NQ=F vs. FNGS
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and MicroSectors FANG+ ETN (FNGS).
FNGS is a passively managed fund by BMO Financial Group that tracks the performance of the NYSE FANG+ Index. It was launched on Nov 12, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or FNGS.
Performance
NQ=F vs. FNGS - Performance Comparison
Returns By Period
In the year-to-date period, NQ=F achieves a 22.34% return, which is significantly lower than FNGS's 42.85% return.
NQ=F
22.34%
1.68%
10.79%
29.47%
19.78%
17.03%
FNGS
42.85%
4.96%
17.63%
49.34%
34.16%
N/A
Key characteristics
| NQ=F | FNGS | |
|---|---|---|
| Sharpe Ratio | 1.39 | 2.10 |
| Sortino Ratio | 1.92 | 2.67 |
| Omega Ratio | 1.26 | 1.36 |
| Calmar Ratio | 1.72 | 2.92 |
| Martin Ratio | 5.84 | 9.48 |
| Ulcer Index | 4.13% | 5.48% |
| Daily Std Dev | 17.12% | 24.78% |
| Max Drawdown | -35.28% | -48.98% |
| Current Drawdown | -1.91% | -0.52% |
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Correlation
The correlation between NQ=F and FNGS is 0.90, 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. FNGS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and MicroSectors FANG+ ETN (FNGS). 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. FNGS - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum FNGS drawdown of -48.98%. Use the drawdown chart below to compare losses from any high point for NQ=F and FNGS. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. FNGS - Volatility Comparison
The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 5.42%, while MicroSectors FANG+ ETN (FNGS) has a volatility of 6.72%. This indicates that NQ=F experiences smaller price fluctuations and is considered to be less risky than FNGS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.