FDS vs. QQQ

Last updated Jul 9, 2026

FDS (FactSet Research Systems Inc.) is a stock, while QQQ (Invesco QQQ ETF) is Nasdaq-100 fund tracking the NASDAQ-100 Index. Over the past 10 years, FDS returned 5.54%/yr vs 21.35%/yr for QQQ. At a 0.48 correlation, their price movements are largely independent.

Performance

FDS vs. QQQ - Performance Comparison

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

Returns By Period

In the year-to-date period, FDS achieves a -13.74% return, which is significantly lower than QQQ's 16.08% return. Over the past 10 years, FDS has underperformed QQQ with an annualized return of 5.54%, while QQQ has yielded a comparatively higher 21.35% annualized return.

FDS

• 1D: -4.06%
• 1M: 0.58%
• 6M: -14.55%
• YTD: -13.74%
• 1Y: -43.31%
• 3Y*: -12.83%
• 5Y*: -5.32%
• 10Y*: 5.54%

QQQ

• 1D: 0.28%
• 1M: -0.54%
• 6M: 14.28%
• YTD: 16.08%
• 1Y: 29.43%
• 3Y*: 25.50%
• 5Y*: 15.22%
• 10Y*: 21.35%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FDS vs. QQQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FDS FactSet Research Systems Inc.	-13.74%	-38.88%	1.62%	19.99%	-16.75%	47.49%	25.13%	35.51%	5.02%	19.44%
QQQ Invesco QQQ ETF	16.08%	20.77%	25.58%	54.86%	-32.58%	27.42%	48.62%	38.96%	-0.13%	32.66%

Correlation

The correlation between FDS and QQQ is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.05
Correlation (3Y) Calculated over the trailing 3-year period	0.18
Correlation (5Y) Calculated over the trailing 5-year period	0.36
Correlation (10Y) Calculated over the trailing 10-year period	0.43
Correlation (All Time) Calculated using the full available price history since Mar 10, 1999	0.48

The correlation between FDS and QQQ shifts across timeframes, from -0.05 (1 year) to 0.48 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FDS vs. QQQ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FDS

FDS Risk / Return Rank: 11
FDS Sharpe Ratio Rank: 5
FDS Sortino Ratio Rank: 7
FDS Omega Ratio Rank: 7
FDS Calmar Ratio Rank: 14
FDS Martin Ratio Rank: 19

QQQ

QQQ Risk / Return Rank: 57
QQQ Sharpe Ratio Rank: 57
QQQ Sortino Ratio Rank: 53
QQQ Omega Ratio Rank: 55
QQQ Calmar Ratio Rank: 59
QQQ Martin Ratio Rank: 61

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FDS vs. QQQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FactSet Research Systems Inc. (FDS) and Invesco QQQ ETF (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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FDS	QQQ	Difference
Sharpe ratio: Return per unit of total volatility	-0.99	1.61	-2.59
Sortino ratio: Return per unit of downside risk	-1.42	2.17	-3.59
Omega ratio: Gain probability vs. loss probability	0.82	1.28	-0.46
Calmar ratio: Return relative to maximum drawdown	-0.76	2.47	-3.23
Martin ratio: Return relative to average drawdown	-1.08	8.91	-9.99

FDS vs. QQQ - Sharpe Ratio Comparison

The current FDS Sharpe Ratio is -0.99, which is lower than the QQQ Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of FDS and QQQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FDS vs. QQQ - Drawdown Comparison

The maximum FDS drawdown since its inception was -61.13%, smaller than the maximum QQQ drawdown of -82.97%. Use the drawdown chart below to compare losses from any high point for FDS and QQQ.

Drawdown Indicators

	FDS	QQQ	Difference
Max Drawdown Largest peak-to-trough decline	-61.13%	-82.97%	+21.84%
Max Drawdown (1Y) Largest decline over 1 year	-57.47%	-11.96%	-45.51%
Max Drawdown (3Y) Largest decline over 3 years	-61.13%	-22.77%	-38.36%
Max Drawdown (5Y) Largest decline over 5 years	-61.13%	-35.12%	-26.01%
Max Drawdown (10Y) Largest decline over 10 years	-61.13%	-35.12%	-26.01%
Current Drawdown Current decline from peak	-48.81%	-4.55%	-44.26%
Average Drawdown Average peak-to-trough decline	-13.33%	-32.68%	+19.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	40.25%	3.31%	+36.94%

Volatility

FDS vs. QQQ - Volatility Comparison

FactSet Research Systems Inc. (FDS) has a higher volatility of 16.86% compared to Invesco QQQ ETF (QQQ) at 8.78%. This indicates that FDS'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.

Volatility by Period

	FDS	QQQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	16.86%	8.78%	+8.08%
Volatility (6M) Calculated over the trailing 6-month period	37.43%	15.22%	+22.21%
Volatility (1Y) Calculated over the trailing 1-year period	43.94%	18.41%	+25.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.63%	22.77%	+5.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.03%	22.43%	+5.60%

Dividends

FDS vs. QQQ - Dividend Comparison

FDS's dividend yield for the trailing twelve months is around 1.80%, more than QQQ's 0.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDS FactSet Research Systems Inc.	1.80%	1.50%	0.85%	0.80%	0.87%	0.66%	0.91%	1.04%	1.24%	1.13%	1.19%	1.05%
QQQ Invesco QQQ ETF	0.43%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%

Frequently Asked Questions

Can I hold both FDS and QQQ in my portfolio?

FDS and QQQ have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDS or QQQ?

FDS has higher volatility (16.86%) compared to QQQ (8.78%). In terms of maximum drawdown, FDS dropped -61.13% vs QQQ's -82.97%.

Which has better risk-adjusted returns?

QQQ currently has the higher Sharpe Ratio (1.61 vs -0.99), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.