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QQQE vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QQQEVOO
YTD Return6.73%21.11%
1Y Return21.17%32.98%
3Y Return (Ann)2.09%8.44%
5Y Return (Ann)13.17%15.04%
10Y Return (Ann)12.59%12.94%
Sharpe Ratio1.592.84
Sortino Ratio2.223.76
Omega Ratio1.281.53
Calmar Ratio1.704.05
Martin Ratio7.8018.51
Ulcer Index2.98%1.85%
Daily Std Dev14.57%12.06%
Max Drawdown-32.14%-33.99%
Current Drawdown-2.99%-2.52%

Correlation

-0.50.00.51.00.9

The correlation between QQQE and VOO is 0.88, 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. VOO - Performance Comparison

In the year-to-date period, QQQE achieves a 6.73% return, which is significantly lower than VOO's 21.11% return. Both investments have delivered pretty close results over the past 10 years, with QQQE having a 12.59% annualized return and VOO not far ahead at 12.94%. 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%JuneJulyAugustSeptemberOctoberNovember
4.53%
11.07%
QQQE
VOO

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QQQE vs. VOO - Expense Ratio Comparison

QQQE has a 0.35% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

QQQE vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) and Vanguard S&P 500 ETF (VOO). 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 market0.002.004.006.001.59
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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.51

QQQE vs. VOO - Sharpe Ratio Comparison

The current QQQE Sharpe Ratio is 1.59, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of QQQE and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.59
2.84
QQQE
VOO

Dividends

QQQE vs. VOO - Dividend Comparison

QQQE's dividend yield for the trailing twelve months is around 0.86%, less than VOO's 1.29% 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%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

QQQE vs. VOO - Drawdown Comparison

The maximum QQQE drawdown since its inception was -32.14%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for QQQE and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.99%
-2.52%
QQQE
VOO

Volatility

QQQE vs. VOO - Volatility Comparison

Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) has a higher volatility of 3.72% compared to Vanguard S&P 500 ETF (VOO) at 3.15%. This indicates that QQQE's price experiences larger fluctuations and is considered to be riskier than VOO 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%JuneJulyAugustSeptemberOctoberNovember
3.72%
3.15%
QQQE
VOO