PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PNRAX vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PNRAXQQQ
YTD Return28.62%25.63%
1Y Return36.41%33.85%
3Y Return (Ann)5.24%9.83%
5Y Return (Ann)11.07%21.21%
10Y Return (Ann)9.15%18.37%
Sharpe Ratio3.102.12
Sortino Ratio4.132.79
Omega Ratio1.581.38
Calmar Ratio2.602.71
Martin Ratio19.079.88
Ulcer Index2.04%3.72%
Daily Std Dev12.55%17.31%
Max Drawdown-61.03%-82.98%
Current Drawdown-0.48%-0.37%

Correlation

-0.50.00.51.00.9

The correlation between PNRAX and QQQ is 0.86, 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.

Performance

PNRAX vs. QQQ - Performance Comparison

In the year-to-date period, PNRAX achieves a 28.62% return, which is significantly higher than QQQ's 25.63% return. Over the past 10 years, PNRAX has underperformed QQQ with an annualized return of 9.15%, while QQQ has yielded a comparatively higher 18.37% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.71%
13.44%
PNRAX
QQQ

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PNRAX vs. QQQ - Expense Ratio Comparison

PNRAX has a 1.03% expense ratio, which is higher than QQQ's 0.20% expense ratio.


PNRAX
Putnam Research Fund
Expense ratio chart for PNRAX: current value at 1.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.03%
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

PNRAX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Research Fund (PNRAX) 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.


PNRAX
Sharpe ratio
The chart of Sharpe ratio for PNRAX, currently valued at 3.10, compared to the broader market0.002.004.003.10
Sortino ratio
The chart of Sortino ratio for PNRAX, currently valued at 4.13, compared to the broader market0.005.0010.004.13
Omega ratio
The chart of Omega ratio for PNRAX, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for PNRAX, currently valued at 2.60, compared to the broader market0.005.0010.0015.0020.002.60
Martin ratio
The chart of Martin ratio for PNRAX, currently valued at 19.07, compared to the broader market0.0020.0040.0060.0080.00100.0019.07
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.12, compared to the broader market0.002.004.002.12
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.79, compared to the broader market0.005.0010.002.79
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.71, compared to the broader market0.005.0010.0015.0020.002.71
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.88, compared to the broader market0.0020.0040.0060.0080.00100.009.88

PNRAX vs. QQQ - Sharpe Ratio Comparison

The current PNRAX Sharpe Ratio is 3.10, which is higher than the QQQ Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of PNRAX 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.10
2.12
PNRAX
QQQ

Dividends

PNRAX vs. QQQ - Dividend Comparison

PNRAX's dividend yield for the trailing twelve months is around 0.22%, less than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
PNRAX
Putnam Research Fund
0.22%0.28%1.14%0.00%0.59%0.98%0.42%0.00%1.06%1.19%0.98%0.69%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

PNRAX vs. QQQ - Drawdown Comparison

The maximum PNRAX drawdown since its inception was -61.03%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for PNRAX 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
-0.48%
-0.37%
PNRAX
QQQ

Volatility

PNRAX vs. QQQ - Volatility Comparison

The current volatility for Putnam Research Fund (PNRAX) is 3.73%, while Invesco QQQ (QQQ) has a volatility of 4.91%. This indicates that PNRAX 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%JuneJulyAugustSeptemberOctoberNovember
3.73%
4.91%
PNRAX
QQQ