NQ=F vs. ES=F

Last updated Jun 4, 2026

NQ=F (E-Mini Nasdaq 100 Futures) and ES=F (S&P 500 E-Mini Futures) are both assets. Over the past 10 years, NQ=F returned 21.06%/yr vs 13.66%/yr for ES=F. Their correlation of 0.87 suggests significant overlap in exposure.

Performance

NQ=F vs. ES=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in E-Mini Nasdaq 100 Futures (NQ=F) and S&P 500 E-Mini Futures (ES=F). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NQ=F achieves a 19.79% return, which is significantly higher than ES=F's 9.50% return. Over the past 10 years, NQ=F has outperformed ES=F with an annualized return of 21.06%, while ES=F has yielded a comparatively lower 13.66% annualized return.

NQ=F

• 1D: -0.71%
• 1M: 9.79%
• YTD: 19.79%
• 6M: 18.85%
• 1Y: 40.49%
• 3Y*: 27.90%
• 5Y*: 17.24%
• 10Y*: 21.06%

ES=F

• 1D: -1.00%
• 1M: 4.39%
• YTD: 9.50%
• 6M: 9.99%
• 1Y: 26.18%
• 3Y*: 20.74%
• 5Y*: 12.29%
• 10Y*: 13.66%

*Multi-year figures are annualized to reflect compound growth (CAGR)

NQ=F vs. ES=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NQ=F E-Mini Nasdaq 100 Futures	19.79%	19.93%	24.69%	54.45%	-32.46%	26.66%	47.22%	38.20%	-1.18%	31.76%
ES=F S&P 500 E-Mini Futures	9.50%	16.12%	23.15%	24.84%	-18.86%	26.94%	16.02%	28.97%	-6.38%	19.66%

Correlation

The correlation between NQ=F and ES=F is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since Apr 27, 2009	0.87

The correlation between NQ=F and ES=F has been stable across timeframes, ranging from 0.87 to 0.91 - a consistent structural relationship.

Return for Risk

NQ=F vs. ES=F — Risk / Return Rank

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

NQ=F

NQ=F Risk / Return Rank: 90
NQ=F Sharpe Ratio Rank: 90
NQ=F Sortino Ratio Rank: 89
NQ=F Omega Ratio Rank: 89
NQ=F Calmar Ratio Rank: 92
NQ=F Martin Ratio Rank: 91

ES=F

ES=F Risk / Return Rank: 85
ES=F Sharpe Ratio Rank: 82
ES=F Sortino Ratio Rank: 84
ES=F Omega Ratio Rank: 80
ES=F Calmar Ratio Rank: 85
ES=F Martin Ratio Rank: 93

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

NQ=F vs. ES=F - Risk-Adjusted Trends 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.

	NQ=F	ES=F	Difference
Sharpe ratio Return per unit of total volatility	2.49	2.08	+0.41
Sortino ratio Return per unit of downside risk	3.32	2.91	+0.41
Omega ratio Gain probability vs. loss probability	1.43	1.38	+0.05
Calmar ratio Return relative to maximum drawdown	3.27	2.61	+0.66
Martin ratio Return relative to average drawdown	11.92	11.71	+0.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NQ=F vs. ES=F - Sharpe Ratio Comparison

The current NQ=F Sharpe Ratio is 2.49, which is comparable to the ES=F Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of NQ=F and ES=F, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	NQ=F	ES=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.49	2.08	+0.41
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	0.71	+0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.94	0.74	+0.20
Sharpe Ratio (All Time) Calculated using the full available price history	0.97	0.38	+0.59

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.

Drawdown Indicators

	NQ=F	ES=F	Difference
Max Drawdown Largest peak-to-trough decline	-35.28%	-57.11%	+21.83%
Max Drawdown (1Y) Largest decline over 1 year	-11.89%	-8.95%	-2.94%
Max Drawdown (3Y) Largest decline over 3 years	-23.05%	-18.54%	-4.51%
Max Drawdown (5Y) Largest decline over 5 years	-35.28%	-25.02%	-10.26%
Max Drawdown (10Y) Largest decline over 10 years	-35.28%	-34.45%	-0.83%
Current Drawdown Current decline from peak	-0.71%	-1.00%	+0.29%
Average Drawdown Average peak-to-trough decline	-5.11%	-12.50%	+7.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.31%	2.09%	+1.22%

Volatility

NQ=F vs. ES=F - Volatility Comparison

E-Mini Nasdaq 100 Futures (NQ=F) has a higher volatility of 4.36% compared to S&P 500 E-Mini Futures (ES=F) at 2.89%. 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.

Volatility by Period

	NQ=F	ES=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.36%	2.89%	+1.47%
Volatility (6M) Calculated over the trailing 6-month period	11.88%	8.77%	+3.11%
Volatility (1Y) Calculated over the trailing 1-year period	15.61%	11.25%	+4.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.45%	16.50%	+5.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.29%	17.63%	+4.66%

Frequently Asked Questions

Can I hold both NQ=F and ES=F in my portfolio?

NQ=F and ES=F have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NQ=F or ES=F?

NQ=F has higher volatility (4.36%) compared to ES=F (2.89%). In terms of maximum drawdown, NQ=F dropped -35.28% vs ES=F's -57.11%.

Which has better risk-adjusted returns?

NQ=F currently has the higher Sharpe Ratio (2.49 vs 2.08), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.