IUMF.L vs. QQQ
Compare and contrast key facts about IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) and Invesco QQQ (QQQ).
IUMF.L and QQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IUMF.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Oct 13, 2016. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999. Both IUMF.L and QQQ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IUMF.L or QQQ.
Performance
IUMF.L vs. QQQ - Performance Comparison
Returns By Period
In the year-to-date period, IUMF.L achieves a 33.71% return, which is significantly higher than QQQ's 22.63% return.
IUMF.L
33.71%
2.40%
9.87%
37.43%
12.63%
N/A
QQQ
22.63%
1.12%
10.25%
30.41%
20.71%
18.02%
Key characteristics
| IUMF.L | QQQ | |
|---|---|---|
| Sharpe Ratio | 2.10 | 1.75 |
| Sortino Ratio | 2.82 | 2.34 |
| Omega Ratio | 1.39 | 1.32 |
| Calmar Ratio | 2.51 | 2.25 |
| Martin Ratio | 10.30 | 8.17 |
| Ulcer Index | 3.64% | 3.73% |
| Daily Std Dev | 17.82% | 17.44% |
| Max Drawdown | -25.23% | -82.98% |
| Current Drawdown | -1.28% | -2.75% |
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IUMF.L vs. QQQ - Expense Ratio Comparison
Both IUMF.L and QQQ have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between IUMF.L and QQQ is 0.50, 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
IUMF.L vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) 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.
Dividends
IUMF.L vs. QQQ - Dividend Comparison
IUMF.L has not paid dividends to shareholders, while QQQ's dividend yield for the trailing twelve months is around 0.61%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IUMF.L IShares Edge MSCI USA Momentum Factor ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QQQ Invesco QQQ | 0.61% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
IUMF.L vs. QQQ - Drawdown Comparison
The maximum IUMF.L drawdown since its inception was -25.23%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IUMF.L and QQQ. For additional features, visit the drawdowns tool.
Volatility
IUMF.L vs. QQQ - Volatility Comparison
The current volatility for IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) is 3.52%, while Invesco QQQ (QQQ) has a volatility of 5.62%. This indicates that IUMF.L 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.