PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AMAT vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AMATQQQ
YTD Return28.56%8.77%
1Y Return80.23%45.81%
3Y Return (Ann)18.39%12.81%
5Y Return (Ann)40.92%20.75%
10Y Return (Ann)28.04%18.73%
Sharpe Ratio2.272.80
Daily Std Dev33.76%16.07%
Max Drawdown-85.22%-82.98%
Current Drawdown-2.17%-0.35%

Correlation

0.69
-1.001.00

The correlation between AMAT and QQQ is 0.69, 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.

Performance

AMAT vs. QQQ - Performance Comparison

In the year-to-date period, AMAT achieves a 28.56% return, which is significantly higher than QQQ's 8.77% return. Over the past 10 years, AMAT has outperformed QQQ with an annualized return of 28.04%, while QQQ has yielded a comparatively lower 18.73% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


600.00%800.00%1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%OctoberNovemberDecember2024FebruaryMarch
1,752.78%
919.84%
AMAT
QQQ

Compare stocks, funds, or ETFs


Applied Materials, Inc.

Invesco QQQ

Risk-Adjusted Performance

AMAT vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Applied Materials, Inc. (AMAT) 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AMAT
Applied Materials, Inc.
2.27
QQQ
Invesco QQQ
2.80

AMAT vs. QQQ - Sharpe Ratio Comparison

The current AMAT Sharpe Ratio is 2.27, which roughly equals the QQQ Sharpe Ratio of 2.80. The chart below compares the 12-month rolling Sharpe Ratio of AMAT and QQQ.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.27
2.80
AMAT
QQQ

Dividends

AMAT vs. QQQ - Dividend Comparison

AMAT's dividend yield for the trailing twelve months is around 0.62%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
AMAT
Applied Materials, Inc.
0.62%0.75%1.05%0.60%1.01%1.36%2.14%0.78%1.24%2.14%1.61%2.21%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

AMAT vs. QQQ - Drawdown Comparison

The maximum AMAT drawdown since its inception was -85.22%, roughly equal to the maximum QQQ drawdown of -82.98%. The drawdown chart below compares losses from any high point along the way for AMAT and QQQ


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-2.17%
-0.35%
AMAT
QQQ

Volatility

AMAT vs. QQQ - Volatility Comparison

Applied Materials, Inc. (AMAT) has a higher volatility of 8.78% compared to Invesco QQQ (QQQ) at 4.40%. This indicates that AMAT'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%OctoberNovemberDecember2024FebruaryMarch
8.78%
4.40%
AMAT
QQQ