NQ=F vs. ES
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and Eversource Energy (ES).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or ES.
Performance
NQ=F vs. ES - Performance Comparison
Returns By Period
In the year-to-date period, NQ=F achieves a 22.48% return, which is significantly higher than ES's 6.33% return. Over the past 10 years, NQ=F has outperformed ES with an annualized return of 16.93%, while ES has yielded a comparatively lower 5.90% annualized return.
NQ=F
22.48%
3.11%
10.46%
29.79%
19.77%
16.93%
ES
6.33%
-5.53%
11.35%
11.43%
-1.88%
5.90%
Key characteristics
| NQ=F | ES | |
|---|---|---|
| Sharpe Ratio | 1.38 | 0.49 |
| Sortino Ratio | 1.91 | 0.83 |
| Omega Ratio | 1.26 | 1.10 |
| Calmar Ratio | 1.71 | 0.28 |
| Martin Ratio | 5.79 | 1.60 |
| Ulcer Index | 4.14% | 7.13% |
| Daily Std Dev | 17.10% | 23.47% |
| Max Drawdown | -35.28% | -65.47% |
| Current Drawdown | -1.80% | -26.27% |
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Correlation
The correlation between NQ=F and ES is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
NQ=F vs. ES - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and Eversource Energy (ES). 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. ES - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum ES drawdown of -65.47%. Use the drawdown chart below to compare losses from any high point for NQ=F and ES. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. ES - Volatility Comparison
The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 5.37%, while Eversource Energy (ES) has a volatility of 6.55%. This indicates that NQ=F experiences smaller price fluctuations and is considered to be less risky than ES based on this measure. The chart below showcases a comparison of their rolling one-month volatility.