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^SPTSX60 vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SPTSX60 and QQQ is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

^SPTSX60 vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P/TSX 60 Index (^SPTSX60) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.17%
7.89%
^SPTSX60
QQQ

Key characteristics

Sharpe Ratio

^SPTSX60:

1.63

QQQ:

1.63

Sortino Ratio

^SPTSX60:

2.26

QQQ:

2.18

Omega Ratio

^SPTSX60:

1.30

QQQ:

1.29

Calmar Ratio

^SPTSX60:

2.33

QQQ:

2.15

Martin Ratio

^SPTSX60:

11.06

QQQ:

7.73

Ulcer Index

^SPTSX60:

1.49%

QQQ:

3.76%

Daily Std Dev

^SPTSX60:

10.15%

QQQ:

17.84%

Max Drawdown

^SPTSX60:

-49.15%

QQQ:

-82.98%

Current Drawdown

^SPTSX60:

-4.96%

QQQ:

-3.77%

Returns By Period

In the year-to-date period, ^SPTSX60 achieves a 15.81% return, which is significantly lower than QQQ's 27.01% return. Over the past 10 years, ^SPTSX60 has underperformed QQQ with an annualized return of 5.69%, while QQQ has yielded a comparatively higher 18.29% annualized return.


^SPTSX60

YTD

15.81%

1M

-2.29%

6M

13.76%

1Y

17.83%

5Y*

7.52%

10Y*

5.69%

QQQ

YTD

27.01%

1M

2.87%

6M

7.89%

1Y

29.11%

5Y*

20.41%

10Y*

18.29%

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Risk-Adjusted Performance

^SPTSX60 vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P/TSX 60 Index (^SPTSX60) 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.


Sharpe ratio
The chart of Sharpe ratio for ^SPTSX60, currently valued at 0.51, compared to the broader market-1.000.001.002.000.511.49
The chart of Sortino ratio for ^SPTSX60, currently valued at 0.77, compared to the broader market-1.000.001.002.003.000.772.01
The chart of Omega ratio for ^SPTSX60, currently valued at 1.10, compared to the broader market0.800.901.001.101.201.301.401.101.27
The chart of Calmar ratio for ^SPTSX60, currently valued at 0.46, compared to the broader market0.001.002.003.004.000.461.95
The chart of Martin ratio for ^SPTSX60, currently valued at 3.10, compared to the broader market0.005.0010.0015.003.107.04
^SPTSX60
QQQ

The current ^SPTSX60 Sharpe Ratio is 1.63, which is comparable to the QQQ Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of ^SPTSX60 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.51
1.49
^SPTSX60
QQQ

Drawdowns

^SPTSX60 vs. QQQ - Drawdown Comparison

The maximum ^SPTSX60 drawdown since its inception was -49.15%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^SPTSX60 and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.42%
-3.77%
^SPTSX60
QQQ

Volatility

^SPTSX60 vs. QQQ - Volatility Comparison

The current volatility for S&P/TSX 60 Index (^SPTSX60) is 3.88%, while Invesco QQQ (QQQ) has a volatility of 5.27%. This indicates that ^SPTSX60 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
3.88%
5.27%
^SPTSX60
QQQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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