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

Key characteristics


QQQEQQQ
YTD Return6.73%19.19%
1Y Return21.17%33.08%
3Y Return (Ann)2.09%7.58%
5Y Return (Ann)13.17%20.31%
10Y Return (Ann)12.59%17.95%
Sharpe Ratio1.592.01
Sortino Ratio2.222.66
Omega Ratio1.281.36
Calmar Ratio1.702.56
Martin Ratio7.809.32
Ulcer Index2.98%3.72%
Daily Std Dev14.57%17.23%
Max Drawdown-32.14%-82.98%
Current Drawdown-2.99%-3.23%

Correlation

-0.50.00.51.00.9

The correlation between QQQE and QQQ is 0.90, 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.

Performance

QQQE vs. QQQ - Performance Comparison

In the year-to-date period, QQQE achieves a 6.73% return, which is significantly lower than QQQ's 19.19% return. Over the past 10 years, QQQE has underperformed QQQ with an annualized return of 12.59%, while QQQ has yielded a comparatively higher 17.95% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.45%
10.71%
QQQE
QQQ

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QQQE vs. QQQ - Expense Ratio Comparison

QQQE has a 0.35% expense ratio, which is higher than QQQ's 0.20% expense ratio.


QQQE
Direxion NASDAQ-100 Equal Weighted Index Shares
Expense ratio chart for QQQE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for QQQ: 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%

Risk-Adjusted Performance

QQQE vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) and Invesco QQQ (QQQ). 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.


QQQE
Sharpe ratio
The chart of Sharpe ratio for QQQE, currently valued at 1.59, compared to the broader market0.002.004.001.59
Sortino ratio
The chart of Sortino ratio for QQQE, currently valued at 2.22, compared to the broader market0.005.0010.002.22
Omega ratio
The chart of Omega ratio for QQQE, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for QQQE, currently valued at 1.70, compared to the broader market0.005.0010.0015.0020.001.70
Martin ratio
The chart of Martin ratio for QQQE, currently valued at 7.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.80
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.01, compared to the broader market0.002.004.002.01
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.66, compared to the broader market0.005.0010.002.66
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.56, compared to the broader market0.005.0010.0015.0020.002.56
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.32

QQQE vs. QQQ - Sharpe Ratio Comparison

The current QQQE Sharpe Ratio is 1.59, which is comparable to the QQQ Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of QQQE and QQQ, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.59
2.01
QQQE
QQQ

Dividends

QQQE vs. QQQ - Dividend Comparison

QQQE's dividend yield for the trailing twelve months is around 0.86%, more than QQQ's 0.62% yield.


TTM20232022202120202019201820172016201520142013
QQQE
Direxion NASDAQ-100 Equal Weighted Index Shares
0.86%0.79%0.98%3.83%0.54%0.74%0.80%0.65%1.17%0.75%1.36%0.38%
QQQ
Invesco QQQ
0.62%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

QQQE vs. QQQ - Drawdown Comparison

The maximum QQQE drawdown since its inception was -32.14%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for QQQE and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.99%
-3.23%
QQQE
QQQ

Volatility

QQQE vs. QQQ - Volatility Comparison

The current volatility for Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) is 3.72%, while Invesco QQQ (QQQ) has a volatility of 4.47%. This indicates that QQQE experiences smaller price fluctuations and is considered to be less risky than QQQ 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
3.72%
4.47%
QQQE
QQQ