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^IBEX vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^IBEX and QQQ is 0.38, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

^IBEX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in IBEX 35 Index (^IBEX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^IBEX:

1.38

QQQ:

0.67

Sortino Ratio

^IBEX:

1.70

QQQ:

1.12

Omega Ratio

^IBEX:

1.25

QQQ:

1.16

Calmar Ratio

^IBEX:

0.62

QQQ:

0.77

Martin Ratio

^IBEX:

6.66

QQQ:

2.53

Ulcer Index

^IBEX:

3.22%

QQQ:

6.97%

Daily Std Dev

^IBEX:

16.59%

QQQ:

25.50%

Max Drawdown

^IBEX:

-62.65%

QQQ:

-82.98%

Current Drawdown

^IBEX:

-13.65%

QQQ:

-4.29%

Returns By Period

In the year-to-date period, ^IBEX achieves a 18.75% return, which is significantly higher than QQQ's 1.00% return. Over the past 10 years, ^IBEX has underperformed QQQ with an annualized return of 1.95%, while QQQ has yielded a comparatively higher 17.72% annualized return.


^IBEX

YTD

18.75%

1M

12.07%

6M

20.97%

1Y

23.47%

5Y*

15.70%

10Y*

1.95%

QQQ

YTD

1.00%

1M

13.47%

6M

0.83%

1Y

17.08%

5Y*

19.20%

10Y*

17.72%

*Annualized

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Risk-Adjusted Performance

^IBEX vs. QQQ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^IBEX
The Risk-Adjusted Performance Rank of ^IBEX is 9090
Overall Rank
The Sharpe Ratio Rank of ^IBEX is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of ^IBEX is 9595
Sortino Ratio Rank
The Omega Ratio Rank of ^IBEX is 9696
Omega Ratio Rank
The Calmar Ratio Rank of ^IBEX is 6767
Calmar Ratio Rank
The Martin Ratio Rank of ^IBEX is 9797
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 6666
Overall Rank
The Sharpe Ratio Rank of QQQ is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 6666
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 6666
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 7171
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 6363
Martin 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.

^IBEX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for IBEX 35 Index (^IBEX) and Invesco QQQ (QQQ). 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.


The current ^IBEX Sharpe Ratio is 1.38, which is higher than the QQQ Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of ^IBEX and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^IBEX vs. QQQ - Drawdown Comparison

The maximum ^IBEX drawdown since its inception was -62.65%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^IBEX and QQQ. For additional features, visit the drawdowns tool.


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Volatility

^IBEX vs. QQQ - Volatility Comparison

The current volatility for IBEX 35 Index (^IBEX) is 3.94%, while Invesco QQQ (QQQ) has a volatility of 7.54%. This indicates that ^IBEX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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