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

Correlation

The correlation between IFF and QQQ is 0.45, 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.


-0.50.00.51.00.4

Performance

IFF vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in International Flavors & Fragrances Inc. (IFF) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-10.49%
10.89%
IFF
QQQ

Key characteristics

Sharpe Ratio

IFF:

0.33

QQQ:

1.71

Sortino Ratio

IFF:

0.60

QQQ:

2.27

Omega Ratio

IFF:

1.09

QQQ:

1.31

Calmar Ratio

IFF:

0.17

QQQ:

2.26

Martin Ratio

IFF:

1.26

QQQ:

8.12

Ulcer Index

IFF:

6.67%

QQQ:

3.77%

Daily Std Dev

IFF:

25.78%

QQQ:

17.88%

Max Drawdown

IFF:

-67.63%

QQQ:

-82.98%

Current Drawdown

IFF:

-40.01%

QQQ:

-1.37%

Returns By Period

In the year-to-date period, IFF achieves a 6.97% return, which is significantly lower than QQQ's 30.18% return. Over the past 10 years, IFF has underperformed QQQ with an annualized return of 0.43%, while QQQ has yielded a comparatively higher 18.54% annualized return.


IFF

YTD

6.97%

1M

-5.84%

6M

-10.49%

1Y

8.40%

5Y*

-5.02%

10Y*

0.43%

QQQ

YTD

30.18%

1M

4.95%

6M

10.88%

1Y

30.61%

5Y*

20.73%

10Y*

18.54%

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Risk-Adjusted Performance

IFF vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for International Flavors & Fragrances Inc. (IFF) 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 IFF, currently valued at 0.33, compared to the broader market-4.00-2.000.002.000.331.71
The chart of Sortino ratio for IFF, currently valued at 0.60, compared to the broader market-4.00-2.000.002.004.000.602.27
The chart of Omega ratio for IFF, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.31
The chart of Calmar ratio for IFF, currently valued at 0.17, compared to the broader market0.002.004.006.000.172.26
The chart of Martin ratio for IFF, currently valued at 1.26, compared to the broader market0.0010.0020.001.268.12
IFF
QQQ

The current IFF Sharpe Ratio is 0.33, which is lower than the QQQ Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of IFF 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.33
1.71
IFF
QQQ

Dividends

IFF vs. QQQ - Dividend Comparison

IFF's dividend yield for the trailing twelve months is around 2.83%, more than QQQ's 0.58% yield.


TTM20232022202120202019201820172016201520142013
IFF
International Flavors & Fragrances Inc.
2.83%4.00%3.05%2.07%2.79%2.29%2.12%1.74%2.04%1.72%1.70%1.70%
QQQ
Invesco QQQ
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

IFF vs. QQQ - Drawdown Comparison

The maximum IFF drawdown since its inception was -67.63%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IFF and QQQ. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.01%
-1.37%
IFF
QQQ

Volatility

IFF vs. QQQ - Volatility Comparison

The current volatility for International Flavors & Fragrances Inc. (IFF) is 2.88%, while Invesco QQQ (QQQ) has a volatility of 5.48%. This indicates that IFF 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
2.88%
5.48%
IFF
QQQ
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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.

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