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qqq vs world
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Risk-Adjusted Performance
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qqq vs world

Last updated Nov 13, 2024

Asset Allocation

EQQQ.DE 16.67%SSAC.L 16.67%IWDA.L 16.67%VNRG.L 16.67%VT 16.67%VWRL.L 16.67%EquityEquity
PositionCategory/SectorWeight
EQQQ.DE
Invesco EQQQ NASDAQ-100 UCITS ETF		Large Cap Growth Equities
16.67%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		Global Equities
16.67%
SSAC.L
iShares MSCI ACWI UCITS ETF (Acc)		Global Equities
16.67%
VNRG.L
Vanguard FTSE North America UCITS ETF (USD) Accumulating		Large Cap Blend Equities
16.67%
VT
Vanguard Total World Stock ETF		Large Cap Growth Equities
16.67%
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing		Global Equities
16.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in qqq vs world, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.76%
14.05%
qqq vs world
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2019, corresponding to the inception date of VNRG.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
qqq vs world21.42%1.63%11.76%32.48%13.65%N/A
Portfolio components:
EQQQ.DE
Invesco EQQQ NASDAQ-100 UCITS ETF		25.50%4.31%15.98%36.73%20.64%19.90%
SSAC.L
iShares MSCI ACWI UCITS ETF (Acc)		19.10%0.36%9.72%29.77%11.09%11.48%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		20.24%1.06%10.79%31.65%12.23%10.16%
VNRG.L
Vanguard FTSE North America UCITS ETF (USD) Accumulating		26.11%3.37%15.22%37.19%14.95%N/A
VT
Vanguard Total World Stock ETF		18.68%0.41%9.34%29.94%11.05%9.45%
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing		18.76%0.23%9.42%29.42%11.44%12.17%

Monthly Returns

The table below presents the monthly returns of qqq vs world, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.08%3.88%3.17%-3.17%3.30%4.43%0.68%1.51%2.35%-0.93%21.42%
20237.20%-2.17%3.89%1.59%0.91%6.06%3.52%-1.99%-4.25%-3.27%9.21%5.68%28.49%
2022-6.70%-2.15%3.41%-8.31%-1.92%-8.21%7.61%-3.27%-8.32%4.46%5.41%-3.71%-21.15%
2021-0.05%2.07%2.72%4.65%1.04%2.26%1.49%2.79%-4.01%5.22%-0.75%3.56%22.70%
2020-0.19%-8.56%-10.65%10.23%4.22%3.96%5.21%7.93%-3.34%-2.97%11.53%5.05%21.53%
2019-0.49%-2.86%2.27%2.74%3.32%3.42%8.53%

Expense Ratio

qqq vs world has an expense ratio of 0.18%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

EQQQ.DE
Invesco EQQQ NASDAQ-100 UCITS ETF
Expense ratio chart for EQQQ.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing
Expense ratio chart for VWRL.L: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
SSAC.L
iShares MSCI ACWI UCITS ETF (Acc)
Expense ratio chart for SSAC.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for IWDA.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
VNRG.L
Vanguard FTSE North America UCITS ETF (USD) Accumulating
Expense ratio chart for VNRG.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VT
Vanguard Total World Stock ETF
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of qqq vs world is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of qqq vs world is 5555
Combined Rank
The Sharpe Ratio Rank of qqq vs world is 5353Sharpe Ratio Rank
The Sortino Ratio Rank of qqq vs world is 5454Sortino Ratio Rank
The Omega Ratio Rank of qqq vs world is 6363Omega Ratio Rank
The Calmar Ratio Rank of qqq vs world is 5555Calmar Ratio Rank
The Martin Ratio Rank of qqq vs world is 4949Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.

qqq vs world
Sharpe ratio
The chart of Sharpe ratio for qqq vs world, currently valued at 2.61, compared to the broader market0.002.004.006.002.61
Sortino ratio
The chart of Sortino ratio for qqq vs world, currently valued at 3.55, compared to the broader market-2.000.002.004.006.003.55
Omega ratio
The chart of Omega ratio for qqq vs world, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for qqq vs world, currently valued at 3.44, compared to the broader market0.005.0010.0015.003.44
Martin ratio
The chart of Martin ratio for qqq vs world, currently valued at 15.21, compared to the broader market0.0010.0020.0030.0040.0050.0060.0015.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EQQQ.DE
Invesco EQQQ NASDAQ-100 UCITS ETF		2.092.821.392.709.54
SSAC.L
iShares MSCI ACWI UCITS ETF (Acc)		2.413.361.453.3514.86
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		2.483.481.463.6615.84
VNRG.L
Vanguard FTSE North America UCITS ETF (USD) Accumulating		3.034.171.584.3518.91
VT
Vanguard Total World Stock ETF		2.243.051.413.1714.39
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing		2.453.401.453.3415.08

Sharpe Ratio

The current qqq vs world Sharpe ratio is 2.61. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.07 to 2.98, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of qqq vs world with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.61
2.90
qqq vs world
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

qqq vs world provided a 0.56% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.56%0.70%0.80%0.59%0.61%0.80%0.90%0.78%0.84%0.86%0.92%0.82%
Portfolio components:
EQQQ.DE
Invesco EQQQ NASDAQ-100 UCITS ETF		0.38%0.39%0.57%0.25%0.41%0.54%0.64%0.68%0.78%0.73%0.97%0.94%
SSAC.L
iShares MSCI ACWI UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNRG.L
Vanguard FTSE North America UCITS ETF (USD) Accumulating		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VT
Vanguard Total World Stock ETF		1.84%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VWRL.L
Vanguard FTSE All-World UCITS ETF Distributing		1.13%1.73%2.04%1.45%1.58%1.95%2.23%1.90%1.85%1.98%2.14%1.95%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.56%
-0.29%
qqq vs world
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the qqq vs world. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the qqq vs world was 32.82%, occurring on Mar 23, 2020. Recovery took 95 trading sessions.

The current qqq vs world drawdown is 0.56%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.82%Feb 20, 202023Mar 23, 202095Aug 4, 2020118
-27.37%Dec 31, 2021202Oct 11, 2022308Dec 19, 2023510
-8.36%Jul 17, 202414Aug 5, 202433Sep 19, 202447
-8.01%Sep 3, 202013Sep 21, 202035Nov 9, 202048
-6.32%Feb 16, 202114Mar 5, 202121Apr 6, 202135

Volatility

Volatility Chart

The current qqq vs world volatility is 3.20%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.20%
3.86%
qqq vs world
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
VTEQQQ.DEIWDA.LVNRG.LSSAC.LVWRL.L
VT1.000.590.630.660.710.72
EQQQ.DE0.591.000.840.860.830.83
IWDA.L0.630.841.000.900.920.92
VNRG.L0.660.860.901.000.960.95
SSAC.L0.710.830.920.961.000.99
VWRL.L0.720.830.920.950.991.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2019