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NQ=F vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between NQ=F and ^NDX 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. ^NDX - Performance Comparison

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

1,200.00%1,250.00%1,300.00%1,350.00%1,400.00%1,450.00%1,500.00%1,550.00%AugustSeptemberOctoberNovemberDecember2025
1,493.55%
1,485.55%
NQ=F
^NDX

Key characteristics

Sharpe Ratio

NQ=F:

1.38

^NDX:

1.37

Sortino Ratio

NQ=F:

1.93

^NDX:

1.87

Omega Ratio

NQ=F:

1.26

^NDX:

1.25

Calmar Ratio

NQ=F:

1.78

^NDX:

1.85

Martin Ratio

NQ=F:

5.89

^NDX:

6.39

Ulcer Index

NQ=F:

4.24%

^NDX:

3.93%

Daily Std Dev

NQ=F:

17.93%

^NDX:

18.40%

Max Drawdown

NQ=F:

-35.28%

^NDX:

-82.90%

Current Drawdown

NQ=F:

-0.90%

^NDX:

-1.46%

Returns By Period

In the year-to-date period, NQ=F achieves a 3.23% return, which is significantly lower than ^NDX's 3.63% return. Both investments have delivered pretty close results over the past 10 years, with NQ=F having a 17.94% annualized return and ^NDX not far ahead at 18.11%.


NQ=F

YTD

3.23%

1M

-0.44%

6M

14.27%

1Y

25.01%

5Y*

19.04%

10Y*

17.94%

^NDX

YTD

3.63%

1M

0.03%

6M

14.46%

1Y

24.99%

5Y*

19.52%

10Y*

18.11%

*Annualized

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Risk-Adjusted Performance

NQ=F vs. ^NDX — Risk-Adjusted Performance Rank

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

NQ=F
The Risk-Adjusted Performance Rank of NQ=F is 7373
Overall Rank
The Sharpe Ratio Rank of NQ=F is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of NQ=F is 7373
Sortino Ratio Rank
The Omega Ratio Rank of NQ=F is 7373
Omega Ratio Rank
The Calmar Ratio Rank of NQ=F is 7474
Calmar Ratio Rank
The Martin Ratio Rank of NQ=F is 7171
Martin Ratio Rank

^NDX
The Risk-Adjusted Performance Rank of ^NDX is 5959
Overall Rank
The Sharpe Ratio Rank of ^NDX is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 5757
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 5555
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 6666
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 6060
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NQ=F vs. ^NDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for E-Mini Nasdaq 100 Futures (NQ=F) and NASDAQ 100 (^NDX). 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 1.38, compared to the broader market0.000.501.001.502.001.381.38
The chart of Sortino ratio for NQ=F, currently valued at 1.93, compared to the broader market0.000.501.001.502.002.503.001.931.89
The chart of Omega ratio for NQ=F, currently valued at 1.26, compared to the broader market1.001.101.201.301.401.261.26
The chart of Calmar ratio for NQ=F, currently valued at 1.78, compared to the broader market0.001.002.003.004.001.781.81
The chart of Martin ratio for NQ=F, currently valued at 5.89, compared to the broader market0.002.004.006.008.0010.005.896.11
NQ=F
^NDX

The current NQ=F Sharpe Ratio is 1.38, which is comparable to the ^NDX Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of NQ=F and ^NDX, 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 Ratio1.001.502.002.50AugustSeptemberOctoberNovemberDecember2025
1.38
1.38
NQ=F
^NDX

Drawdowns

NQ=F vs. ^NDX - Drawdown Comparison

The maximum NQ=F drawdown since its inception was -35.28%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for NQ=F and ^NDX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-0.90%
-1.46%
NQ=F
^NDX

Volatility

NQ=F vs. ^NDX - Volatility Comparison

E-Mini Nasdaq 100 Futures (NQ=F) and NASDAQ 100 (^NDX) have volatilities of 5.04% and 5.13%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%AugustSeptemberOctoberNovemberDecember2025
5.04%
5.13%
NQ=F
^NDX
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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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