Running ES and NQ strategies for diversification
They move as one factor at +0.92, so the second index contract works best as a confirming tape rather than a second bet.
- Verdict
- Settled by the data
- Decided by
- Portfolio overlap
- The number
- ES/NQ correlation +0.92
The hypothesis, as pre-registered
Running the same strategy on two index contracts spreads risk across two markets.
What the test found
Measured on matched intraday returns, ES and NQ move as a single factor at roughly +0.92. A book holding both is holding one position at nearly twice the size, with two sets of commissions.
This matters most at the moment it hurts: correlations of correlated things rise further in stress, so the diversification is least present exactly when it is needed.
The honest use of a second index contract is as a confirming tape for a signal traded on the first — not as a second bet. Tested that way it has real value. Tested as diversification it has none.
What would make this work
Two streams would have to show materially uncorrelated trade-level returns — not merely trade different tickers — before a portfolio can count them as separate risk.
Every insight ends with this line: the exact condition that would turn the finding into a tradeable edge. That is what makes each entry a next experiment rather than a full stop.
Screened May 30, 2026
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