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

Performance

QQEW vs. VOOG - 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 Growth ETF (VOOG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.51%
14.98%
QQEW
VOOG

Returns By Period

In the year-to-date period, QQEW achieves a 10.95% return, which is significantly lower than VOOG's 33.18% return. Over the past 10 years, QQEW has underperformed VOOG with an annualized return of 12.42%, while VOOG has yielded a comparatively higher 14.88% annualized return.


QQEW

YTD

10.95%

1M

2.68%

6M

6.51%

1Y

20.21%

5Y (annualized)

13.70%

10Y (annualized)

12.42%

VOOG

YTD

33.18%

1M

1.66%

6M

14.97%

1Y

37.87%

5Y (annualized)

17.54%

10Y (annualized)

14.88%

Key characteristics


QQEWVOOG
Sharpe Ratio1.412.24
Sortino Ratio1.972.91
Omega Ratio1.251.41
Calmar Ratio1.982.86
Martin Ratio6.8711.87
Ulcer Index3.00%3.22%
Daily Std Dev14.63%17.05%
Max Drawdown-58.16%-32.73%
Current Drawdown-0.84%-1.55%

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QQEW vs. VOOG - Expense Ratio Comparison

QQEW has a 0.58% expense ratio, which is higher than VOOG's 0.10% 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 VOOG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.9

The correlation between QQEW and VOOG 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. VOOG - 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 Growth ETF (VOOG). 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 market0.002.004.001.412.24
The chart of Sortino ratio for QQEW, currently valued at 1.97, compared to the broader market-2.000.002.004.006.008.0010.0012.001.972.91
The chart of Omega ratio for QQEW, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.41
The chart of Calmar ratio for QQEW, currently valued at 1.98, compared to the broader market0.005.0010.0015.001.982.86
The chart of Martin ratio for QQEW, currently valued at 6.87, compared to the broader market0.0020.0040.0060.0080.00100.006.8711.87
QQEW
VOOG

The current QQEW Sharpe Ratio is 1.41, which is lower than the VOOG Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of QQEW and VOOG, 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
2.24
QQEW
VOOG

Dividends

QQEW vs. VOOG - Dividend Comparison

QQEW's dividend yield for the trailing twelve months is around 0.69%, more than VOOG's 0.60% 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%
VOOG
Vanguard S&P 500 Growth ETF
0.60%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%1.46%

Drawdowns

QQEW vs. VOOG - Drawdown Comparison

The maximum QQEW drawdown since its inception was -58.16%, which is greater than VOOG's maximum drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for QQEW and VOOG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.84%
-1.55%
QQEW
VOOG

Volatility

QQEW vs. VOOG - Volatility Comparison

The current volatility for First Trust Nasdaq-100 Equal Weighted Index Fund (QQEW) is 4.95%, while Vanguard S&P 500 Growth ETF (VOOG) has a volatility of 5.41%. This indicates that QQEW experiences smaller price fluctuations and is considered to be less risky than VOOG 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%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.95%
5.41%
QQEW
VOOG