^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.
Key characteristics
| ^DJUSM | NQ=F | |
|---|---|---|
| YTD Return | 15.95% | 19.20% |
| 1Y Return | 28.34% | 33.14% |
| 3Y Return (Ann) | 4.34% | 9.86% |
| 5Y Return (Ann) | 11.14% | 20.33% |
| 10Y Return (Ann) | 9.99% | 18.02% |
| Sharpe Ratio | 2.30 | 1.86 |
| Sortino Ratio | 3.15 | 2.55 |
| Omega Ratio | 1.40 | 1.35 |
| Calmar Ratio | 1.38 | 2.27 |
| Martin Ratio | 12.60 | 7.83 |
| Ulcer Index | 2.29% | 4.07% |
| Daily Std Dev | 12.55% | 17.32% |
| Max Drawdown | -60.72% | -35.28% |
| Current Drawdown | 0.00% | -2.91% |
Correlation
The correlation between ^DJUSM and NQ=F is 0.80, 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.
Performance
^DJUSM vs. NQ=F - Performance Comparison
In the year-to-date period, ^DJUSM achieves a 15.95% return, which is significantly lower than NQ=F's 19.20% return. Over the past 10 years, ^DJUSM has underperformed NQ=F with an annualized return of 9.99%, while NQ=F has yielded a comparatively higher 18.02% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^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.
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. For additional features, visit the drawdowns tool.
Volatility
^DJUSM vs. NQ=F - Volatility Comparison
The current volatility for Dow Jones U.S. Mid-Cap Index (^DJUSM) is 2.65%, while E-Mini Nasdaq 100 Futures (NQ=F) has a volatility of 4.46%. 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.