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DEI vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DEI and QQQ is 0.46, 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.


-0.50.00.51.00.5

Performance

DEI vs. QQQ - Performance Comparison

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

0.00%500.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
38.78%
1,313.70%
DEI
QQQ

Key characteristics

Sharpe Ratio

DEI:

0.74

QQQ:

1.64

Sortino Ratio

DEI:

1.19

QQQ:

2.19

Omega Ratio

DEI:

1.14

QQQ:

1.30

Calmar Ratio

DEI:

0.38

QQQ:

2.16

Martin Ratio

DEI:

3.49

QQQ:

7.79

Ulcer Index

DEI:

7.33%

QQQ:

3.76%

Daily Std Dev

DEI:

34.60%

QQQ:

17.85%

Max Drawdown

DEI:

-76.53%

QQQ:

-82.98%

Current Drawdown

DEI:

-50.26%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, DEI achieves a 29.76% return, which is significantly higher than QQQ's 27.20% return. Over the past 10 years, DEI has underperformed QQQ with an annualized return of -1.07%, while QQQ has yielded a comparatively higher 18.36% annualized return.


DEI

YTD

29.76%

1M

-3.57%

6M

38.49%

1Y

26.21%

5Y*

-12.15%

10Y*

-1.07%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

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Risk-Adjusted Performance

DEI vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Douglas Emmett, Inc. (DEI) 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 DEI, currently valued at 0.74, compared to the broader market-4.00-2.000.002.000.741.64
The chart of Sortino ratio for DEI, currently valued at 1.19, compared to the broader market-4.00-2.000.002.004.001.192.19
The chart of Omega ratio for DEI, currently valued at 1.14, compared to the broader market0.501.001.502.001.141.30
The chart of Calmar ratio for DEI, currently valued at 0.38, compared to the broader market0.002.004.006.000.382.16
The chart of Martin ratio for DEI, currently valued at 3.49, compared to the broader market-5.000.005.0010.0015.0020.0025.003.497.79
DEI
QQQ

The current DEI Sharpe Ratio is 0.74, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of DEI 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.74
1.64
DEI
QQQ

Dividends

DEI vs. QQQ - Dividend Comparison

DEI's dividend yield for the trailing twelve months is around 4.20%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
DEI
Douglas Emmett, Inc.
4.20%5.24%6.57%3.34%3.84%2.41%2.96%2.29%2.43%2.73%2.85%3.18%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

DEI vs. QQQ - Drawdown Comparison

The maximum DEI drawdown since its inception was -76.53%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for DEI and QQQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-50.26%
-3.63%
DEI
QQQ

Volatility

DEI vs. QQQ - Volatility Comparison

Douglas Emmett, Inc. (DEI) has a higher volatility of 11.20% compared to Invesco QQQ (QQQ) at 5.29%. This indicates that DEI'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.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
11.20%
5.29%
DEI
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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