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NQ=F vs. BRK-B
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between NQ=F and BRK-B is 0.53, 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.


-0.50.00.51.00.5

Performance

NQ=F vs. BRK-B - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.06%
10.56%
NQ=F
BRK-B

Key characteristics

Sharpe Ratio

NQ=F:

1.39

BRK-B:

1.90

Sortino Ratio

NQ=F:

1.93

BRK-B:

2.69

Omega Ratio

NQ=F:

1.27

BRK-B:

1.34

Calmar Ratio

NQ=F:

1.77

BRK-B:

3.64

Martin Ratio

NQ=F:

6.01

BRK-B:

8.84

Ulcer Index

NQ=F:

4.15%

BRK-B:

3.12%

Daily Std Dev

NQ=F:

17.73%

BRK-B:

14.51%

Max Drawdown

NQ=F:

-35.28%

BRK-B:

-53.86%

Current Drawdown

NQ=F:

-1.48%

BRK-B:

-5.95%

Returns By Period

The year-to-date returns for both stocks are quite close, with NQ=F having a 27.95% return and BRK-B slightly lower at 27.39%. Over the past 10 years, NQ=F has outperformed BRK-B with an annualized return of 17.37%, while BRK-B has yielded a comparatively lower 11.65% annualized return.


NQ=F

YTD

27.95%

1M

4.47%

6M

10.28%

1Y

28.28%

5Y*

19.52%

10Y*

17.37%

BRK-B

YTD

27.39%

1M

-4.66%

6M

9.75%

1Y

27.46%

5Y*

15.08%

10Y*

11.65%

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Risk-Adjusted Performance

NQ=F vs. BRK-B - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and Berkshire Hathaway Inc. (BRK-B). 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.


Sharpe ratio
The chart of Sharpe ratio for NQ=F, currently valued at 1.39, compared to the broader market0.000.501.001.502.001.391.68
The chart of Sortino ratio for NQ=F, currently valued at 1.93, compared to the broader market-0.500.000.501.001.502.002.501.932.41
The chart of Omega ratio for NQ=F, currently valued at 1.27, compared to the broader market1.001.101.201.301.271.32
The chart of Calmar ratio for NQ=F, currently valued at 1.77, compared to the broader market0.001.002.003.001.773.14
The chart of Martin ratio for NQ=F, currently valued at 6.01, compared to the broader market0.002.004.006.008.0010.006.017.35
NQ=F
BRK-B

The current NQ=F Sharpe Ratio is 1.39, which is comparable to the BRK-B Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of NQ=F and BRK-B, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.39
1.68
NQ=F
BRK-B

Drawdowns

NQ=F vs. BRK-B - Drawdown Comparison

The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum BRK-B drawdown of -53.86%. Use the drawdown chart below to compare losses from any high point for NQ=F and BRK-B. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.48%
-5.95%
NQ=F
BRK-B

Volatility

NQ=F vs. BRK-B - Volatility Comparison

E-Mini Nasdaq 100 Futures (NQ=F) has a higher volatility of 6.46% compared to Berkshire Hathaway Inc. (BRK-B) at 3.52%. This indicates that NQ=F's price experiences larger fluctuations and is considered to be riskier than BRK-B 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%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
6.46%
3.52%
NQ=F
BRK-B
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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