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
Returns By Period
In the year-to-date period, NQ=F achieves a 22.27% return, which is significantly lower than ES=F's 24.01% return. Over the past 10 years, NQ=F has outperformed ES=F with an annualized return of 16.93%, while ES=F has yielded a comparatively lower 10.37% annualized return.
NQ=F
22.27%
1.33%
11.33%
29.70%
19.73%
16.93%
ES=F
24.01%
1.29%
12.93%
30.68%
12.56%
10.37%
Key characteristics
| NQ=F | ES=F | |
|---|---|---|
| Sharpe Ratio | 1.37 | 2.13 |
| Sortino Ratio | 1.90 | 2.94 |
| Omega Ratio | 1.26 | 1.42 |
| Calmar Ratio | 1.69 | 2.95 |
| Martin Ratio | 5.74 | 12.13 |
| Ulcer Index | 4.14% | 2.12% |
| Daily Std Dev | 17.10% | 11.67% |
| Max Drawdown | -35.28% | -57.11% |
| Current Drawdown | -1.96% | -1.05% |
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Correlation
The correlation between NQ=F and ES=F is 0.86, 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. 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.
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. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. ES=F - Volatility Comparison
E-Mini Nasdaq 100 Futures (NQ=F) has a higher volatility of 5.37% compared to S&P 500 E-Mini Futures (ES=F) at 4.00%. 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.