the year-to-date period, NQ=F achieves a -5.09% return, which is significantly higher than AMZN's -12.00% return. Over the past 10 years, NQ=F has underperformed AMZN with an annualized return of 16.15%, while AMZN has yielded a comparatively higher 24.58% annualized return.


NQ=F

YTD

-5.09%

1M

4.45%

6M

-5.11%

1Y

10.61%

5Y*

16.42%

10Y*

16.15%

AMZN

YTD

-12.00%

1M

1.03%

6M

-7.26%

1Y

1.88%

5Y*

10.19%

10Y*

24.58%

*Annualized

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Risk-Adjusted Performance

NQ=F vs. AMZN — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NQ=F
The Risk-Adjusted Performance Rank of NQ=F is 7575
Overall Rank
The Sharpe Ratio Rank of NQ=F is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of NQ=F is 7878
Sortino Ratio Rank
The Omega Ratio Rank of NQ=F is 7878
Omega Ratio Rank
The Calmar Ratio Rank of NQ=F is 7878
Calmar Ratio Rank
The Martin Ratio Rank of NQ=F is 7777
Martin Ratio Rank

AMZN
The Risk-Adjusted Performance Rank of AMZN is 5151
Overall Rank
The Sharpe Ratio Rank of AMZN is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of AMZN is 4646
Sortino Ratio Rank
The Omega Ratio Rank of AMZN is 4646
Omega Ratio Rank
The Calmar Ratio Rank of AMZN is 5555
Calmar Ratio Rank
The Martin Ratio Rank of AMZN is 5555
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current NQ=F Sharpe Ratio is 0.40, which is higher than the AMZN Sharpe Ratio of 0.06. The chart below compares the historical Sharpe Ratios of NQ=F and AMZN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00December2025FebruaryMarchAprilMay
0.40
0.05
NQ=F
AMZN

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.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-9.46%
-20.24%
NQ=F
AMZN

Volatility

NQ=F vs. AMZN - Volatility Comparison

The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 8.15%, while Amazon.com, Inc. (AMZN) has a volatility of 11.30%. 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.


5.00%10.00%15.00%20.00%December2025FebruaryMarchAprilMay
8.15%
11.30%
NQ=F
AMZN