PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
UC04.L vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


UC04.LQQQ
YTD Return20.35%21.49%
1Y Return32.71%44.45%
3Y Return (Ann)10.84%9.43%
5Y Return (Ann)15.35%21.11%
10Y Return (Ann)15.23%18.20%
Sharpe Ratio2.992.63
Sortino Ratio4.053.38
Omega Ratio1.571.47
Calmar Ratio5.133.33
Martin Ratio20.2512.21
Ulcer Index1.65%3.70%
Daily Std Dev11.18%17.18%
Max Drawdown-25.93%-82.98%
Current Drawdown-0.28%-1.36%

Correlation

-0.50.00.51.00.5

The correlation between UC04.L and QQQ is 0.53, 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.

Performance

UC04.L vs. QQQ - Performance Comparison

In the year-to-date period, UC04.L achieves a 20.35% return, which is significantly lower than QQQ's 21.49% return. Over the past 10 years, UC04.L has underperformed QQQ with an annualized return of 15.23%, while QQQ has yielded a comparatively higher 18.20% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
15.80%
17.03%
UC04.L
QQQ

Compare stocks, funds, or ETFs

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


UC04.L vs. QQQ - Expense Ratio Comparison

UC04.L has a 0.14% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, 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 UC04.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

UC04.L vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis (UC04.L) 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.


UC04.L
Sharpe ratio
The chart of Sharpe ratio for UC04.L, currently valued at 3.09, compared to the broader market-2.000.002.004.006.003.09
Sortino ratio
The chart of Sortino ratio for UC04.L, currently valued at 4.21, compared to the broader market0.005.0010.004.21
Omega ratio
The chart of Omega ratio for UC04.L, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for UC04.L, currently valued at 4.08, compared to the broader market0.005.0010.0015.004.08
Martin ratio
The chart of Martin ratio for UC04.L, currently valued at 19.17, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.17
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 2.79, compared to the broader market0.005.0010.002.79
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 2.63, compared to the broader market0.005.0010.0015.002.63
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.60

UC04.L vs. QQQ - Sharpe Ratio Comparison

The current UC04.L Sharpe Ratio is 2.99, which is comparable to the QQQ Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of UC04.L 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.09
2.11
UC04.L
QQQ

Dividends

UC04.L vs. QQQ - Dividend Comparison

UC04.L's dividend yield for the trailing twelve months is around 1.01%, more than QQQ's 0.61% yield.


TTM20232022202120202019201820172016201520142013
UC04.L
UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis
1.01%1.12%1.19%0.89%1.28%1.40%1.50%1.32%1.52%1.44%1.25%1.41%
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%1.01%

Drawdowns

UC04.L vs. QQQ - Drawdown Comparison

The maximum UC04.L drawdown since its inception was -25.93%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for UC04.L 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%MayJuneJulyAugustSeptemberOctober
-0.67%
-1.36%
UC04.L
QQQ

Volatility

UC04.L vs. QQQ - Volatility Comparison

The current volatility for UBS ETF (IE) MSCI USA UCITS ETF (USD) A-dis (UC04.L) is 1.92%, while Invesco QQQ (QQQ) has a volatility of 3.80%. This indicates that UC04.L 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%MayJuneJulyAugustSeptemberOctober
1.92%
3.80%
UC04.L
QQQ