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

Key characteristics


QATMCD
YTD Return6.27%0.56%
1Y Return13.80%11.98%
3Y Return (Ann)-0.29%7.20%
5Y Return (Ann)4.62%11.15%
10Y Return (Ann)0.37%14.86%
Sharpe Ratio1.000.70
Sortino Ratio1.481.06
Omega Ratio1.181.14
Calmar Ratio0.460.72
Martin Ratio3.711.62
Ulcer Index3.77%7.67%
Daily Std Dev14.09%17.65%
Max Drawdown-45.21%-73.62%
Current Drawdown-18.71%-7.49%

Correlation

-0.50.00.51.00.2

The correlation between QAT and MCD is 0.15, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

QAT vs. MCD - Performance Comparison

In the year-to-date period, QAT achieves a 6.27% return, which is significantly higher than MCD's 0.56% return. Over the past 10 years, QAT has underperformed MCD with an annualized return of 0.37%, while MCD has yielded a comparatively higher 14.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
11.57%
10.09%
QAT
MCD

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

QAT vs. MCD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Qatar ETF (QAT) and McDonald's Corporation (MCD). 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.


QAT
Sharpe ratio
The chart of Sharpe ratio for QAT, currently valued at 1.00, compared to the broader market0.002.004.006.001.00
Sortino ratio
The chart of Sortino ratio for QAT, currently valued at 1.48, compared to the broader market0.005.0010.001.48
Omega ratio
The chart of Omega ratio for QAT, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for QAT, currently valued at 0.46, compared to the broader market0.005.0010.0015.0020.000.46
Martin ratio
The chart of Martin ratio for QAT, currently valued at 3.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.71
MCD
Sharpe ratio
The chart of Sharpe ratio for MCD, currently valued at 0.70, compared to the broader market0.002.004.006.000.70
Sortino ratio
The chart of Sortino ratio for MCD, currently valued at 1.06, compared to the broader market0.005.0010.001.06
Omega ratio
The chart of Omega ratio for MCD, currently valued at 1.14, compared to the broader market1.001.502.002.503.001.14
Calmar ratio
The chart of Calmar ratio for MCD, currently valued at 0.72, compared to the broader market0.005.0010.0015.0020.000.72
Martin ratio
The chart of Martin ratio for MCD, currently valued at 1.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.62

QAT vs. MCD - Sharpe Ratio Comparison

The current QAT Sharpe Ratio is 1.00, which is higher than the MCD Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of QAT and MCD, 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 Ratio-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
1.00
0.70
QAT
MCD

Dividends

QAT vs. MCD - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.19%, more than MCD's 2.28% yield.


TTM20232022202120202019201820172016201520142013
QAT
iShares MSCI Qatar ETF
4.19%3.92%4.78%2.33%2.63%3.57%4.63%4.10%3.51%4.49%0.00%0.00%
MCD
McDonald's Corporation
2.28%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%

Drawdowns

QAT vs. MCD - Drawdown Comparison

The maximum QAT drawdown since its inception was -45.21%, smaller than the maximum MCD drawdown of -73.62%. Use the drawdown chart below to compare losses from any high point for QAT and MCD. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.71%
-7.49%
QAT
MCD

Volatility

QAT vs. MCD - Volatility Comparison

The current volatility for iShares MSCI Qatar ETF (QAT) is 4.70%, while McDonald's Corporation (MCD) has a volatility of 7.17%. This indicates that QAT experiences smaller price fluctuations and is considered to be less risky than MCD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.70%
7.17%
QAT
MCD