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QAT vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QATVOO
YTD Return6.27%21.11%
1Y Return13.80%32.98%
3Y Return (Ann)-0.29%8.44%
5Y Return (Ann)4.62%15.04%
10Y Return (Ann)0.37%12.94%
Sharpe Ratio1.002.84
Sortino Ratio1.483.76
Omega Ratio1.181.53
Calmar Ratio0.464.05
Martin Ratio3.7118.51
Ulcer Index3.77%1.85%
Daily Std Dev14.09%12.06%
Max Drawdown-45.21%-33.99%
Current Drawdown-18.71%-2.52%

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.

Performance

QAT vs. VOO - Performance Comparison

In the year-to-date period, QAT achieves a 6.27% return, which is significantly lower than VOO's 21.11% return. Over the past 10 years, QAT has underperformed VOO with an annualized return of 0.37%, while VOO has yielded a comparatively higher 12.94% 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%JuneJulyAugustSeptemberOctoberNovember
11.57%
11.08%
QAT
VOO

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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%

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.


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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.51

QAT vs. VOO - Sharpe Ratio Comparison

The current QAT Sharpe Ratio is 1.00, which is lower than the VOO Sharpe Ratio of 2.84. 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
1.00
2.84
QAT
VOO

Dividends

QAT vs. VOO - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.19%, more than VOO's 1.29% 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%
VOO
Vanguard S&P 500 ETF
1.29%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
-18.71%
-2.52%
QAT
VOO

Volatility

QAT vs. VOO - Volatility Comparison

iShares MSCI Qatar ETF (QAT) has a higher volatility of 4.70% compared to Vanguard S&P 500 ETF (VOO) at 3.15%. This indicates that QAT's price experiences larger fluctuations and is considered to be riskier 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
4.70%
3.15%
QAT
VOO