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

Key characteristics


QQEWSPY
YTD Return6.71%21.01%
1Y Return20.97%32.86%
3Y Return (Ann)1.94%8.37%
5Y Return (Ann)12.96%14.97%
10Y Return (Ann)12.32%12.86%
Sharpe Ratio1.582.83
Sortino Ratio2.233.76
Omega Ratio1.281.53
Calmar Ratio1.654.05
Martin Ratio7.7518.38
Ulcer Index2.97%1.85%
Daily Std Dev14.56%12.02%
Max Drawdown-58.16%-55.19%
Current Drawdown-3.08%-2.53%

Correlation

-0.50.00.51.00.9

The correlation between QQEW and SPY is 0.89, 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.

Performance

QQEW vs. SPY - Performance Comparison

In the year-to-date period, QQEW achieves a 6.71% return, which is significantly lower than SPY's 21.01% return. Both investments have delivered pretty close results over the past 10 years, with QQEW having a 12.32% annualized return and SPY not far ahead at 12.86%. 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
4.33%
11.00%
QQEW
SPY

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QQEW vs. SPY - Expense Ratio Comparison

QQEW has a 0.58% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QQEW vs. SPY - 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 SPDR S&P 500 ETF (SPY). 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.


QQEW
Sharpe ratio
The chart of Sharpe ratio for QQEW, currently valued at 1.58, compared to the broader market0.002.004.006.001.58
Sortino ratio
The chart of Sortino ratio for QQEW, currently valued at 2.23, compared to the broader market0.005.0010.002.23
Omega ratio
The chart of Omega ratio for QQEW, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for QQEW, currently valued at 1.65, compared to the broader market0.005.0010.0015.0020.001.65
Martin ratio
The chart of Martin ratio for QQEW, currently valued at 7.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.75
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

QQEW vs. SPY - Sharpe Ratio Comparison

The current QQEW Sharpe Ratio is 1.58, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of QQEW and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.58
2.83
QQEW
SPY

Dividends

QQEW vs. SPY - Dividend Comparison

QQEW's dividend yield for the trailing twelve months is around 0.72%, less than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
QQEW
First Trust Nasdaq-100 Equal Weighted Index Fund
0.72%0.70%0.66%0.24%0.34%0.48%0.56%0.48%0.73%0.61%1.05%0.46%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QQEW vs. SPY - Drawdown Comparison

The maximum QQEW drawdown since its inception was -58.16%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QQEW and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.08%
-2.53%
QQEW
SPY

Volatility

QQEW vs. SPY - Volatility Comparison

First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) has a higher volatility of 3.71% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that QQEW's price experiences larger fluctuations and is considered to be riskier than SPY 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
3.71%
3.15%
QQEW
SPY