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

Key characteristics


QQQMSCHG
YTD Return22.73%29.73%
1Y Return44.31%51.35%
3Y Return (Ann)9.84%10.58%
Sharpe Ratio2.683.20
Sortino Ratio3.444.02
Omega Ratio1.471.57
Calmar Ratio3.393.88
Martin Ratio12.4417.26
Ulcer Index3.69%3.08%
Daily Std Dev17.13%16.65%
Max Drawdown-35.05%-34.59%
Current Drawdown-0.42%0.00%

Correlation

-0.50.00.51.01.0

The correlation between QQQM and SCHG 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.

Performance

QQQM vs. SCHG - Performance Comparison

In the year-to-date period, QQQM achieves a 22.73% return, which is significantly lower than SCHG's 29.73% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
18.19%
20.73%
QQQM
SCHG

Compare stocks, funds, or ETFs

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


QQQM vs. SCHG - Expense Ratio Comparison

QQQM has a 0.15% expense ratio, which is higher than SCHG's 0.04% 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%.


QQQM
Invesco NASDAQ 100 ETF
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%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

QQQM vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco NASDAQ 100 ETF (QQQM) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.


QQQM
Sharpe ratio
The chart of Sharpe ratio for QQQM, currently valued at 2.68, compared to the broader market-2.000.002.004.006.002.68
Sortino ratio
The chart of Sortino ratio for QQQM, currently valued at 3.44, compared to the broader market0.005.0010.003.44
Omega ratio
The chart of Omega ratio for QQQM, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for QQQM, currently valued at 3.39, compared to the broader market0.005.0010.0015.003.39
Martin ratio
The chart of Martin ratio for QQQM, currently valued at 12.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.44
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 3.20, compared to the broader market-2.000.002.004.006.003.20
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 4.02, compared to the broader market0.005.0010.004.02
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.88, compared to the broader market0.005.0010.0015.003.88
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 17.26, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.26

QQQM vs. SCHG - Sharpe Ratio Comparison

The current QQQM Sharpe Ratio is 2.68, which is comparable to the SCHG Sharpe Ratio of 3.20. The chart below compares the historical Sharpe Ratios of QQQM and SCHG, 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.68
3.20
QQQM
SCHG

Dividends

QQQM vs. SCHG - Dividend Comparison

QQQM's dividend yield for the trailing twelve months is around 0.65%, more than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
QQQM
Invesco NASDAQ 100 ETF
0.65%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

QQQM vs. SCHG - Drawdown Comparison

The maximum QQQM drawdown since its inception was -35.05%, roughly equal to the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for QQQM and SCHG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.42%
0
QQQM
SCHG

Volatility

QQQM vs. SCHG - Volatility Comparison

Invesco NASDAQ 100 ETF (QQQM) and Schwab U.S. Large-Cap Growth ETF (SCHG) have volatilities of 3.87% and 3.75%, 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%MayJuneJulyAugustSeptemberOctober
3.87%
3.75%
QQQM
SCHG