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QQMG vs. QQQM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

QQMG vs. QQQM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco ESG NASDAQ 100 ETF (QQMG) and Invesco NASDAQ 100 ETF (QQQM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.85%
10.28%
QQMG
QQQM

Returns By Period

The year-to-date returns for both stocks are quite close, with QQMG having a 23.05% return and QQQM slightly lower at 22.73%.


QQMG

YTD

23.05%

1M

0.63%

6M

9.84%

1Y

30.41%

5Y (annualized)

N/A

10Y (annualized)

N/A

QQQM

YTD

22.73%

1M

1.12%

6M

10.28%

1Y

30.52%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


QQMGQQQM
Sharpe Ratio1.631.76
Sortino Ratio2.202.35
Omega Ratio1.291.32
Calmar Ratio2.132.25
Martin Ratio7.358.21
Ulcer Index4.10%3.72%
Daily Std Dev18.52%17.41%
Max Drawdown-35.44%-35.05%
Current Drawdown-3.06%-2.75%

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QQMG vs. QQQM - Expense Ratio Comparison

QQMG has a 0.20% expense ratio, which is higher than QQQM's 0.15% 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 QQQM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.01.0

The correlation between QQMG and QQQM is 0.99, 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

QQMG vs. QQQM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco ESG NASDAQ 100 ETF (QQMG) and Invesco NASDAQ 100 ETF (QQQM). 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 QQMG, currently valued at 1.63, compared to the broader market0.002.004.001.631.76
The chart of Sortino ratio for QQMG, currently valued at 2.20, compared to the broader market-2.000.002.004.006.008.0010.002.202.35
The chart of Omega ratio for QQMG, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.32
The chart of Calmar ratio for QQMG, currently valued at 2.13, compared to the broader market0.005.0010.0015.002.132.25
The chart of Martin ratio for QQMG, currently valued at 7.35, compared to the broader market0.0020.0040.0060.0080.00100.007.358.21
QQMG
QQQM

The current QQMG Sharpe Ratio is 1.63, which is comparable to the QQQM Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of QQMG and QQQM, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.63
1.76
QQMG
QQQM

Dividends

QQMG vs. QQQM - Dividend Comparison

QQMG's dividend yield for the trailing twelve months is around 0.54%, less than QQQM's 0.65% yield.


TTM2023202220212020
QQMG
Invesco ESG NASDAQ 100 ETF
0.54%0.60%0.83%0.08%0.00%
QQQM
Invesco NASDAQ 100 ETF
0.65%0.65%0.83%0.40%0.16%

Drawdowns

QQMG vs. QQQM - Drawdown Comparison

The maximum QQMG drawdown since its inception was -35.44%, roughly equal to the maximum QQQM drawdown of -35.05%. Use the drawdown chart below to compare losses from any high point for QQMG and QQQM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.06%
-2.75%
QQMG
QQQM

Volatility

QQMG vs. QQQM - Volatility Comparison

Invesco ESG NASDAQ 100 ETF (QQMG) and Invesco NASDAQ 100 ETF (QQQM) have volatilities of 5.81% and 5.62%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.81%
5.62%
QQMG
QQQM