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

Performance

USXF vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI USA ETF (USXF) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.55%
11.65%
USXF
QQQ

Returns By Period

In the year-to-date period, USXF achieves a 31.18% return, which is significantly higher than QQQ's 23.84% return.


USXF

YTD

31.18%

1M

2.51%

6M

15.55%

1Y

40.38%

5Y (annualized)

N/A

10Y (annualized)

N/A

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


USXFQQQ
Sharpe Ratio2.501.78
Sortino Ratio3.342.37
Omega Ratio1.441.32
Calmar Ratio4.012.28
Martin Ratio15.528.27
Ulcer Index2.63%3.73%
Daily Std Dev16.33%17.37%
Max Drawdown-29.54%-82.98%
Current Drawdown-0.77%-1.78%

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USXF vs. QQQ - Expense Ratio Comparison

USXF has a 0.10% 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 USXF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.9

The correlation between USXF and QQQ is 0.89, 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

USXF vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI USA ETF (USXF) 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.


Sharpe ratio
The chart of Sharpe ratio for USXF, currently valued at 2.50, compared to the broader market0.002.004.002.501.78
The chart of Sortino ratio for USXF, currently valued at 3.34, compared to the broader market-2.000.002.004.006.008.0010.003.342.37
The chart of Omega ratio for USXF, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.32
The chart of Calmar ratio for USXF, currently valued at 4.01, compared to the broader market0.005.0010.0015.004.012.28
The chart of Martin ratio for USXF, currently valued at 15.52, compared to the broader market0.0020.0040.0060.0080.00100.0015.528.27
USXF
QQQ

The current USXF Sharpe Ratio is 2.50, which is higher than the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of USXF 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.50
1.78
USXF
QQQ

Dividends

USXF vs. QQQ - Dividend Comparison

USXF's dividend yield for the trailing twelve months is around 0.96%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
USXF
iShares ESG Advanced MSCI USA ETF
0.96%1.21%1.39%0.85%0.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%

Drawdowns

USXF vs. QQQ - Drawdown Comparison

The maximum USXF drawdown since its inception was -29.54%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for USXF 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%JuneJulyAugustSeptemberOctoberNovember
-0.77%
-1.78%
USXF
QQQ

Volatility

USXF vs. QQQ - Volatility Comparison

The current volatility for iShares ESG Advanced MSCI USA ETF (USXF) is 4.56%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that USXF 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.56%
5.41%
USXF
QQQ