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

Correlation

The correlation between TAIL and QQQ is -0.60. 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.


-0.50.00.51.0-0.6

Performance

TAIL vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
-3.46%
6.61%
TAIL
QQQ

Key characteristics

Sharpe Ratio

TAIL:

-0.24

QQQ:

0.83

Sortino Ratio

TAIL:

-0.28

QQQ:

1.19

Omega Ratio

TAIL:

0.97

QQQ:

1.16

Calmar Ratio

TAIL:

-0.06

QQQ:

1.13

Martin Ratio

TAIL:

-0.32

QQQ:

3.84

Ulcer Index

TAIL:

8.96%

QQQ:

3.98%

Daily Std Dev

TAIL:

12.13%

QQQ:

18.44%

Max Drawdown

TAIL:

-52.37%

QQQ:

-82.98%

Current Drawdown

TAIL:

-49.88%

QQQ:

-7.27%

Returns By Period

In the year-to-date period, TAIL achieves a 2.41% return, which is significantly higher than QQQ's -2.14% return.


TAIL

YTD

2.41%

1M

4.06%

6M

-3.45%

1Y

-2.98%

5Y*

-10.20%

10Y*

N/A

QQQ

YTD

-2.14%

1M

-4.13%

6M

6.61%

1Y

15.62%

5Y*

20.28%

10Y*

17.39%

*Annualized

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TAIL vs. QQQ - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than QQQ's 0.20% expense ratio.


Expense ratio chart for TAIL: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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

TAIL vs. QQQ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TAIL
The Risk-Adjusted Performance Rank of TAIL is 66
Overall Rank
The Sharpe Ratio Rank of TAIL is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of TAIL is 44
Sortino Ratio Rank
The Omega Ratio Rank of TAIL is 44
Omega Ratio Rank
The Calmar Ratio Rank of TAIL is 77
Calmar Ratio Rank
The Martin Ratio Rank of TAIL is 66
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 3939
Overall Rank
The Sharpe Ratio Rank of QQQ is 3535
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 3333
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 3535
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 4848
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 4444
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

TAIL vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.


The chart of Sharpe ratio for TAIL, currently valued at -0.24, compared to the broader market0.002.004.00-0.240.83
The chart of Sortino ratio for TAIL, currently valued at -0.28, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.281.19
The chart of Omega ratio for TAIL, currently valued at 0.97, compared to the broader market0.501.001.502.002.503.000.971.16
The chart of Calmar ratio for TAIL, currently valued at -0.06, compared to the broader market0.005.0010.0015.00-0.061.13
The chart of Martin ratio for TAIL, currently valued at -0.32, compared to the broader market0.0020.0040.0060.0080.00100.00-0.323.84
TAIL
QQQ

The current TAIL Sharpe Ratio is -0.24, which is lower than the QQQ Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of TAIL 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-1.000.001.002.003.00SeptemberOctoberNovemberDecember2025February
-0.24
0.83
TAIL
QQQ

Dividends

TAIL vs. QQQ - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.39%, more than QQQ's 0.57% yield.


TTM20242023202220212020201920182017201620152014
TAIL
Cambria Tail Risk ETF
3.39%3.47%3.73%1.50%0.49%0.36%1.58%1.52%0.91%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.57%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%

Drawdowns

TAIL vs. QQQ - Drawdown Comparison

The maximum TAIL drawdown since its inception was -52.37%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for TAIL and QQQ. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2025February
-49.88%
-7.27%
TAIL
QQQ

Volatility

TAIL vs. QQQ - Volatility Comparison

The current volatility for Cambria Tail Risk ETF (TAIL) is 2.56%, while Invesco QQQ (QQQ) has a volatility of 4.91%. This indicates that TAIL 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%SeptemberOctoberNovemberDecember2025February
2.56%
4.91%
TAIL
QQQ