Correlation
The correlation between NQ=F and ES=F is 0.89, 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.
NQ=F vs. ES=F
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and S&P 500 E-Mini Futures (ES=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or ES=F.
Performance
NQ=F vs. ES=F - Performance Comparison
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Key characteristics
NQ=F:
0.53
ES=F:
0.59
NQ=F:
0.87
ES=F:
0.86
NQ=F:
1.12
ES=F:
1.12
NQ=F:
0.55
ES=F:
0.54
NQ=F:
1.72
ES=F:
2.01
NQ=F:
7.38%
ES=F:
5.01%
NQ=F:
25.56%
ES=F:
19.41%
NQ=F:
-35.28%
ES=F:
-57.11%
NQ=F:
-4.77%
ES=F:
-4.19%
Returns By Period
In the year-to-date period, NQ=F achieves a 0.53% return, which is significantly higher than ES=F's -0.53% return. Over the past 10 years, NQ=F has outperformed ES=F with an annualized return of 16.79%, while ES=F has yielded a comparatively lower 10.84% annualized return.
NQ=F
0.53%
8.64%
2.53%
13.49%
18.95%
17.42%
16.79%
ES=F
-0.53%
5.74%
-1.84%
11.74%
12.22%
14.18%
10.84%
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Risk-Adjusted Performance
NQ=F vs. ES=F — Risk-Adjusted Performance Rank
NQ=F
ES=F
NQ=F vs. ES=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and S&P 500 E-Mini Futures (ES=F). 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.
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Drawdowns
NQ=F vs. ES=F - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum ES=F drawdown of -57.11%. Use the drawdown chart below to compare losses from any high point for NQ=F and ES=F.
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Volatility
NQ=F vs. ES=F - Volatility Comparison
E-Mini Nasdaq 100 Futures (NQ=F) has a higher volatility of 5.60% compared to S&P 500 E-Mini Futures (ES=F) at 3.89%. This indicates that NQ=F's price experiences larger fluctuations and is considered to be riskier than ES=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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