Correlation
The correlation between ^DJUSM and NQ=F is 0.89, 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.
^DJUSM vs. NQ=F
Compare and contrast key facts about Dow Jones U.S. Mid-Cap Index (^DJUSM) and E-Mini Nasdaq 100 Futures (NQ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJUSM or NQ=F.
Performance
^DJUSM vs. NQ=F - Performance Comparison
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Key characteristics
^DJUSM:
0.73
NQ=F:
0.58
^DJUSM:
1.15
NQ=F:
0.92
^DJUSM:
1.16
NQ=F:
1.13
^DJUSM:
0.73
NQ=F:
0.59
^DJUSM:
2.69
NQ=F:
1.85
^DJUSM:
5.15%
NQ=F:
7.38%
^DJUSM:
18.70%
NQ=F:
25.54%
^DJUSM:
-60.72%
NQ=F:
-35.28%
^DJUSM:
-3.10%
NQ=F:
-4.60%
Returns By Period
In the year-to-date period, ^DJUSM achieves a 3.99% return, which is significantly higher than NQ=F's 0.71% return. Over the past 10 years, ^DJUSM has underperformed NQ=F with an annualized return of 8.67%, while NQ=F has yielded a comparatively higher 16.85% annualized return.
^DJUSM
3.99%
3.59%
-3.07%
12.64%
8.91%
12.52%
8.67%
NQ=F
0.71%
5.85%
1.83%
14.98%
19.12%
17.46%
16.85%
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Risk-Adjusted Performance
^DJUSM vs. NQ=F — Risk-Adjusted Performance Rank
^DJUSM
NQ=F
^DJUSM vs. NQ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Mid-Cap Index (^DJUSM) and E-Mini Nasdaq 100 Futures (NQ=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.
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Drawdowns
^DJUSM vs. NQ=F - Drawdown Comparison
The maximum ^DJUSM drawdown since its inception was -60.72%, which is greater than NQ=F's maximum drawdown of -35.28%. Use the drawdown chart below to compare losses from any high point for ^DJUSM and NQ=F.
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Volatility
^DJUSM vs. NQ=F - Volatility Comparison
The current volatility for Dow Jones U.S. Mid-Cap Index (^DJUSM) is 4.52%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 5.55%. This indicates that ^DJUSM experiences smaller price fluctuations and is considered to be less risky than NQ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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