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SBLGX vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SBLGX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ClearBridge Large Cap Growth Fund (SBLGX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.10%
11.65%
SBLGX
QQQ

Returns By Period

In the year-to-date period, SBLGX achieves a 29.20% return, which is significantly higher than QQQ's 23.84% return. Over the past 10 years, SBLGX has underperformed QQQ with an annualized return of 7.41%, while QQQ has yielded a comparatively higher 18.03% annualized return.


SBLGX

YTD

29.20%

1M

1.73%

6M

14.10%

1Y

22.75%

5Y (annualized)

6.12%

10Y (annualized)

7.41%

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


SBLGXQQQ
Sharpe Ratio1.351.78
Sortino Ratio1.742.37
Omega Ratio1.271.32
Calmar Ratio0.702.28
Martin Ratio6.988.27
Ulcer Index3.35%3.73%
Daily Std Dev17.29%17.37%
Max Drawdown-53.70%-82.98%
Current Drawdown-11.38%-1.78%

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SBLGX vs. QQQ - Expense Ratio Comparison

SBLGX has a 0.99% expense ratio, which is higher than QQQ's 0.20% expense ratio.


SBLGX
ClearBridge Large Cap Growth Fund
Expense ratio chart for SBLGX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
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%

Correlation

-0.50.00.51.00.9

The correlation between SBLGX 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.

Risk-Adjusted Performance

SBLGX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Large Cap Growth Fund (SBLGX) 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.


Sharpe ratio
The chart of Sharpe ratio for SBLGX, currently valued at 1.35, compared to the broader market-1.000.001.002.003.004.005.001.351.78
The chart of Sortino ratio for SBLGX, currently valued at 1.74, compared to the broader market0.005.0010.001.742.37
The chart of Omega ratio for SBLGX, currently valued at 1.27, compared to the broader market1.002.003.004.001.271.32
The chart of Calmar ratio for SBLGX, currently valued at 0.70, compared to the broader market0.005.0010.0015.0020.000.702.28
The chart of Martin ratio for SBLGX, currently valued at 6.98, compared to the broader market0.0020.0040.0060.0080.00100.006.988.27
SBLGX
QQQ

The current SBLGX Sharpe Ratio is 1.35, which is comparable to the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of SBLGX 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
1.35
1.78
SBLGX
QQQ

Dividends

SBLGX vs. QQQ - Dividend Comparison

SBLGX has not paid dividends to shareholders, while QQQ's dividend yield for the trailing twelve months is around 0.60%.


TTM20232022202120202019201820172016201520142013
SBLGX
ClearBridge Large Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.15%0.01%0.00%0.08%0.02%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SBLGX vs. QQQ - Drawdown Comparison

The maximum SBLGX drawdown since its inception was -53.70%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SBLGX and QQQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.38%
-1.78%
SBLGX
QQQ

Volatility

SBLGX vs. QQQ - Volatility Comparison

The current volatility for ClearBridge Large Cap Growth Fund (SBLGX) is 4.62%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that SBLGX 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
4.62%
5.41%
SBLGX
QQQ