PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BCH-USD vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BCH-USD and QQQ is 0.17, 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.


-0.50.00.51.00.2

Performance

BCH-USD vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bitcoin Cash (BCH-USD) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
17.22%
8.33%
BCH-USD
QQQ

Key characteristics

Sharpe Ratio

BCH-USD:

-0.29

QQQ:

1.64

Sortino Ratio

BCH-USD:

0.09

QQQ:

2.19

Omega Ratio

BCH-USD:

1.01

QQQ:

1.30

Calmar Ratio

BCH-USD:

0.00

QQQ:

2.16

Martin Ratio

BCH-USD:

-0.83

QQQ:

7.79

Ulcer Index

BCH-USD:

26.85%

QQQ:

3.76%

Daily Std Dev

BCH-USD:

84.63%

QQQ:

17.85%

Max Drawdown

BCH-USD:

-98.03%

QQQ:

-82.98%

Current Drawdown

BCH-USD:

-88.56%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, BCH-USD achieves a 73.14% return, which is significantly higher than QQQ's 27.20% return.


BCH-USD

YTD

73.14%

1M

1.94%

6M

17.24%

1Y

92.50%

5Y*

17.95%

10Y*

N/A

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

BCH-USD vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bitcoin Cash (BCH-USD) 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 BCH-USD, currently valued at -0.29, compared to the broader market0.001.002.003.004.005.00-0.291.49
The chart of Sortino ratio for BCH-USD, currently valued at 0.09, compared to the broader market-1.000.001.002.003.004.000.091.96
The chart of Omega ratio for BCH-USD, currently valued at 1.01, compared to the broader market0.901.001.101.201.301.401.501.011.27
The chart of Calmar ratio for BCH-USD, currently valued at 0.00, compared to the broader market1.002.003.004.000.000.65
The chart of Martin ratio for BCH-USD, currently valued at -0.83, compared to the broader market0.0010.0020.0030.0040.00-0.836.61
BCH-USD
QQQ

The current BCH-USD Sharpe Ratio is -0.29, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of BCH-USD 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
-0.29
1.49
BCH-USD
QQQ

Drawdowns

BCH-USD vs. QQQ - Drawdown Comparison

The maximum BCH-USD drawdown since its inception was -98.03%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for BCH-USD and QQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-88.56%
-3.63%
BCH-USD
QQQ

Volatility

BCH-USD vs. QQQ - Volatility Comparison

Bitcoin Cash (BCH-USD) has a higher volatility of 26.64% compared to Invesco QQQ (QQQ) at 5.26%. This indicates that BCH-USD'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.


5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
26.64%
5.26%
BCH-USD
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab