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

Performance

QQQ vs. TIEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco QQQ (QQQ) and TIAA-CREF Equity Index Fund (TIEIX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.25%
13.51%
QQQ
TIEIX

Returns By Period

In the year-to-date period, QQQ achieves a 23.40% return, which is significantly lower than TIEIX's 24.77% return. Over the past 10 years, QQQ has outperformed TIEIX with an annualized return of 18.08%, while TIEIX has yielded a comparatively lower 12.65% annualized return.


QQQ

YTD

23.40%

1M

1.56%

6M

10.75%

1Y

30.41%

5Y (annualized)

20.90%

10Y (annualized)

18.08%

TIEIX

YTD

24.77%

1M

1.77%

6M

12.54%

1Y

32.60%

5Y (annualized)

14.99%

10Y (annualized)

12.65%

Key characteristics


QQQTIEIX
Sharpe Ratio1.712.47
Sortino Ratio2.293.19
Omega Ratio1.311.48
Calmar Ratio2.193.77
Martin Ratio7.9516.57
Ulcer Index3.73%1.94%
Daily Std Dev17.38%13.02%
Max Drawdown-82.98%-55.55%
Current Drawdown-2.13%-1.50%

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QQQ vs. TIEIX - Expense Ratio Comparison

QQQ has a 0.20% expense ratio, which is higher than TIEIX's 0.05% 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%.


QQQ
Invesco QQQ
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%
Expense ratio chart for TIEIX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.9

The correlation between QQQ and TIEIX is 0.88, 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.

Risk-Adjusted Performance

QQQ vs. TIEIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco QQQ (QQQ) and TIAA-CREF Equity Index Fund (TIEIX). 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 QQQ, currently valued at 1.71, compared to the broader market0.002.004.001.712.47
The chart of Sortino ratio for QQQ, currently valued at 2.29, compared to the broader market-2.000.002.004.006.008.0010.0012.002.293.19
The chart of Omega ratio for QQQ, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.311.48
The chart of Calmar ratio for QQQ, currently valued at 2.19, compared to the broader market0.005.0010.0015.002.193.77
The chart of Martin ratio for QQQ, currently valued at 7.95, compared to the broader market0.0020.0040.0060.0080.00100.007.9516.57
QQQ
TIEIX

The current QQQ Sharpe Ratio is 1.71, which is lower than the TIEIX Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of QQQ and TIEIX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.71
2.47
QQQ
TIEIX

Dividends

QQQ vs. TIEIX - Dividend Comparison

QQQ's dividend yield for the trailing twelve months is around 0.60%, less than TIEIX's 1.18% yield.


TTM20232022202120202019201820172016201520142013
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
TIEIX
TIAA-CREF Equity Index Fund
1.18%1.47%1.58%1.21%1.44%1.79%2.04%1.70%1.98%2.07%1.82%1.69%

Drawdowns

QQQ vs. TIEIX - Drawdown Comparison

The maximum QQQ drawdown since its inception was -82.98%, which is greater than TIEIX's maximum drawdown of -55.55%. Use the drawdown chart below to compare losses from any high point for QQQ and TIEIX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.13%
-1.50%
QQQ
TIEIX

Volatility

QQQ vs. TIEIX - Volatility Comparison

Invesco QQQ (QQQ) has a higher volatility of 5.66% compared to TIAA-CREF Equity Index Fund (TIEIX) at 4.24%. This indicates that QQQ's price experiences larger fluctuations and is considered to be riskier than TIEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.66%
4.24%
QQQ
TIEIX