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

Correlation

The correlation between SPXN and QQQ is 0.77, 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.


-0.50.00.51.00.8

Performance

SPXN vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares S&P 500 Ex-Financials ETF (SPXN) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
267.72%
433.76%
SPXN
QQQ

Key characteristics

Sharpe Ratio

SPXN:

1.95

QQQ:

1.54

Sortino Ratio

SPXN:

2.61

QQQ:

2.06

Omega Ratio

SPXN:

1.35

QQQ:

1.28

Calmar Ratio

SPXN:

2.79

QQQ:

2.03

Martin Ratio

SPXN:

12.11

QQQ:

7.34

Ulcer Index

SPXN:

2.12%

QQQ:

3.75%

Daily Std Dev

SPXN:

13.20%

QQQ:

17.90%

Max Drawdown

SPXN:

-32.10%

QQQ:

-82.98%

Current Drawdown

SPXN:

-2.98%

QQQ:

-4.03%

Returns By Period

In the year-to-date period, SPXN achieves a 24.86% return, which is significantly lower than QQQ's 26.66% return.


SPXN

YTD

24.86%

1M

0.99%

6M

6.64%

1Y

25.10%

5Y*

15.23%

10Y*

N/A

QQQ

YTD

26.66%

1M

3.29%

6M

6.76%

1Y

26.84%

5Y*

20.38%

10Y*

18.30%

Compare stocks, funds, or ETFs

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


SPXN vs. QQQ - Expense Ratio Comparison

SPXN has a 0.27% expense ratio, which is higher than QQQ's 0.20% 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%.


SPXN
ProShares S&P 500 Ex-Financials ETF
Expense ratio chart for SPXN: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
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

SPXN vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares S&P 500 Ex-Financials ETF (SPXN) 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 SPXN, currently valued at 1.95, compared to the broader market0.002.004.001.951.54
The chart of Sortino ratio for SPXN, currently valued at 2.61, compared to the broader market-2.000.002.004.006.008.0010.002.612.06
The chart of Omega ratio for SPXN, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.28
The chart of Calmar ratio for SPXN, currently valued at 2.79, compared to the broader market0.005.0010.0015.002.792.03
The chart of Martin ratio for SPXN, currently valued at 12.11, compared to the broader market0.0020.0040.0060.0080.00100.0012.117.34
SPXN
QQQ

The current SPXN Sharpe Ratio is 1.95, which is comparable to the QQQ Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of SPXN 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.95
1.54
SPXN
QQQ

Dividends

SPXN vs. QQQ - Dividend Comparison

SPXN's dividend yield for the trailing twelve months is around 1.11%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
SPXN
ProShares S&P 500 Ex-Financials ETF
1.11%1.19%1.35%0.94%1.09%1.41%1.76%1.54%2.60%0.52%0.00%0.00%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SPXN vs. QQQ - Drawdown Comparison

The maximum SPXN drawdown since its inception was -32.10%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SPXN 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%JulyAugustSeptemberOctoberNovemberDecember
-2.98%
-4.03%
SPXN
QQQ

Volatility

SPXN vs. QQQ - Volatility Comparison

The current volatility for ProShares S&P 500 Ex-Financials ETF (SPXN) is 3.52%, while Invesco QQQ (QQQ) has a volatility of 5.23%. This indicates that SPXN 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%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.52%
5.23%
SPXN
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab