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QQMG vs. 500G.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QQMG500G.L
YTD Return19.99%19.37%
1Y Return33.97%27.44%
3Y Return (Ann)8.83%10.22%
Sharpe Ratio2.062.55
Sortino Ratio2.713.54
Omega Ratio1.361.48
Calmar Ratio2.684.28
Martin Ratio9.3117.35
Ulcer Index4.07%1.58%
Daily Std Dev18.38%10.83%
Max Drawdown-35.44%-25.52%
Current Drawdown-4.18%-1.41%

Correlation

-0.50.00.51.00.6

The correlation between QQMG and 500G.L is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

QQMG vs. 500G.L - Performance Comparison

The year-to-date returns for both stocks are quite close, with QQMG having a 19.99% return and 500G.L slightly lower at 19.37%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


15.00%20.00%25.00%30.00%35.00%40.00%JuneJulyAugustSeptemberOctoberNovember
33.67%
30.58%
QQMG
500G.L

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QQMG vs. 500G.L - Expense Ratio Comparison

QQMG has a 0.20% expense ratio, which is higher than 500G.L's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQMG
Invesco ESG NASDAQ 100 ETF
Expense ratio chart for QQMG: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for 500G.L: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

QQMG vs. 500G.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco ESG NASDAQ 100 ETF (QQMG) and Amundi S&P 500 UCITS ETF C USD (500G.L). 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.


QQMG
Sharpe ratio
The chart of Sharpe ratio for QQMG, currently valued at 1.79, compared to the broader market-2.000.002.004.006.001.79
Sortino ratio
The chart of Sortino ratio for QQMG, currently valued at 2.40, compared to the broader market0.005.0010.002.40
Omega ratio
The chart of Omega ratio for QQMG, currently valued at 1.32, compared to the broader market1.001.502.002.503.003.501.32
Calmar ratio
The chart of Calmar ratio for QQMG, currently valued at 2.31, compared to the broader market0.005.0010.0015.0020.002.31
Martin ratio
The chart of Martin ratio for QQMG, currently valued at 7.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.98
500G.L
Sharpe ratio
The chart of Sharpe ratio for 500G.L, currently valued at 2.99, compared to the broader market-2.000.002.004.006.002.99
Sortino ratio
The chart of Sortino ratio for 500G.L, currently valued at 4.12, compared to the broader market0.005.0010.004.12
Omega ratio
The chart of Omega ratio for 500G.L, currently valued at 1.58, compared to the broader market1.001.502.002.503.003.501.58
Calmar ratio
The chart of Calmar ratio for 500G.L, currently valued at 4.26, compared to the broader market0.005.0010.0015.0020.004.26
Martin ratio
The chart of Martin ratio for 500G.L, currently valued at 18.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.54

QQMG vs. 500G.L - Sharpe Ratio Comparison

The current QQMG Sharpe Ratio is 2.06, which is comparable to the 500G.L Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of QQMG and 500G.L, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.79
2.99
QQMG
500G.L

Dividends

QQMG vs. 500G.L - Dividend Comparison

QQMG's dividend yield for the trailing twelve months is around 0.55%, while 500G.L has not paid dividends to shareholders.


TTM202320222021
QQMG
Invesco ESG NASDAQ 100 ETF
0.55%0.60%0.82%0.08%
500G.L
Amundi S&P 500 UCITS ETF C USD
0.00%0.00%0.00%0.00%

Drawdowns

QQMG vs. 500G.L - Drawdown Comparison

The maximum QQMG drawdown since its inception was -35.44%, which is greater than 500G.L's maximum drawdown of -25.52%. Use the drawdown chart below to compare losses from any high point for QQMG and 500G.L. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.18%
-2.07%
QQMG
500G.L

Volatility

QQMG vs. 500G.L - Volatility Comparison

Invesco ESG NASDAQ 100 ETF (QQMG) has a higher volatility of 4.63% compared to Amundi S&P 500 UCITS ETF C USD (500G.L) at 2.28%. This indicates that QQMG's price experiences larger fluctuations and is considered to be riskier than 500G.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.63%
2.28%
QQMG
500G.L