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

Correlation

The correlation between ^XCMP and QQQ is 0.98, 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.


-0.50.00.51.01.0

Performance

^XCMP vs. QQQ - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
13.67%
13.48%
^XCMP
QQQ

Key characteristics

Sharpe Ratio

^XCMP:

1.41

QQQ:

1.40

Sortino Ratio

^XCMP:

1.90

QQQ:

1.90

Omega Ratio

^XCMP:

1.26

QQQ:

1.25

Calmar Ratio

^XCMP:

1.93

QQQ:

1.88

Martin Ratio

^XCMP:

6.58

QQQ:

6.51

Ulcer Index

^XCMP:

3.85%

QQQ:

3.92%

Daily Std Dev

^XCMP:

17.96%

QQQ:

18.23%

Max Drawdown

^XCMP:

-35.83%

QQQ:

-82.98%

Current Drawdown

^XCMP:

-0.95%

QQQ:

-0.42%

Returns By Period

In the year-to-date period, ^XCMP achieves a 3.45% return, which is significantly lower than QQQ's 5.09% return. Over the past 10 years, ^XCMP has underperformed QQQ with an annualized return of 15.99%, while QQQ has yielded a comparatively higher 18.32% annualized return.


^XCMP

YTD

3.45%

1M

1.10%

6M

13.67%

1Y

29.02%

5Y*

16.61%

10Y*

15.99%

QQQ

YTD

5.09%

1M

2.37%

6M

13.48%

1Y

26.98%

5Y*

19.29%

10Y*

18.32%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^XCMP vs. QQQ — Risk-Adjusted Performance Rank

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

^XCMP
The Risk-Adjusted Performance Rank of ^XCMP is 6464
Overall Rank
The Sharpe Ratio Rank of ^XCMP is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XCMP is 6060
Sortino Ratio Rank
The Omega Ratio Rank of ^XCMP is 6262
Omega Ratio Rank
The Calmar Ratio Rank of ^XCMP is 7272
Calmar Ratio Rank
The Martin Ratio Rank of ^XCMP is 6565
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 5858
Overall Rank
The Sharpe Ratio Rank of QQQ is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 5555
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 5858
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 6262
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 5959
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.

^XCMP vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) 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 ^XCMP, currently valued at 1.41, compared to the broader market-0.500.000.501.001.502.002.501.411.30
The chart of Sortino ratio for ^XCMP, currently valued at 1.90, compared to the broader market0.001.002.003.001.901.77
The chart of Omega ratio for ^XCMP, currently valued at 1.26, compared to the broader market1.001.101.201.301.401.501.261.24
The chart of Calmar ratio for ^XCMP, currently valued at 1.93, compared to the broader market0.001.002.003.001.931.71
The chart of Martin ratio for ^XCMP, currently valued at 6.58, compared to the broader market0.005.0010.0015.0020.006.585.64
^XCMP
QQQ

The current ^XCMP Sharpe Ratio is 1.41, which is comparable to the QQQ Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of ^XCMP 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 Ratio1.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
1.41
1.30
^XCMP
QQQ

Drawdowns

^XCMP vs. QQQ - Drawdown Comparison

The maximum ^XCMP drawdown since its inception was -35.83%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^XCMP and QQQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-0.95%
-0.42%
^XCMP
QQQ

Volatility

^XCMP vs. QQQ - Volatility Comparison

NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 4.97% compared to Invesco QQQ (QQQ) at 4.54%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%SeptemberOctoberNovemberDecember2025February
4.97%
4.54%
^XCMP
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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