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

Key characteristics


KBWRQQQ
YTD Return7.95%19.19%
1Y Return30.64%33.08%
3Y Return (Ann)-1.69%7.58%
5Y Return (Ann)5.03%20.31%
10Y Return (Ann)6.49%17.95%
Sharpe Ratio1.212.01
Sortino Ratio1.892.66
Omega Ratio1.221.36
Calmar Ratio0.992.56
Martin Ratio4.029.32
Ulcer Index8.64%3.72%
Daily Std Dev28.58%17.23%
Max Drawdown-52.86%-82.98%
Current Drawdown-10.59%-3.23%

Correlation

-0.50.00.51.00.4

The correlation between KBWR and QQQ is 0.41, 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

KBWR vs. QQQ - Performance Comparison

In the year-to-date period, KBWR achieves a 7.95% return, which is significantly lower than QQQ's 19.19% return. Over the past 10 years, KBWR has underperformed QQQ with an annualized return of 6.49%, while QQQ has yielded a comparatively higher 17.95% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.09%
10.71%
KBWR
QQQ

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KBWR vs. QQQ - Expense Ratio Comparison

KBWR has a 0.35% expense ratio, which is higher than QQQ's 0.20% expense ratio.


KBWR
Invesco KBW Regional Banking ETF
Expense ratio chart for KBWR: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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

KBWR vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco KBW Regional Banking ETF (KBWR) 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.


KBWR
Sharpe ratio
The chart of Sharpe ratio for KBWR, currently valued at 1.21, compared to the broader market0.002.004.001.21
Sortino ratio
The chart of Sortino ratio for KBWR, currently valued at 1.89, compared to the broader market0.005.0010.001.89
Omega ratio
The chart of Omega ratio for KBWR, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for KBWR, currently valued at 0.99, compared to the broader market0.005.0010.0015.0020.000.99
Martin ratio
The chart of Martin ratio for KBWR, currently valued at 4.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.02
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.01, compared to the broader market0.002.004.002.01
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.66, compared to the broader market0.005.0010.002.66
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.56, compared to the broader market0.005.0010.0015.0020.002.56
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.32

KBWR vs. QQQ - Sharpe Ratio Comparison

The current KBWR Sharpe Ratio is 1.21, which is lower than the QQQ Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of KBWR 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.21
2.01
KBWR
QQQ

Dividends

KBWR vs. QQQ - Dividend Comparison

KBWR's dividend yield for the trailing twelve months is around 2.79%, more than QQQ's 0.62% yield.


TTM20232022202120202019201820172016201520142013
KBWR
Invesco KBW Regional Banking ETF
2.79%2.89%2.51%2.04%2.92%2.44%2.45%1.59%1.50%1.92%1.79%1.49%
QQQ
Invesco QQQ
0.62%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

KBWR vs. QQQ - Drawdown Comparison

The maximum KBWR drawdown since its inception was -52.86%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for KBWR and QQQ. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.59%
-3.23%
KBWR
QQQ

Volatility

KBWR vs. QQQ - Volatility Comparison

Invesco KBW Regional Banking ETF (KBWR) has a higher volatility of 7.76% compared to Invesco QQQ (QQQ) at 4.47%. This indicates that KBWR'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%12.00%JuneJulyAugustSeptemberOctoberNovember
7.76%
4.47%
KBWR
QQQ