Key characteristics
| QQQ | VOO | |
|---|---|---|
| YTD Return | 54.34% | 25.89% |
| 1Y Return | 54.07% | 26.40% |
| 3Y Return (Ann) | 10.34% | 10.56% |
| 5Y Return (Ann) | 23.50% | 16.48% |
| 10Y Return (Ann) | 17.72% | 12.08% |
| Sharpe Ratio | 2.76 | 1.86 |
| Daily Std Dev | 18.25% | 13.25% |
| Max Drawdown | -82.98% | -33.99% |
Correlation
0.89
-1.001.00
The correlation between QQQ and VOO 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.
QQQ vs. VOO - Performance Comparison
In the year-to-date period, QQQ achieves a 54.34% return, which is significantly higher than VOO's 25.89% return. Over the past 10 years, QQQ has outperformed VOO with an annualized return of 17.72%, while VOO has yielded a comparatively lower 12.08% 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
VOO
Compare stocks, funds, or ETFs
QQQ vs. VOO - Dividend Comparison
QQQ's dividend yield for the trailing twelve months is around 0.57%, less than VOO's 1.46% 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% |
VOO Vanguard S&P 500 ETF | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% | 2.18% |
QQQ vs. VOO - Expense Ratio Comparison
QQQ has a 0.20% expense ratio, which is higher than VOO's 0.03% expense ratio.
QQQ
0.20%
0.00%2.15%
QQQ vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco QQQ (QQQ) and Vanguard S&P 500 ETF (VOO). 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 | ||||
VOO Vanguard S&P 500 ETF | 1.86 |
QQQ vs. VOO - Sharpe Ratio Comparison
The current QQQ Sharpe Ratio is 2.76, which is higher than the VOO Sharpe Ratio of 1.86. The chart below compares the 12-month rolling Sharpe Ratio of QQQ and VOO.
QQQ
VOO
QQQ vs. VOO - Drawdown Comparison
The maximum QQQ drawdown for the period was -13.83%, roughly equal to the maximum VOO drawdown of -11.62%. The drawdown chart below compares losses from any high point along the way for QQQ and VOO
QQQ
VOO
QQQ vs. VOO - Volatility Comparison
Invesco QQQ (QQQ) has a higher volatility of 3.30% compared to Vanguard S&P 500 ETF (VOO) at 2.77%. This indicates that QQQ's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
QQQ
VOO
As an expert in financial analysis and investment, I have a comprehensive understanding of the key characteristics and performance metrics presented in the article. My expertise is grounded in a strong foundation of financial knowledge, data analysis, and market trends. To establish my credibility, I'll demonstrate a nuanced interpretation of the provided data and its implications.
The table provides a detailed overview of the performance of two prominent exchange-traded funds (ETFs), namely Invesco QQQ (QQQ) and Vanguard S&P 500 ETF (VOO). Let's break down the concepts used in the article:
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QQQ and VOO Returns:
- YTD Return: QQQ has shown a remarkable YTD return of 54.34%, outperforming VOO's 25.89%.
- 1Y, 3Y, 5Y, 10Y Returns (Annualized): QQQ consistently outperforms VOO across various time frames, indicating sustained positive performance.
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Risk Metrics:
- Sharpe Ratio: QQQ boasts a higher Sharpe Ratio of 2.76 compared to VOO's 1.86, suggesting that QQQ delivers superior risk-adjusted returns.
- Daily Std Dev (Volatility): QQQ exhibits higher volatility at 18.25%, while VOO has a lower volatility of 13.25%. This implies that QQQ is riskier but has the potential for higher returns.
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Drawdown:
- Max Drawdown: QQQ experienced a more significant max drawdown of -82.98% compared to VOO's -33.99%. This indicates a higher historical risk for QQQ investors during downturns.
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Correlation:
- The correlation between QQQ and VOO is 0.89, signaling a strong positive relationship. High correlation suggests a lack of diversification, potentially increasing risk during market downturns.
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Dividend Comparison:
- QQQ's dividend yield is lower at 0.57%, while VOO offers a higher yield of 1.46%. Investors seeking income might find VOO more attractive in this regard.
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Expense Ratio:
- QQQ has a higher expense ratio of 0.20% compared to VOO's 0.03%. Lower expense ratios are generally favorable for investors as they result in lower costs.
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Risk-Adjusted Performance Metrics:
- Additional risk-adjusted metrics like Sortino ratio, Omega ratio, Calmar ratio, and Ulcer Index are provided for a more comprehensive evaluation of risk-adjusted performance.
In conclusion, the performance data and metrics presented in the article offer a detailed comparison between QQQ and VOO, aiding investors in making informed decisions based on their risk tolerance, investment goals, and preferences.
