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NQ=F vs. TQQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between NQ=F and TQQQ is 0.98, 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.


-0.50.00.51.01.0

Performance

NQ=F vs. TQQQ - Performance Comparison

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

-30.00%-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
10.30%
15.70%
NQ=F
TQQQ

Key characteristics

Sharpe Ratio

NQ=F:

1.47

TQQQ:

1.35

Sortino Ratio

NQ=F:

2.02

TQQQ:

1.82

Omega Ratio

NQ=F:

1.28

TQQQ:

1.25

Calmar Ratio

NQ=F:

1.88

TQQQ:

1.53

Martin Ratio

NQ=F:

6.35

TQQQ:

5.72

Ulcer Index

NQ=F:

4.14%

TQQQ:

12.59%

Daily Std Dev

NQ=F:

17.77%

TQQQ:

53.33%

Max Drawdown

NQ=F:

-35.28%

TQQQ:

-81.66%

Current Drawdown

NQ=F:

-0.37%

TQQQ:

-8.52%

Returns By Period

In the year-to-date period, NQ=F achieves a 29.40% return, which is significantly lower than TQQQ's 70.13% return. Over the past 10 years, NQ=F has underperformed TQQQ with an annualized return of 17.50%, while TQQQ has yielded a comparatively higher 35.46% annualized return.


NQ=F

YTD

29.40%

1M

5.65%

6M

10.30%

1Y

29.73%

5Y*

19.60%

10Y*

17.50%

TQQQ

YTD

70.13%

1M

9.06%

6M

19.57%

1Y

71.31%

5Y*

32.75%

10Y*

35.46%

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Risk-Adjusted Performance

NQ=F vs. TQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and ProShares UltraPro QQQ (TQQQ). 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.


Sharpe ratio
The chart of Sharpe ratio for NQ=F, currently valued at 1.47, compared to the broader market0.000.501.001.502.001.471.12
The chart of Sortino ratio for NQ=F, currently valued at 2.02, compared to the broader market0.000.501.001.502.002.502.021.61
The chart of Omega ratio for NQ=F, currently valued at 1.28, compared to the broader market1.001.101.201.301.281.22
The chart of Calmar ratio for NQ=F, currently valued at 1.88, compared to the broader market0.001.002.003.001.881.36
The chart of Martin ratio for NQ=F, currently valued at 6.35, compared to the broader market0.002.004.006.008.0010.006.354.54
NQ=F
TQQQ

The current NQ=F Sharpe Ratio is 1.47, which is comparable to the TQQQ Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of NQ=F and TQQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.47
1.12
NQ=F
TQQQ

Drawdowns

NQ=F vs. TQQQ - Drawdown Comparison

The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum TQQQ drawdown of -81.66%. Use the drawdown chart below to compare losses from any high point for NQ=F and TQQQ. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.37%
-8.52%
NQ=F
TQQQ

Volatility

NQ=F vs. TQQQ - Volatility Comparison

The current volatility for E-Mini Nasdaq 100 Futures (NQ=F) is 6.55%, while ProShares UltraPro QQQ (TQQQ) has a volatility of 16.22%. This indicates that NQ=F experiences smaller price fluctuations and is considered to be less risky than TQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
6.55%
16.22%
NQ=F
TQQQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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