CSAIX vs. QQQ
Compare and contrast key facts about Credit Suisse Managed Futures Strategy Fund (CSAIX) and Invesco QQQ (QQQ).
CSAIX is managed by Credit Suisse (New York, NY). It was launched on Sep 27, 2012. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CSAIX or QQQ.
Key characteristics
| CSAIX | QQQ | |
|---|---|---|
| YTD Return | -6.14% | 25.63% |
| 1Y Return | -4.10% | 33.85% |
| 3Y Return (Ann) | -3.29% | 9.83% |
| 5Y Return (Ann) | 0.57% | 21.21% |
| 10Y Return (Ann) | -0.50% | 18.37% |
| Sharpe Ratio | -0.62 | 2.12 |
| Sortino Ratio | -0.76 | 2.79 |
| Omega Ratio | 0.91 | 1.38 |
| Calmar Ratio | -0.20 | 2.71 |
| Martin Ratio | -1.11 | 9.88 |
| Ulcer Index | 5.08% | 3.72% |
| Daily Std Dev | 9.18% | 17.31% |
| Max Drawdown | -28.97% | -82.98% |
| Current Drawdown | -28.40% | -0.37% |
Correlation
The correlation between CSAIX and QQQ is 0.02, 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.
Performance
CSAIX vs. QQQ - Performance Comparison
In the year-to-date period, CSAIX achieves a -6.14% return, which is significantly lower than QQQ's 25.63% return. Over the past 10 years, CSAIX has underperformed QQQ with an annualized return of -0.50%, while QQQ has yielded a comparatively higher 18.37% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CSAIX vs. QQQ - Expense Ratio Comparison
CSAIX has a 1.30% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Risk-Adjusted Performance
CSAIX vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Credit Suisse Managed Futures Strategy Fund (CSAIX) 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.
Dividends
CSAIX vs. QQQ - Dividend Comparison
CSAIX's dividend yield for the trailing twelve months is around 0.55%, less than QQQ's 0.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CSAIX Credit Suisse Managed Futures Strategy Fund | 0.55% | 0.52% | 4.51% | 8.84% | 0.00% | 1.75% | 0.00% | 0.00% | 0.00% | 4.83% | 0.34% | 0.00% |
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% | 1.02% |
Drawdowns
CSAIX vs. QQQ - Drawdown Comparison
The maximum CSAIX drawdown since its inception was -28.97%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for CSAIX and QQQ. For additional features, visit the drawdowns tool.
Volatility
CSAIX vs. QQQ - Volatility Comparison
The current volatility for Credit Suisse Managed Futures Strategy Fund (CSAIX) is 2.50%, while Invesco QQQ (QQQ) has a volatility of 4.91%. This indicates that CSAIX 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.