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QQQ vs. DFAT
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QQQ vs. DFAT

Last updated Jun 16, 2026

QQQ (Invesco QQQ ETF) and DFAT (Dimensional U.S. Targeted Value ETF) are both exchange-traded funds - QQQ is a Nasdaq-100 fund tracking the NASDAQ-100 Index, while DFAT is a Small Cap Value Equities fund actively managed by Dimensional. QQQ is passively managed, while DFAT is actively managed. Over the past 5 years, QQQ returned 17.59%/yr vs 10.16%/yr for DFAT. A 0.60 correlation means they provide meaningful diversification when combined. QQQ charges 0.18%/yr vs 0.28%/yr for DFAT.

Performance

QQQ vs. DFAT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco QQQ ETF (QQQ) and Dimensional U.S. Targeted Value ETF (DFAT). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QQQ achieves a 21.26% return, which is significantly higher than DFAT's 16.47% return.

QQQ

1D
3.14%
1M
4.95%
YTD
21.26%
6M
22.17%
1Y
41.87%
3Y*
27.20%
5Y*
17.59%
10Y*
22.31%

DFAT

1D
-0.68%
1M
5.80%
YTD
16.47%
6M
14.23%
1Y
33.75%
3Y*
16.41%
5Y*
10.16%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

QQQ vs. DFAT - Yearly Performance Comparison

2026 (YTD)20252024202320222021
QQQ
Invesco QQQ ETF		21.26%20.77%25.58%54.86%-32.58%17.00%
DFAT
Dimensional U.S. Targeted Value ETF		16.47%8.73%7.80%20.86%-6.23%3.66%

Correlation

The correlation between QQQ and DFAT is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.46

Correlation (3Y)
Calculated over the trailing 3-year period

0.52

Correlation (5Y)
Calculated over the trailing 5-year period

0.61

Correlation (All Time)
Calculated using the full available price history since Jun 14, 2021

0.60

The correlation between QQQ and DFAT shifts across timeframes, from 0.46 (1 year) to 0.60 (5 years), reflecting how their relationship changes across market environments.

QQQ vs. DFAT - Sectors Allocation Comparison

Sectors
QQQ
DFAT

Technology

58.7%
9.4%

Communication Services

14.3%
1.8%

Consumer Cyclical

11.4%
14.9%

Consumer Defensive

6.4%
6.9%

Healthcare

3.7%
6.4%

Industrials

2.6%
16.2%

Utilities

1.2%
0.4%

Basic Materials

1.0%
4.8%

Energy

0.5%
10.5%

Financial Services

0.2%
27.9%

Real Estate

0.1%
0.8%

Technology

QQQ
58.7%
DFAT
9.4%

Communication Services

QQQ
14.3%
DFAT
1.8%

Consumer Cyclical

QQQ
11.4%
DFAT
14.9%

Consumer Defensive

QQQ
6.4%
DFAT
6.9%

Healthcare

QQQ
3.7%
DFAT
6.4%

Industrials

QQQ
2.6%
DFAT
16.2%

Utilities

QQQ
1.2%
DFAT
0.4%

Basic Materials

QQQ
1.0%
DFAT
4.8%

Energy

QQQ
0.5%
DFAT
10.5%

Financial Services

QQQ
0.2%
DFAT
27.9%

Real Estate

QQQ
0.1%
DFAT
0.8%

Compare stocks, funds, or ETFs

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Invesco QQQ ETF

Dimensional U.S. Targeted Value ETF

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Return for Risk

QQQ vs. DFAT — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QQQ
QQQ Risk / Return Rank: 7979
Overall Rank
QQQ Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
QQQ Sortino Ratio Rank: 7979
Sortino Ratio Rank
QQQ Omega Ratio Rank: 8181
Omega Ratio Rank
QQQ Calmar Ratio Rank: 7676
Calmar Ratio Rank
QQQ Martin Ratio Rank: 7676
Martin Ratio Rank
DFAT
DFAT Risk / Return Rank: 7171
Overall Rank
DFAT Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
DFAT Sortino Ratio Rank: 7373
Sortino Ratio Rank
DFAT Omega Ratio Rank: 6666
Omega Ratio Rank
DFAT Calmar Ratio Rank: 7676
Calmar Ratio Rank
DFAT Martin Ratio Rank: 6868
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QQQ vs. DFAT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco QQQ ETF (QQQ) and Dimensional U.S. Targeted Value ETF (DFAT). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

QQQDFATDifference
Sharpe ratioReturn per unit of total volatility
2.42
2.03

+0.39

Sortino ratioReturn per unit of downside risk
3.12
2.96

+0.16

Omega ratioGain probability vs. loss probability

1.42

1.36

+0.06

Calmar ratioReturn relative to maximum drawdown

3.52

3.55

-0.03

Martin ratioReturn relative to average drawdown

13.12

11.42

+1.70

QQQ vs. DFAT - Sharpe Ratio Comparison

The current QQQ Sharpe Ratio is 2.42, which is comparable to the DFAT Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of QQQ and DFAT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

QQQ vs. DFAT - Drawdown Comparison

The maximum QQQ drawdown since its inception was -82.97%, which is greater than DFAT's maximum drawdown of -26.12%. Use the drawdown chart below to compare losses from any high point for QQQ and DFAT.

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Drawdown Indicators

QQQDFATDifference

Max Drawdown

Largest peak-to-trough decline

-82.97%

-26.12%

-56.85%

Max Drawdown (1Y)

Largest decline over 1 year

-11.96%

-9.55%

-2.41%

Max Drawdown (3Y)

Largest decline over 3 years

-22.77%

-26.12%

+3.35%

Max Drawdown (5Y)

Largest decline over 5 years

-35.12%

-26.12%

-9.00%

Max Drawdown (10Y)

Largest decline over 10 years

-35.12%

—

—

Current Drawdown

Current decline from peak

-0.29%

-0.68%

+0.39%

Average Drawdown

Average peak-to-trough decline

-32.75%

-6.25%

-26.50%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.20%

2.96%

+0.24%

Volatility

QQQ vs. DFAT - Volatility Comparison

Invesco QQQ ETF (QQQ) has a higher volatility of 8.14% compared to Dimensional U.S. Targeted Value ETF (DFAT) at 4.34%. This indicates that QQQ's price experiences larger fluctuations and is considered to be riskier than DFAT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QQQDFATDifference

Volatility (1M)

Calculated over the trailing 1-month period

8.14%

4.34%

+3.80%

Volatility (6M)

Calculated over the trailing 6-month period

14.12%

10.83%

+3.29%

Volatility (1Y)

Calculated over the trailing 1-year period

17.43%

16.77%

+0.66%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.59%

21.46%

+1.13%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.41%

21.46%

+0.95%

QQQ vs. DFAT - Expense Ratio Comparison

QQQ has a 0.18% expense ratio, which is lower than DFAT's 0.28% expense ratio.

Dividends

QQQ vs. DFAT - Dividend Comparison

QQQ's dividend yield for the trailing twelve months is around 0.38%, less than DFAT's 1.41% yield.

PositionTTM20252024202320222021202020192018201720162015
DFAT
Dimensional U.S. Targeted Value ETF		1.41%1.55%1.31%1.34%1.34%1.13%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ ETF		0.38%0.45%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%

Frequently Asked Questions

QQQ and DFAT have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QQQ has higher volatility (8.14%) compared to DFAT (4.34%). In terms of maximum drawdown, QQQ dropped -82.97% vs DFAT's -26.12%.

On 5-year performance, QQQ leads with 17.59% vs 10.16% for DFAT. On fees, QQQ is cheaper at 0.18% per year. On volatility, DFAT has been the lower-risk option at 4.34%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, QQQ has performed better with a 17.59% return vs 10.16%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QQQ is cheaper with a 0.18% expense ratio, compared with 0.28% for DFAT.

DFAT has the higher dividend yield at 1.41%, compared with 0.38% for QQQ.

QQQ is categorized as Nasdaq-100, while DFAT is Small Cap Value Equities. They also come from different issuers: Invesco and Dimensional. Their fees differ too: 0.18% for QQQ and 0.28% for DFAT.

QQQ currently has the higher Sharpe Ratio (2.42 vs 2.03), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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