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IDHQ vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IDHQQQQ
YTD Return5.92%26.02%
1Y Return15.89%36.73%
3Y Return (Ann)0.19%9.97%
5Y Return (Ann)6.33%21.44%
10Y Return (Ann)7.02%18.42%
Sharpe Ratio1.202.28
Sortino Ratio1.772.98
Omega Ratio1.211.41
Calmar Ratio1.112.94
Martin Ratio6.3710.71
Ulcer Index2.58%3.72%
Daily Std Dev13.68%17.35%
Max Drawdown-73.84%-82.98%
Current Drawdown-7.41%-0.06%

Correlation

-0.50.00.51.00.6

The correlation between IDHQ and QQQ is 0.61, 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

IDHQ vs. QQQ - Performance Comparison

In the year-to-date period, IDHQ achieves a 5.92% return, which is significantly lower than QQQ's 26.02% return. Over the past 10 years, IDHQ has underperformed QQQ with an annualized return of 7.02%, while QQQ has yielded a comparatively higher 18.42% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.04%
15.57%
IDHQ
QQQ

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IDHQ vs. QQQ - Expense Ratio Comparison

IDHQ has a 0.29% expense ratio, which is higher than QQQ's 0.20% expense ratio.


IDHQ
Invesco S&P International Developed High Quality ETF
Expense ratio chart for IDHQ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
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

IDHQ vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed High Quality ETF (IDHQ) 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.


IDHQ
Sharpe ratio
The chart of Sharpe ratio for IDHQ, currently valued at 1.20, compared to the broader market-2.000.002.004.006.001.20
Sortino ratio
The chart of Sortino ratio for IDHQ, currently valued at 1.77, compared to the broader market0.005.0010.001.77
Omega ratio
The chart of Omega ratio for IDHQ, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for IDHQ, currently valued at 1.11, compared to the broader market0.005.0010.0015.001.11
Martin ratio
The chart of Martin ratio for IDHQ, currently valued at 6.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.37
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.94, compared to the broader market0.005.0010.0015.002.94
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 10.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.71

IDHQ vs. QQQ - Sharpe Ratio Comparison

The current IDHQ Sharpe Ratio is 1.20, which is lower than the QQQ Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of IDHQ 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.20
2.28
IDHQ
QQQ

Dividends

IDHQ vs. QQQ - Dividend Comparison

IDHQ's dividend yield for the trailing twelve months is around 2.11%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
IDHQ
Invesco S&P International Developed High Quality ETF
2.11%2.52%3.32%2.10%1.60%2.10%2.67%1.68%2.36%1.71%1.75%1.70%
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

IDHQ vs. QQQ - Drawdown Comparison

The maximum IDHQ drawdown since its inception was -73.84%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IDHQ 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
-7.41%
-0.06%
IDHQ
QQQ

Volatility

IDHQ vs. QQQ - Volatility Comparison

Invesco S&P International Developed High Quality ETF (IDHQ) and Invesco QQQ (QQQ) have volatilities of 4.93% and 5.18%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
5.18%
IDHQ
QQQ