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

Key characteristics


SQQQQQQ
YTD Return-50.78%25.79%
1Y Return-61.24%36.91%
3Y Return (Ann)-39.55%9.89%
5Y Return (Ann)-59.81%21.42%
10Y Return (Ann)-52.50%18.39%
Sharpe Ratio-1.172.11
Sortino Ratio-2.122.78
Omega Ratio0.771.38
Calmar Ratio-0.612.69
Martin Ratio-1.499.81
Ulcer Index40.86%3.72%
Daily Std Dev51.94%17.32%
Max Drawdown-100.00%-82.98%
Current Drawdown-100.00%-0.24%

Correlation

-0.50.00.51.0-1.0

The correlation between SQQQ and QQQ is -0.97. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

SQQQ vs. QQQ - Performance Comparison

In the year-to-date period, SQQQ achieves a -50.78% return, which is significantly lower than QQQ's 25.79% return. Over the past 10 years, SQQQ has underperformed QQQ with an annualized return of -52.50%, while QQQ has yielded a comparatively higher 18.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
13.59%
SQQQ
QQQ

Compare stocks, funds, or ETFs

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


SQQQ vs. QQQ - Expense Ratio Comparison

SQQQ has a 0.95% expense ratio, which is higher than QQQ's 0.20% expense ratio.


SQQQ
ProShares UltraPro Short QQQ
Expense ratio chart for SQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
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

SQQQ vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short QQQ (SQQQ) 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.


SQQQ
Sharpe ratio
The chart of Sharpe ratio for SQQQ, currently valued at -1.17, compared to the broader market-2.000.002.004.006.00-1.17
Sortino ratio
The chart of Sortino ratio for SQQQ, currently valued at -2.12, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.12
Omega ratio
The chart of Omega ratio for SQQQ, currently valued at 0.77, compared to the broader market1.001.502.002.503.000.77
Calmar ratio
The chart of Calmar ratio for SQQQ, currently valued at -0.61, compared to the broader market0.005.0010.0015.00-0.61
Martin ratio
The chart of Martin ratio for SQQQ, currently valued at -1.49, compared to the broader market0.0020.0040.0060.0080.00100.00-1.49
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.11, compared to the broader market-2.000.002.004.006.002.11
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.0012.002.78
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.69, compared to the broader market0.005.0010.0015.002.69
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.81, compared to the broader market0.0020.0040.0060.0080.00100.009.81

SQQQ vs. QQQ - Sharpe Ratio Comparison

The current SQQQ Sharpe Ratio is -1.17, which is lower than the QQQ Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of SQQQ 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-1.17
2.11
SQQQ
QQQ

Dividends

SQQQ vs. QQQ - Dividend Comparison

SQQQ's dividend yield for the trailing twelve months is around 10.00%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
SQQQ
ProShares UltraPro Short QQQ
10.00%8.01%0.06%0.00%2.15%2.92%1.47%0.14%0.00%0.00%0.00%0.00%
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

SQQQ vs. QQQ - Drawdown Comparison

The maximum SQQQ drawdown since its inception was -100.00%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SQQQ and QQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-0.24%
SQQQ
QQQ

Volatility

SQQQ vs. QQQ - Volatility Comparison

ProShares UltraPro Short QQQ (SQQQ) has a higher volatility of 15.44% compared to Invesco QQQ (QQQ) at 5.14%. This indicates that SQQQ'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.


5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
15.44%
5.14%
SQQQ
QQQ