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

Key characteristics


SCCOQQQ
YTD Return21.40%25.63%
1Y Return41.02%33.85%
3Y Return (Ann)23.44%9.83%
5Y Return (Ann)27.67%21.21%
10Y Return (Ann)16.84%18.37%
Sharpe Ratio1.272.12
Sortino Ratio1.942.79
Omega Ratio1.231.38
Calmar Ratio1.852.71
Martin Ratio4.109.88
Ulcer Index11.93%3.72%
Daily Std Dev38.54%17.31%
Max Drawdown-78.57%-82.98%
Current Drawdown-19.98%-0.37%

Correlation

-0.50.00.51.00.4

The correlation between SCCO and QQQ is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SCCO vs. QQQ - Performance Comparison

In the year-to-date period, SCCO achieves a 21.40% return, which is significantly lower than QQQ's 25.63% return. Over the past 10 years, SCCO has underperformed QQQ with an annualized return of 16.84%, while QQQ has yielded a comparatively higher 18.37% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-15.83%
13.44%
SCCO
QQQ

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

SCCO vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Southern Copper Corporation (SCCO) 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.


SCCO
Sharpe ratio
The chart of Sharpe ratio for SCCO, currently valued at 1.27, compared to the broader market-4.00-2.000.002.004.001.27
Sortino ratio
The chart of Sortino ratio for SCCO, currently valued at 1.94, compared to the broader market-4.00-2.000.002.004.006.001.94
Omega ratio
The chart of Omega ratio for SCCO, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for SCCO, currently valued at 1.85, compared to the broader market0.002.004.006.001.85
Martin ratio
The chart of Martin ratio for SCCO, currently valued at 4.10, compared to the broader market0.0010.0020.0030.004.10
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.12, compared to the broader market-4.00-2.000.002.004.002.12
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.79, compared to the broader market-4.00-2.000.002.004.006.002.79
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.38, compared to the broader market0.501.001.502.001.38
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.71, compared to the broader market0.002.004.006.002.71
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.88, compared to the broader market0.0010.0020.0030.009.88

SCCO vs. QQQ - Sharpe Ratio Comparison

The current SCCO Sharpe Ratio is 1.27, which is lower than the QQQ Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of SCCO 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
1.27
2.12
SCCO
QQQ

Dividends

SCCO vs. QQQ - Dividend Comparison

SCCO's dividend yield for the trailing twelve months is around 2.07%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
SCCO
Southern Copper Corporation
2.07%4.67%5.82%5.20%2.32%4.83%4.57%1.25%0.56%1.31%1.64%2.38%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SCCO vs. QQQ - Drawdown Comparison

The maximum SCCO drawdown since its inception was -78.57%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SCCO and QQQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-19.98%
-0.37%
SCCO
QQQ

Volatility

SCCO vs. QQQ - Volatility Comparison

Southern Copper Corporation (SCCO) has a higher volatility of 9.65% compared to Invesco QQQ (QQQ) at 4.91%. This indicates that SCCO's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
9.65%
4.91%
SCCO
QQQ