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

Performance

IDHQ vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P International Developed High Quality ETF (IDHQ) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-4.57%
10.78%
IDHQ
QQQ

Returns By Period

In the year-to-date period, IDHQ achieves a 3.18% return, which is significantly lower than QQQ's 24.04% return. Over the past 10 years, IDHQ has underperformed QQQ with an annualized return of 6.60%, while QQQ has yielded a comparatively higher 18.03% annualized return.


IDHQ

YTD

3.18%

1M

-4.86%

6M

-4.57%

1Y

8.23%

5Y (annualized)

5.66%

10Y (annualized)

6.60%

QQQ

YTD

24.04%

1M

3.57%

6M

10.78%

1Y

30.56%

5Y (annualized)

20.99%

10Y (annualized)

18.03%

Key characteristics


IDHQQQQ
Sharpe Ratio0.601.76
Sortino Ratio0.942.35
Omega Ratio1.111.32
Calmar Ratio0.722.25
Martin Ratio2.588.18
Ulcer Index3.19%3.74%
Daily Std Dev13.64%17.36%
Max Drawdown-73.84%-82.98%
Current Drawdown-9.80%-1.62%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for IDHQ, currently valued at 0.60, compared to the broader market0.002.004.000.601.76
The chart of Sortino ratio for IDHQ, currently valued at 0.94, compared to the broader market-2.000.002.004.006.008.0010.0012.000.942.35
The chart of Omega ratio for IDHQ, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.32
The chart of Calmar ratio for IDHQ, currently valued at 0.72, compared to the broader market0.005.0010.0015.0020.000.722.25
The chart of Martin ratio for IDHQ, currently valued at 2.58, compared to the broader market0.0020.0040.0060.0080.00100.002.588.18
IDHQ
QQQ

The current IDHQ Sharpe Ratio is 0.60, which is lower than the QQQ Sharpe Ratio of 1.76. 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.60
1.76
IDHQ
QQQ

Dividends

IDHQ vs. QQQ - Dividend Comparison

IDHQ's dividend yield for the trailing twelve months is around 2.16%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
IDHQ
Invesco S&P International Developed High Quality ETF
2.16%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
0.60%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
-9.80%
-1.62%
IDHQ
QQQ

Volatility

IDHQ vs. QQQ - Volatility Comparison

The current volatility for Invesco S&P International Developed High Quality ETF (IDHQ) is 4.66%, while Invesco QQQ (QQQ) has a volatility of 5.36%. This indicates that IDHQ 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.66%
5.36%
IDHQ
QQQ