FDS vs. QQQ
Compare and contrast key facts about FactSet Research Systems Inc. (FDS) and Invesco QQQ (QQQ).
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: FDS or QQQ.
Key characteristics
| FDS | QQQ | |
|---|---|---|
| YTD Return | 0.81% | 26.09% |
| 1Y Return | 7.44% | 39.88% |
| 3Y Return (Ann) | 3.23% | 9.90% |
| 5Y Return (Ann) | 15.20% | 21.46% |
| 10Y Return (Ann) | 14.59% | 18.52% |
| Sharpe Ratio | 0.39 | 2.22 |
| Sortino Ratio | 0.64 | 2.92 |
| Omega Ratio | 1.09 | 1.40 |
| Calmar Ratio | 0.43 | 2.86 |
| Martin Ratio | 0.83 | 10.44 |
| Ulcer Index | 9.80% | 3.72% |
| Daily Std Dev | 20.94% | 17.47% |
| Max Drawdown | -58.96% | -82.98% |
| Current Drawdown | -1.64% | 0.00% |
Correlation
The correlation between FDS and QQQ is 0.51, 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.
Performance
FDS vs. QQQ - Performance Comparison
In the year-to-date period, FDS achieves a 0.81% return, which is significantly lower than QQQ's 26.09% return. Over the past 10 years, FDS has underperformed QQQ with an annualized return of 14.59%, while QQQ has yielded a comparatively higher 18.52% 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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Risk-Adjusted Performance
FDS vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FactSet Research Systems Inc. (FDS) 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
FDS vs. QQQ - Dividend Comparison
FDS's dividend yield for the trailing twelve months is around 0.85%, more than QQQ's 0.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDS FactSet Research Systems Inc. | 0.85% | 0.80% | 0.87% | 0.66% | 0.91% | 1.04% | 1.24% | 1.13% | 1.19% | 1.05% | 1.08% | 1.25% |
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
FDS vs. QQQ - Drawdown Comparison
The maximum FDS drawdown since its inception was -58.96%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for FDS and QQQ. For additional features, visit the drawdowns tool.
Volatility
FDS vs. QQQ - Volatility Comparison
The current volatility for FactSet Research Systems Inc. (FDS) is 4.49%, while Invesco QQQ (QQQ) has a volatility of 5.17%. This indicates that FDS 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.