NQ=F vs. SPY
Compare and contrast key facts about E-Mini Nasdaq 100 Futures (NQ=F) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NQ=F or SPY.
Performance
NQ=F vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, NQ=F achieves a 21.66% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, NQ=F has outperformed SPY with an annualized return of 16.96%, while SPY has yielded a comparatively lower 13.07% annualized return.
NQ=F
21.66%
0.93%
10.24%
29.52%
19.63%
16.96%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| NQ=F | SPY | |
|---|---|---|
| Sharpe Ratio | 1.36 | 2.62 |
| Sortino Ratio | 1.89 | 3.50 |
| Omega Ratio | 1.26 | 1.49 |
| Calmar Ratio | 1.68 | 3.78 |
| Martin Ratio | 5.71 | 17.00 |
| Ulcer Index | 4.13% | 1.87% |
| Daily Std Dev | 17.11% | 12.14% |
| Max Drawdown | -35.28% | -55.19% |
| Current Drawdown | -2.45% | -1.38% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between NQ=F and SPY is 0.88, 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and SPDR S&P 500 ETF (SPY). 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. SPY - Drawdown Comparison
The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NQ=F and SPY. For additional features, visit the drawdowns tool.
Volatility
NQ=F vs. SPY - Volatility Comparison
E-Mini Nasdaq 100 Futures (NQ=F) has a higher volatility of 5.39% compared to SPDR S&P 500 ETF (SPY) at 3.96%. This indicates that NQ=F's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.