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BX vs. QQQ
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Risk-Adjusted Performance
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Volatility

Performance

BX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Blackstone Group Inc. (BX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
59.32%
11.65%
BX
QQQ

Returns By Period

In the year-to-date period, BX achieves a 51.98% return, which is significantly higher than QQQ's 23.84% return. Over the past 10 years, BX has outperformed QQQ with an annualized return of 25.81%, while QQQ has yielded a comparatively lower 18.03% annualized return.


BX

YTD

51.98%

1M

15.73%

6M

59.32%

1Y

86.34%

5Y (annualized)

35.26%

10Y (annualized)

25.81%

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


BXQQQ
Sharpe Ratio3.001.78
Sortino Ratio3.722.37
Omega Ratio1.461.32
Calmar Ratio3.952.28
Martin Ratio16.428.27
Ulcer Index5.37%3.73%
Daily Std Dev29.42%17.37%
Max Drawdown-87.65%-82.98%
Current Drawdown0.00%-1.78%

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Correlation

-0.50.00.51.00.6

The correlation between BX and QQQ is 0.55, 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.

Risk-Adjusted Performance

BX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Blackstone Group Inc. (BX) 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 BX, currently valued at 3.00, compared to the broader market-4.00-2.000.002.004.003.001.78
The chart of Sortino ratio for BX, currently valued at 3.72, compared to the broader market-4.00-2.000.002.004.003.722.37
The chart of Omega ratio for BX, currently valued at 1.46, compared to the broader market0.501.001.502.001.461.32
The chart of Calmar ratio for BX, currently valued at 3.95, compared to the broader market0.002.004.006.003.952.28
The chart of Martin ratio for BX, currently valued at 16.42, compared to the broader market0.0010.0020.0030.0016.428.27
BX
QQQ

The current BX Sharpe Ratio is 3.00, which is higher than the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of BX 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
3.00
1.78
BX
QQQ

Dividends

BX vs. QQQ - Dividend Comparison

BX's dividend yield for the trailing twelve months is around 1.78%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
BX
The Blackstone Group Inc.
1.78%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.68%3.75%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

BX vs. QQQ - Drawdown Comparison

The maximum BX drawdown since its inception was -87.65%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for BX and QQQ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.78%
BX
QQQ

Volatility

BX vs. QQQ - Volatility Comparison

The Blackstone Group Inc. (BX) has a higher volatility of 7.79% compared to Invesco QQQ (QQQ) at 5.41%. This indicates that BX'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%JuneJulyAugustSeptemberOctoberNovember
7.79%
5.41%
BX
QQQ