TDG vs. QQQ
Compare and contrast key facts about TransDigm Group Incorporated (TDG) and Invesco QQQ (QQQ).
QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TDG or QQQ.
Performance
TDG vs. QQQ - Performance Comparison
Returns By Period
In the year-to-date period, TDG achieves a 30.90% return, which is significantly higher than QQQ's 21.78% return. Over the past 10 years, TDG has outperformed QQQ with an annualized return of 25.65%, while QQQ has yielded a comparatively lower 17.95% annualized return.
TDG
30.90%
-9.39%
2.49%
39.10%
21.72%
25.65%
QQQ
21.78%
1.15%
10.25%
29.54%
20.42%
17.95%
Key characteristics
| TDG | QQQ | |
|---|---|---|
| Sharpe Ratio | 1.69 | 1.70 |
| Sortino Ratio | 2.17 | 2.29 |
| Omega Ratio | 1.29 | 1.31 |
| Calmar Ratio | 3.24 | 2.19 |
| Martin Ratio | 9.86 | 7.96 |
| Ulcer Index | 3.86% | 3.72% |
| Daily Std Dev | 22.49% | 17.39% |
| Max Drawdown | -62.64% | -82.98% |
| Current Drawdown | -11.16% | -3.42% |
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Correlation
The correlation between TDG and QQQ is 0.51, 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.
Risk-Adjusted Performance
TDG vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for TransDigm Group Incorporated (TDG) 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.
Dividends
TDG vs. QQQ - Dividend Comparison
TDG's dividend yield for the trailing twelve months is around 8.77%, more than QQQ's 0.61% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TDG TransDigm Group Incorporated | 5.98% | 3.46% | 2.94% | 0.00% | 0.00% | 11.16% | 0.00% | 8.01% | 9.64% | 0.00% | 12.73% | 13.66% |
QQQ Invesco QQQ | 0.61% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
TDG vs. QQQ - Drawdown Comparison
The maximum TDG drawdown since its inception was -62.64%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for TDG and QQQ. For additional features, visit the drawdowns tool.
Volatility
TDG vs. QQQ - Volatility Comparison
TransDigm Group Incorporated (TDG) has a higher volatility of 10.10% compared to Invesco QQQ (QQQ) at 5.62%. This indicates that TDG'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.