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

Key characteristics


SMBQQQ
YTD Return2.38%26.09%
1Y Return4.50%39.88%
3Y Return (Ann)0.37%9.90%
5Y Return (Ann)1.01%21.46%
10Y Return (Ann)1.19%18.52%
Sharpe Ratio1.972.22
Sortino Ratio2.972.92
Omega Ratio1.391.40
Calmar Ratio1.082.86
Martin Ratio14.3010.44
Ulcer Index0.30%3.72%
Daily Std Dev2.16%17.47%
Max Drawdown-12.64%-82.98%
Current Drawdown-0.39%0.00%

Correlation

-0.50.00.51.00.0

The correlation between SMB and QQQ is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

SMB vs. QQQ - Performance Comparison

In the year-to-date period, SMB achieves a 2.38% return, which is significantly lower than QQQ's 26.09% return. Over the past 10 years, SMB has underperformed QQQ with an annualized return of 1.19%, while QQQ has yielded a comparatively higher 18.52% annualized 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%JuneJulyAugustSeptemberOctoberNovember
2.14%
16.65%
SMB
QQQ

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SMB vs. QQQ - Expense Ratio Comparison

Both SMB and QQQ have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SMB
VanEck Short Muni ETF
Expense ratio chart for SMB: 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%
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%

Risk-Adjusted Performance

SMB vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Short Muni ETF (SMB) 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.


SMB
Sharpe ratio
The chart of Sharpe ratio for SMB, currently valued at 1.97, compared to the broader market-2.000.002.004.001.97
Sortino ratio
The chart of Sortino ratio for SMB, currently valued at 2.97, compared to the broader market0.005.0010.002.97
Omega ratio
The chart of Omega ratio for SMB, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for SMB, currently valued at 1.08, compared to the broader market0.005.0010.0015.001.08
Martin ratio
The chart of Martin ratio for SMB, currently valued at 14.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.30
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.22, compared to the broader market-2.000.002.004.002.22
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.92, compared to the broader market0.005.0010.002.92
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.86, compared to the broader market0.005.0010.0015.002.86
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 10.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.44

SMB vs. QQQ - Sharpe Ratio Comparison

The current SMB Sharpe Ratio is 1.97, which is comparable to the QQQ Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of SMB 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.97
2.22
SMB
QQQ

Dividends

SMB vs. QQQ - Dividend Comparison

SMB's dividend yield for the trailing twelve months is around 2.30%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
SMB
VanEck Short Muni ETF
2.30%1.84%1.32%1.25%1.51%1.58%1.49%1.24%1.13%1.14%1.21%1.37%
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

SMB vs. QQQ - Drawdown Comparison

The maximum SMB drawdown since its inception was -12.64%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SMB and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.39%
0
SMB
QQQ

Volatility

SMB vs. QQQ - Volatility Comparison

The current volatility for VanEck Short Muni ETF (SMB) is 0.60%, while Invesco QQQ (QQQ) has a volatility of 5.17%. This indicates that SMB 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.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.60%
5.17%
SMB
QQQ