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

Performance

ESGV vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard ESG U.S. Stock ETF (ESGV) 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%JuneJulyAugustSeptemberOctoberNovember
14.04%
11.65%
ESGV
QQQ

Returns By Period

In the year-to-date period, ESGV achieves a 25.21% return, which is significantly higher than QQQ's 23.84% return.


ESGV

YTD

25.21%

1M

2.30%

6M

14.03%

1Y

32.83%

5Y (annualized)

15.60%

10Y (annualized)

N/A

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


ESGVQQQ
Sharpe Ratio2.481.78
Sortino Ratio3.292.37
Omega Ratio1.451.32
Calmar Ratio3.592.28
Martin Ratio15.058.27
Ulcer Index2.22%3.73%
Daily Std Dev13.47%17.37%
Max Drawdown-33.66%-82.98%
Current Drawdown-1.07%-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.


ESGV vs. QQQ - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQQ
Invesco QQQ
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%
Expense ratio chart for ESGV: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.9

The correlation between ESGV and QQQ is 0.94, 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

ESGV vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) 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 ESGV, currently valued at 2.48, compared to the broader market0.002.004.002.481.78
The chart of Sortino ratio for ESGV, currently valued at 3.29, compared to the broader market-2.000.002.004.006.008.0010.003.292.37
The chart of Omega ratio for ESGV, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.32
The chart of Calmar ratio for ESGV, currently valued at 3.59, compared to the broader market0.005.0010.0015.003.592.28
The chart of Martin ratio for ESGV, currently valued at 15.05, compared to the broader market0.0020.0040.0060.0080.00100.0015.058.27
ESGV
QQQ

The current ESGV Sharpe Ratio is 2.48, which is higher than the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of ESGV 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
2.48
1.78
ESGV
QQQ

Dividends

ESGV vs. QQQ - Dividend Comparison

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


TTM20232022202120202019201820172016201520142013
ESGV
Vanguard ESG U.S. Stock ETF
1.07%1.16%1.42%0.95%1.11%1.27%0.28%0.00%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

ESGV vs. QQQ - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ESGV and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.07%
-1.78%
ESGV
QQQ

Volatility

ESGV vs. QQQ - Volatility Comparison

The current volatility for Vanguard ESG U.S. Stock ETF (ESGV) is 4.42%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that ESGV 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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.42%
5.41%
ESGV
QQQ