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IWO vs. QQQ
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Risk-Adjusted Performance
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Volatility

Performance

IWO vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Russell 2000 Growth ETF (IWO) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.69%
10.60%
IWO
QQQ

Returns By Period

In the year-to-date period, IWO achieves a 21.43% return, which is significantly lower than QQQ's 23.84% return. Over the past 10 years, IWO has underperformed QQQ with an annualized return of 8.91%, while QQQ has yielded a comparatively higher 18.03% annualized return.


IWO

YTD

21.43%

1M

6.68%

6M

17.15%

1Y

36.94%

5Y (annualized)

9.08%

10Y (annualized)

8.91%

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


IWOQQQ
Sharpe Ratio1.771.78
Sortino Ratio2.482.37
Omega Ratio1.301.32
Calmar Ratio1.172.28
Martin Ratio9.278.27
Ulcer Index4.09%3.73%
Daily Std Dev21.41%17.37%
Max Drawdown-60.10%-82.98%
Current Drawdown-7.33%-1.78%

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IWO vs. QQQ - Expense Ratio Comparison

IWO has a 0.24% expense ratio, which is higher than QQQ's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IWO
iShares Russell 2000 Growth ETF
Expense ratio chart for IWO: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
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

-0.50.00.51.00.8

The correlation between IWO and QQQ is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

IWO vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 2000 Growth ETF (IWO) 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 IWO, currently valued at 1.77, compared to the broader market0.002.004.001.771.78
The chart of Sortino ratio for IWO, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.37
The chart of Omega ratio for IWO, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.32
The chart of Calmar ratio for IWO, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.172.28
The chart of Martin ratio for IWO, currently valued at 9.27, compared to the broader market0.0020.0040.0060.0080.00100.009.278.27
IWO
QQQ

The current IWO Sharpe Ratio is 1.77, which is comparable to the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of IWO 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
1.77
1.78
IWO
QQQ

Dividends

IWO vs. QQQ - Dividend Comparison

IWO's dividend yield for the trailing twelve months is around 0.60%, which matches QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
IWO
iShares Russell 2000 Growth ETF
0.60%0.73%0.75%0.32%0.44%0.71%0.76%0.73%0.97%0.89%0.73%0.72%
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

IWO vs. QQQ - Drawdown Comparison

The maximum IWO drawdown since its inception was -60.10%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IWO and QQQ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-1.78%
IWO
QQQ

Volatility

IWO vs. QQQ - Volatility Comparison

iShares Russell 2000 Growth ETF (IWO) has a higher volatility of 7.55% compared to Invesco QQQ (QQQ) at 5.41%. This indicates that IWO's price experiences larger fluctuations and is considered to be riskier 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%JuneJulyAugustSeptemberOctoberNovember
7.55%
5.41%
IWO
QQQ