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

Performance

EIS vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Israel ETF (EIS) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.33%
11.65%
EIS
QQQ

Returns By Period

In the year-to-date period, EIS achieves a 25.86% return, which is significantly higher than QQQ's 23.84% return. Over the past 10 years, EIS has underperformed QQQ with an annualized return of 5.87%, while QQQ has yielded a comparatively higher 18.03% annualized return.


EIS

YTD

25.86%

1M

6.92%

6M

19.32%

1Y

35.89%

5Y (annualized)

6.19%

10Y (annualized)

5.87%

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


EISQQQ
Sharpe Ratio2.061.78
Sortino Ratio2.712.37
Omega Ratio1.361.32
Calmar Ratio1.282.28
Martin Ratio9.928.27
Ulcer Index3.83%3.73%
Daily Std Dev18.43%17.37%
Max Drawdown-51.94%-82.98%
Current Drawdown-4.39%-1.78%

Compare stocks, funds, or ETFs

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


EIS vs. QQQ - Expense Ratio Comparison

EIS has a 0.59% expense ratio, which is higher than QQQ's 0.20% expense ratio.


EIS
iShares MSCI Israel ETF
Expense ratio chart for EIS: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.7

The correlation between EIS and QQQ is 0.66, 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

EIS vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Israel ETF (EIS) 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 EIS, currently valued at 2.06, compared to the broader market0.002.004.002.061.78
The chart of Sortino ratio for EIS, currently valued at 2.71, compared to the broader market-2.000.002.004.006.008.0010.0012.002.712.37
The chart of Omega ratio for EIS, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.32
The chart of Calmar ratio for EIS, currently valued at 1.28, compared to the broader market0.005.0010.0015.001.282.28
The chart of Martin ratio for EIS, currently valued at 9.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.928.27
EIS
QQQ

The current EIS Sharpe Ratio is 2.06, which is comparable to the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of EIS 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.06
1.78
EIS
QQQ

Dividends

EIS vs. QQQ - Dividend Comparison

EIS's dividend yield for the trailing twelve months is around 1.07%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
EIS
iShares MSCI Israel ETF
1.07%1.39%1.66%1.04%0.17%2.06%0.87%2.02%1.78%2.55%1.86%2.20%
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

EIS vs. QQQ - Drawdown Comparison

The maximum EIS drawdown since its inception was -51.94%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for EIS and QQQ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.39%
-1.78%
EIS
QQQ

Volatility

EIS vs. QQQ - Volatility Comparison

The current volatility for iShares MSCI Israel ETF (EIS) is 4.37%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that EIS 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.37%
5.41%
EIS
QQQ