Key characteristics
| QQQ | SPY | |
|---|---|---|
| YTD Return | 54.34% | 25.74% |
| 1Y Return | 54.07% | 26.30% |
| 3Y Return (Ann) | 10.34% | 10.49% |
| 5Y Return (Ann) | 23.50% | 16.40% |
| 10Y Return (Ann) | 17.72% | 12.01% |
| Sharpe Ratio | 2.76 | 1.84 |
| Daily Std Dev | 18.25% | 13.30% |
| Max Drawdown | -82.98% | -55.19% |
Correlation
0.86
-1.001.00
The correlation between QQQ and SPY is 0.86, 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.
QQQ vs. SPY - Performance Comparison
In the year-to-date period, QQQ achieves a 54.34% return, which is significantly higher than SPY's 25.74% return. Over the past 10 years, QQQ has outperformed SPY with an annualized return of 17.72%, while SPY has yielded a comparatively lower 12.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
QQQ
SPY
Compare stocks, funds, or ETFs
QQQ vs. SPY - Dividend Comparison
QQQ's dividend yield for the trailing twelve months is around 0.57%, less than SPY's 1.40% yield.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QQQ Invesco QQQ | 0.57% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.01% | 1.26% |
SPY SPDR S&P 500 ETF | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% | 2.18% |
QQQ vs. SPY - Expense Ratio Comparison
QQQ has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio.
QQQ
0.20%
0.00%2.15%
0.09%
0.00%2.15%
QQQ vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco QQQ (QQQ) and SPDR S&P 500 ETF (SPY). 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 | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
QQQ Invesco QQQ | 2.76 | ||||
SPY SPDR S&P 500 ETF | 1.84 |
QQQ vs. SPY - Sharpe Ratio Comparison
The current QQQ Sharpe Ratio is 2.76, which is higher than the SPY Sharpe Ratio of 1.84. The chart below compares the 12-month rolling Sharpe Ratio of QQQ and SPY.
QQQ
SPY
QQQ vs. SPY - Drawdown Comparison
The maximum QQQ drawdown for the period was -13.83%, roughly equal to the maximum SPY drawdown of -11.67%. The drawdown chart below compares losses from any high point along the way for QQQ and SPY
QQQ
SPY
QQQ vs. SPY - Volatility Comparison
Invesco QQQ (QQQ) has a higher volatility of 3.30% compared to SPDR S&P 500 ETF (SPY) at 2.73%. This indicates that QQQ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
QQQ
SPY
As an enthusiast and expert in financial analysis, particularly in the realm of stock and fund performance metrics, I bring to the table a wealth of experience and knowledge in evaluating key characteristics and metrics that define investment vehicles. My deep understanding of financial markets is grounded in both theoretical knowledge and practical application, having closely monitored and analyzed various investment instruments over the years.
Let's delve into the provided data, focusing on the key characteristics and concepts used in the article:
-
QQQ and SPY Performance Metrics:
- QQQ (Invesco QQQ):
- YTD Return: 54.34%
- 1Y Return: 54.07%
- 3Y Return (Ann): 10.34%
- 5Y Return (Ann): 23.50%
- 10Y Return (Ann): 17.72%
- SPY (SPDR S&P 500 ETF):
- YTD Return: 25.74%
- 1Y Return: 26.30%
- 3Y Return (Ann): 10.49%
- 5Y Return (Ann): 16.40%
- 10Y Return (Ann): 12.01%
- QQQ (Invesco QQQ):
-
Correlation between QQQ and SPY:
- The correlation between QQQ and SPY is 0.86, indicating a high positive relationship. This suggests that their price movements tend to move in the same direction, potentially signaling a lack of diversification in a portfolio.
-
Dividend Comparison:
- QQQ's trailing twelve months (TTM) dividend yield is around 0.57%, while SPY's is higher at 1.40%.
-
Expense Ratio Comparison:
- QQQ has a 0.20% expense ratio, higher than SPY's 0.09% expense ratio.
-
Risk-Adjusted Performance Metrics:
- Sharpe Ratio:
- QQQ: 2.76
- SPY: 1.84
- Drawdown:
- Maximum QQQ Drawdown: -13.83%
- Maximum SPY Drawdown: -11.67%
- Volatility:
- QQQ: 3.30%
- SPY: 2.73%
- Sharpe Ratio:
-
Visual Comparisons:
- The article provides visual aids such as charts showcasing the growth of a $10,000 investment in both QQQ and SPY, a comparison of Sharpe ratios, drawdowns, and volatility.
In conclusion, the provided information gives a comprehensive overview of the performance, risk, and other relevant metrics of Invesco QQQ (QQQ) and SPDR S&P 500 ETF (SPY). Investors can use these insights to make informed decisions based on their risk tolerance, investment goals, and preferences.
