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

Correlation

The correlation between IAI and QQQ is 0.67, 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.


-0.50.00.51.00.7

Performance

IAI vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

200.00%400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%JulyAugustSeptemberOctoberNovemberDecember
274.70%
1,324.53%
IAI
QQQ

Key characteristics

Sharpe Ratio

IAI:

2.30

QQQ:

1.64

Sortino Ratio

IAI:

3.24

QQQ:

2.19

Omega Ratio

IAI:

1.43

QQQ:

1.30

Calmar Ratio

IAI:

5.24

QQQ:

2.16

Martin Ratio

IAI:

16.98

QQQ:

7.79

Ulcer Index

IAI:

2.28%

QQQ:

3.76%

Daily Std Dev

IAI:

16.80%

QQQ:

17.85%

Max Drawdown

IAI:

-75.33%

QQQ:

-82.98%

Current Drawdown

IAI:

-5.93%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, IAI achieves a 34.33% return, which is significantly higher than QQQ's 27.20% return. Over the past 10 years, IAI has underperformed QQQ with an annualized return of 14.78%, while QQQ has yielded a comparatively higher 18.36% annualized return.


IAI

YTD

34.33%

1M

-3.45%

6M

24.72%

1Y

36.94%

5Y*

18.12%

10Y*

14.78%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

Compare stocks, funds, or ETFs

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


IAI vs. QQQ - Expense Ratio Comparison

IAI has a 0.41% expense ratio, which is higher than QQQ's 0.20% expense ratio.


IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
Expense ratio chart for IAI: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
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%

Risk-Adjusted Performance

IAI vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) 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 IAI, currently valued at 2.30, compared to the broader market0.002.004.002.301.64
The chart of Sortino ratio for IAI, currently valued at 3.24, compared to the broader market-2.000.002.004.006.008.0010.003.242.19
The chart of Omega ratio for IAI, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.30
The chart of Calmar ratio for IAI, currently valued at 5.24, compared to the broader market0.005.0010.0015.005.242.16
The chart of Martin ratio for IAI, currently valued at 16.98, compared to the broader market0.0020.0040.0060.0080.00100.0016.987.79
IAI
QQQ

The current IAI Sharpe Ratio is 2.30, which is higher than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of IAI 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 Ratio1.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.30
1.64
IAI
QQQ

Dividends

IAI vs. QQQ - Dividend Comparison

IAI's dividend yield for the trailing twelve months is around 1.05%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
1.05%1.80%2.14%1.31%1.55%1.52%1.58%1.37%1.48%1.31%1.13%1.13%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

IAI vs. QQQ - Drawdown Comparison

The maximum IAI drawdown since its inception was -75.33%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IAI 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%JulyAugustSeptemberOctoberNovemberDecember
-5.93%
-3.63%
IAI
QQQ

Volatility

IAI vs. QQQ - Volatility Comparison

iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) and Invesco QQQ (QQQ) have volatilities of 5.51% and 5.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.51%
5.29%
IAI
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab