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

Performance

QQEW vs. SCHD - 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 Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.51%
13.68%
QQEW
SCHD

Returns By Period

In the year-to-date period, QQEW achieves a 10.95% return, which is significantly lower than SCHD's 17.35% return. Over the past 10 years, QQEW has outperformed SCHD with an annualized return of 12.42%, while SCHD has yielded a comparatively lower 11.54% annualized return.


QQEW

YTD

10.95%

1M

2.68%

6M

6.51%

1Y

20.21%

5Y (annualized)

13.70%

10Y (annualized)

12.42%

SCHD

YTD

17.35%

1M

2.29%

6M

13.68%

1Y

26.18%

5Y (annualized)

12.87%

10Y (annualized)

11.54%

Key characteristics


QQEWSCHD
Sharpe Ratio1.412.40
Sortino Ratio1.973.44
Omega Ratio1.251.42
Calmar Ratio1.983.63
Martin Ratio6.8712.99
Ulcer Index3.00%2.05%
Daily Std Dev14.63%11.09%
Max Drawdown-58.16%-33.37%
Current Drawdown-0.84%-0.62%

Compare stocks, funds, or ETFs

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


QQEW vs. SCHD - Expense Ratio Comparison

QQEW has a 0.58% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.7

The correlation between QQEW and SCHD is 0.75, 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. SCHD - 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 Schwab US Dividend Equity ETF (SCHD). 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 1.41, compared to the broader market0.002.004.001.412.40
The chart of Sortino ratio for QQEW, currently valued at 1.97, compared to the broader market-2.000.002.004.006.008.0010.0012.001.973.44
The chart of Omega ratio for QQEW, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.42
The chart of Calmar ratio for QQEW, currently valued at 1.98, compared to the broader market0.005.0010.0015.001.983.63
The chart of Martin ratio for QQEW, currently valued at 6.87, compared to the broader market0.0020.0040.0060.0080.00100.006.8712.99
QQEW
SCHD

The current QQEW Sharpe Ratio is 1.41, which is lower than the SCHD Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of QQEW and SCHD, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.41
2.40
QQEW
SCHD

Dividends

QQEW vs. SCHD - Dividend Comparison

QQEW's dividend yield for the trailing twelve months is around 0.69%, less than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
QQEW
First Trust Nasdaq-100 Equal Weighted Index Fund
0.69%0.70%0.66%0.24%0.34%0.48%0.56%0.48%0.73%0.62%1.05%0.46%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

QQEW vs. SCHD - Drawdown Comparison

The maximum QQEW drawdown since its inception was -58.16%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for QQEW and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.84%
-0.62%
QQEW
SCHD

Volatility

QQEW vs. SCHD - Volatility Comparison

First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) has a higher volatility of 4.95% compared to Schwab US Dividend Equity ETF (SCHD) at 3.48%. This indicates that QQEW's price experiences larger fluctuations and is considered to be riskier than SCHD 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.95%
3.48%
QQEW
SCHD