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

Performance

QAT vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Qatar ETF (QAT) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.66%
13.62%
QAT
VOO

Returns By Period

In the year-to-date period, QAT achieves a 6.26% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, QAT has underperformed VOO with an annualized return of 0.30%, while VOO has yielded a comparatively higher 13.18% annualized return.


QAT

YTD

6.26%

1M

-0.43%

6M

13.66%

1Y

9.96%

5Y (annualized)

4.24%

10Y (annualized)

0.30%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


QATVOO
Sharpe Ratio0.712.70
Sortino Ratio1.073.60
Omega Ratio1.131.50
Calmar Ratio0.323.90
Martin Ratio2.5617.65
Ulcer Index3.77%1.86%
Daily Std Dev13.68%12.19%
Max Drawdown-45.21%-33.99%
Current Drawdown-18.72%-0.86%

Compare stocks, funds, or ETFs

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


QAT vs. VOO - Expense Ratio Comparison

QAT has a 0.59% expense ratio, which is higher than VOO's 0.03% expense ratio.


QAT
iShares MSCI Qatar ETF
Expense ratio chart for QAT: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.3

The correlation between QAT and VOO is 0.30, 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.

Risk-Adjusted Performance

QAT vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Qatar ETF (QAT) and Vanguard S&P 500 ETF (VOO). 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 QAT, currently valued at 0.71, compared to the broader market0.002.004.000.712.70
The chart of Sortino ratio for QAT, currently valued at 1.07, compared to the broader market-2.000.002.004.006.008.0010.0012.001.073.60
The chart of Omega ratio for QAT, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.50
The chart of Calmar ratio for QAT, currently valued at 0.32, compared to the broader market0.005.0010.0015.000.323.90
The chart of Martin ratio for QAT, currently valued at 2.56, compared to the broader market0.0020.0040.0060.0080.00100.002.5617.65
QAT
VOO

The current QAT Sharpe Ratio is 0.71, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of QAT and VOO, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.71
2.70
QAT
VOO

Dividends

QAT vs. VOO - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.18%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
QAT
iShares MSCI Qatar ETF
4.18%3.93%4.78%2.34%2.63%3.57%4.63%4.10%3.52%4.49%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

QAT vs. VOO - Drawdown Comparison

The maximum QAT drawdown since its inception was -45.21%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for QAT and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.72%
-0.86%
QAT
VOO

Volatility

QAT vs. VOO - Volatility Comparison

The current volatility for iShares MSCI Qatar ETF (QAT) is 3.36%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that QAT experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.36%
3.99%
QAT
VOO