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QQEW vs. QQQE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

QQEW vs. QQQE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) and Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.98%
4.98%
QQEW
QQQE

Returns By Period

The year-to-date returns for both stocks are quite close, with QQEW having a 9.35% return and QQQE slightly lower at 9.27%. Both investments have delivered pretty close results over the past 10 years, with QQEW having a 12.33% annualized return and QQQE not far ahead at 12.59%.


QQEW

YTD

9.35%

1M

0.84%

6M

3.90%

1Y

18.85%

5Y (annualized)

13.38%

10Y (annualized)

12.33%

QQQE

YTD

9.27%

1M

0.93%

6M

3.79%

1Y

18.86%

5Y (annualized)

13.58%

10Y (annualized)

12.59%

Key characteristics


QQEWQQQE
Sharpe Ratio1.241.25
Sortino Ratio1.761.75
Omega Ratio1.221.22
Calmar Ratio1.741.73
Martin Ratio6.046.04
Ulcer Index3.00%3.01%
Daily Std Dev14.58%14.55%
Max Drawdown-58.16%-32.14%
Current Drawdown-2.27%-2.39%

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QQEW vs. QQQE - Expense Ratio Comparison

QQEW has a 0.58% expense ratio, which is higher than QQQE's 0.35% expense ratio.


QQEW
First Trust Nasdaq-100 Equal Weighted Index Fund
Expense ratio chart for QQEW: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for QQQE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.01.0

The correlation between QQEW and QQQE is 0.97, 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.

Risk-Adjusted Performance

QQEW vs. QQQE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) and Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE). 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 QQEW, currently valued at 1.24, compared to the broader market0.002.004.001.241.25
The chart of Sortino ratio for QQEW, currently valued at 1.76, compared to the broader market-2.000.002.004.006.008.0010.0012.001.761.75
The chart of Omega ratio for QQEW, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.22
The chart of Calmar ratio for QQEW, currently valued at 1.74, compared to the broader market0.005.0010.0015.001.741.73
The chart of Martin ratio for QQEW, currently valued at 6.04, compared to the broader market0.0020.0040.0060.0080.00100.006.046.04
QQEW
QQQE

The current QQEW Sharpe Ratio is 1.24, which is comparable to the QQQE Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of QQEW and QQQE, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.24
1.25
QQEW
QQQE

Dividends

QQEW vs. QQQE - Dividend Comparison

QQEW's dividend yield for the trailing twelve months is around 0.70%, less than QQQE's 0.85% yield.


TTM20232022202120202019201820172016201520142013
QQEW
First Trust Nasdaq-100 Equal Weighted Index Fund
0.70%0.70%0.66%0.24%0.34%0.48%0.56%0.48%0.73%0.62%1.05%0.46%
QQQE
Direxion NASDAQ-100 Equal Weighted Index Shares
0.85%0.79%0.97%3.83%0.54%0.74%0.80%0.65%1.17%0.75%1.36%0.38%

Drawdowns

QQEW vs. QQQE - Drawdown Comparison

The maximum QQEW drawdown since its inception was -58.16%, which is greater than QQQE's maximum drawdown of -32.14%. Use the drawdown chart below to compare losses from any high point for QQEW and QQQE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.27%
-2.39%
QQEW
QQQE

Volatility

QQEW vs. QQQE - Volatility Comparison

First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) and Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) have volatilities of 4.89% and 4.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.89%
4.86%
QQEW
QQQE