DURPX vs. QQQ
Compare and contrast key facts about DFA US High Relative Profitability Portfolio (DURPX) and Invesco QQQ (QQQ).
DURPX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017. 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: DURPX or QQQ.
Performance
DURPX vs. QQQ - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with DURPX having a 24.18% return and QQQ slightly lower at 23.84%.
DURPX
24.18%
1.44%
13.56%
31.30%
15.60%
N/A
QQQ
23.84%
1.82%
11.65%
30.35%
20.97%
18.03%
Key characteristics
| DURPX | QQQ | |
|---|---|---|
| Sharpe Ratio | 2.76 | 1.78 |
| Sortino Ratio | 3.86 | 2.37 |
| Omega Ratio | 1.51 | 1.32 |
| Calmar Ratio | 4.22 | 2.28 |
| Martin Ratio | 16.56 | 8.27 |
| Ulcer Index | 1.92% | 3.73% |
| Daily Std Dev | 11.53% | 17.37% |
| Max Drawdown | -31.02% | -82.98% |
| Current Drawdown | -0.67% | -1.78% |
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DURPX vs. QQQ - Expense Ratio Comparison
DURPX has a 0.23% expense ratio, which is higher than QQQ's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between DURPX and QQQ is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
DURPX vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US High Relative Profitability Portfolio (DURPX) 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
DURPX vs. QQQ - Dividend Comparison
DURPX's dividend yield for the trailing twelve months is around 1.19%, more than QQQ's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DURPX DFA US High Relative Profitability Portfolio | 1.19% | 1.49% | 1.63% | 1.19% | 1.35% | 1.36% | 1.70% | 0.77% | 0.00% | 0.00% | 0.00% | 0.00% |
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
DURPX vs. QQQ - Drawdown Comparison
The maximum DURPX drawdown since its inception was -31.02%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for DURPX and QQQ. For additional features, visit the drawdowns tool.
Volatility
DURPX vs. QQQ - Volatility Comparison
The current volatility for DFA US High Relative Profitability Portfolio (DURPX) is 3.67%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that DURPX 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.