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

Performance

QQEW vs. VOO - 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 Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.98%
13.05%
QQEW
VOO

Returns By Period

In the year-to-date period, QQEW achieves a 9.35% return, which is significantly lower than VOO's 25.52% return. Over the past 10 years, QQEW has underperformed VOO with an annualized return of 12.33%, while VOO has yielded a comparatively higher 13.15% annualized return.


QQEW

YTD

9.35%

1M

0.84%

6M

3.90%

1Y

18.85%

5Y (annualized)

13.38%

10Y (annualized)

12.33%

VOO

YTD

25.52%

1M

1.19%

6M

12.21%

1Y

32.23%

5Y (annualized)

15.58%

10Y (annualized)

13.15%

Key characteristics


QQEWVOO
Sharpe Ratio1.242.62
Sortino Ratio1.763.50
Omega Ratio1.221.49
Calmar Ratio1.743.78
Martin Ratio6.0417.12
Ulcer Index3.00%1.86%
Daily Std Dev14.58%12.19%
Max Drawdown-58.16%-33.99%
Current Drawdown-2.27%-1.36%

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. VOO - Expense Ratio Comparison

QQEW has a 0.58% expense ratio, which is higher than VOO's 0.03% 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 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

-0.50.00.51.00.9

The correlation between QQEW and VOO is 0.91, 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. VOO - 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 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 QQEW, currently valued at 1.24, compared to the broader market0.002.004.001.242.62
The chart of Sortino ratio for QQEW, currently valued at 1.76, compared to the broader market-2.000.002.004.006.008.0010.0012.001.763.50
The chart of Omega ratio for QQEW, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.49
The chart of Calmar ratio for QQEW, currently valued at 1.74, compared to the broader market0.005.0010.0015.001.743.78
The chart of Martin ratio for QQEW, currently valued at 6.04, compared to the broader market0.0020.0040.0060.0080.00100.006.0417.12
QQEW
VOO

The current QQEW Sharpe Ratio is 1.24, which is lower than the VOO Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of QQEW 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.24
2.62
QQEW
VOO

Dividends

QQEW vs. VOO - Dividend Comparison

QQEW's dividend yield for the trailing twelve months is around 0.70%, less than VOO's 1.25% 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%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

QQEW vs. VOO - Drawdown Comparison

The maximum QQEW drawdown since its inception was -58.16%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for QQEW and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.27%
-1.36%
QQEW
VOO

Volatility

QQEW vs. VOO - Volatility Comparison

First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) has a higher volatility of 4.89% compared to Vanguard S&P 500 ETF (VOO) at 4.10%. This indicates that QQEW'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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.89%
4.10%
QQEW
VOO