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

Key characteristics


QQQMVTI
YTD Return19.63%20.18%
1Y Return35.16%34.42%
3Y Return (Ann)8.63%7.36%
Sharpe Ratio2.172.97
Sortino Ratio2.853.93
Omega Ratio1.391.55
Calmar Ratio2.773.76
Martin Ratio10.1319.19
Ulcer Index3.70%1.93%
Daily Std Dev17.26%12.50%
Max Drawdown-35.05%-55.45%
Current Drawdown-2.95%-2.31%

Correlation

-0.50.00.51.00.9

The correlation between QQQM and VTI is 0.91, 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. VTI - Performance Comparison

The year-to-date returns for both investments are quite close, with QQQM having a 19.63% return and VTI slightly higher at 20.18%. 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%JuneJulyAugustSeptemberOctoberNovember
12.29%
12.06%
QQQM
VTI

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QQQM vs. VTI - Expense Ratio Comparison

QQQM has a 0.15% expense ratio, which is higher than VTI's 0.03% 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 VTI: 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

QQQM vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco NASDAQ 100 ETF (QQQM) and Vanguard Total Stock Market ETF (VTI). 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 2.17, compared to the broader market-2.000.002.004.002.17
Sortino ratio
The chart of Sortino ratio for QQQM, currently valued at 2.85, compared to the broader market0.005.0010.002.85
Omega ratio
The chart of Omega ratio for QQQM, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for QQQM, currently valued at 2.77, compared to the broader market0.005.0010.0015.0020.002.77
Martin ratio
The chart of Martin ratio for QQQM, currently valued at 10.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.13
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.97, compared to the broader market-2.000.002.004.002.97
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.93, compared to the broader market0.005.0010.003.93
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 3.76, compared to the broader market0.005.0010.0015.0020.003.76
Martin ratio
The chart of Martin ratio for VTI, currently valued at 19.19, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.19

QQQM vs. VTI - Sharpe Ratio Comparison

The current QQQM Sharpe Ratio is 2.17, which is comparable to the VTI Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of QQQM and VTI, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.17
2.97
QQQM
VTI

Dividends

QQQM vs. VTI - Dividend Comparison

QQQM's dividend yield for the trailing twelve months is around 0.67%, less than VTI's 1.32% yield.


TTM20232022202120202019201820172016201520142013
QQQM
Invesco NASDAQ 100 ETF
0.67%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.32%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

QQQM vs. VTI - Drawdown Comparison

The maximum QQQM drawdown since its inception was -35.05%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for QQQM and VTI. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.95%
-2.31%
QQQM
VTI

Volatility

QQQM vs. VTI - Volatility Comparison

Invesco NASDAQ 100 ETF (QQQM) has a higher volatility of 4.60% compared to Vanguard Total Stock Market ETF (VTI) at 3.25%. This indicates that QQQM's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
3.25%
QQQM
VTI