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

Correlation

The correlation between PWZ and QQQ is -0.03. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

PWZ vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco California AMT-Free Municipal Bond ETF (PWZ) 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
0.63%
10.89%
PWZ
QQQ

Key characteristics

Sharpe Ratio

PWZ:

0.36

QQQ:

1.71

Sortino Ratio

PWZ:

0.54

QQQ:

2.27

Omega Ratio

PWZ:

1.07

QQQ:

1.31

Calmar Ratio

PWZ:

0.28

QQQ:

2.26

Martin Ratio

PWZ:

1.76

QQQ:

8.12

Ulcer Index

PWZ:

1.20%

QQQ:

3.77%

Daily Std Dev

PWZ:

5.94%

QQQ:

17.88%

Max Drawdown

PWZ:

-21.50%

QQQ:

-82.98%

Current Drawdown

PWZ:

-4.62%

QQQ:

-1.37%

Returns By Period

In the year-to-date period, PWZ achieves a 1.66% return, which is significantly lower than QQQ's 30.18% return. Over the past 10 years, PWZ has underperformed QQQ with an annualized return of 2.28%, while QQQ has yielded a comparatively higher 18.54% annualized return.


PWZ

YTD

1.66%

1M

-1.03%

6M

0.63%

1Y

2.11%

5Y*

0.55%

10Y*

2.28%

QQQ

YTD

30.18%

1M

4.95%

6M

10.88%

1Y

30.61%

5Y*

20.73%

10Y*

18.54%

Compare stocks, funds, or ETFs

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


PWZ vs. QQQ - Expense Ratio Comparison

PWZ has a 0.28% expense ratio, which is higher than QQQ's 0.20% expense ratio.


PWZ
Invesco California AMT-Free Municipal Bond ETF
Expense ratio chart for PWZ: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
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

PWZ vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco California AMT-Free Municipal Bond ETF (PWZ) 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 PWZ, currently valued at 0.36, compared to the broader market0.002.004.000.361.71
The chart of Sortino ratio for PWZ, currently valued at 0.54, compared to the broader market-2.000.002.004.006.008.0010.000.542.27
The chart of Omega ratio for PWZ, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.31
The chart of Calmar ratio for PWZ, currently valued at 0.28, compared to the broader market0.005.0010.0015.000.282.26
The chart of Martin ratio for PWZ, currently valued at 1.76, compared to the broader market0.0020.0040.0060.0080.00100.001.768.12
PWZ
QQQ

The current PWZ Sharpe Ratio is 0.36, which is lower than the QQQ Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of PWZ 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.36
1.71
PWZ
QQQ

Dividends

PWZ vs. QQQ - Dividend Comparison

PWZ's dividend yield for the trailing twelve months is around 3.30%, more than QQQ's 0.58% yield.


TTM20232022202120202019201820172016201520142013
PWZ
Invesco California AMT-Free Municipal Bond ETF
3.30%2.85%2.49%2.28%2.34%2.51%2.54%2.49%2.87%3.17%3.81%3.96%
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

PWZ vs. QQQ - Drawdown Comparison

The maximum PWZ drawdown since its inception was -21.50%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for PWZ 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%JulyAugustSeptemberOctoberNovemberDecember
-4.62%
-1.37%
PWZ
QQQ

Volatility

PWZ vs. QQQ - Volatility Comparison

The current volatility for Invesco California AMT-Free Municipal Bond ETF (PWZ) is 1.79%, while Invesco QQQ (QQQ) has a volatility of 5.48%. This indicates that PWZ 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%JulyAugustSeptemberOctoberNovemberDecember
1.79%
5.48%
PWZ
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab