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

Key characteristics


VUGQQQ
YTD Return27.96%22.66%
1Y Return49.80%44.21%
3Y Return (Ann)8.74%9.77%
5Y Return (Ann)19.22%21.34%
10Y Return (Ann)15.61%18.30%
Sharpe Ratio3.132.67
Sortino Ratio3.943.42
Omega Ratio1.561.47
Calmar Ratio3.003.38
Martin Ratio15.9012.40
Ulcer Index3.26%3.70%
Daily Std Dev16.58%17.17%
Max Drawdown-50.68%-82.98%
Current Drawdown0.00%-0.42%

Correlation

-0.50.00.51.00.9

The correlation between VUG and QQQ is 0.95, 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.

Performance

VUG vs. QQQ - Performance Comparison

In the year-to-date period, VUG achieves a 27.96% return, which is significantly higher than QQQ's 22.66% return. Over the past 10 years, VUG has underperformed QQQ with an annualized return of 15.61%, while QQQ has yielded a comparatively higher 18.30% 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
20.44%
18.15%
VUG
QQQ

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VUG vs. QQQ - Expense Ratio Comparison

VUG has a 0.04% 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 VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VUG vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Growth ETF (VUG) 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.


VUG
Sharpe ratio
The chart of Sharpe ratio for VUG, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Sortino ratio
The chart of Sortino ratio for VUG, currently valued at 3.94, compared to the broader market0.005.0010.003.94
Omega ratio
The chart of Omega ratio for VUG, currently valued at 1.56, compared to the broader market1.001.502.002.503.003.501.56
Calmar ratio
The chart of Calmar ratio for VUG, currently valued at 3.00, compared to the broader market0.005.0010.0015.003.00
Martin ratio
The chart of Martin ratio for VUG, currently valued at 15.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.90
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.67, compared to the broader market-2.000.002.004.006.002.67
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 3.42, compared to the broader market0.005.0010.003.42
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.47, compared to the broader market1.001.502.002.503.003.501.47
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.38
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 12.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.40

VUG vs. QQQ - Sharpe Ratio Comparison

The current VUG Sharpe Ratio is 3.13, which is comparable to the QQQ Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of VUG 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.13
2.67
VUG
QQQ

Dividends

VUG vs. QQQ - Dividend Comparison

VUG's dividend yield for the trailing twelve months is around 0.50%, less than QQQ's 0.61% yield.


TTM20232022202120202019201820172016201520142013
VUG
Vanguard Growth ETF
0.50%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%
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

VUG vs. QQQ - Drawdown Comparison

The maximum VUG drawdown since its inception was -50.68%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for VUG 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%MayJuneJulyAugustSeptemberOctober0
-0.42%
VUG
QQQ

Volatility

VUG vs. QQQ - Volatility Comparison

The current volatility for Vanguard Growth ETF (VUG) is 3.65%, while Invesco QQQ (QQQ) has a volatility of 3.89%. This indicates that VUG 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%MayJuneJulyAugustSeptemberOctober
3.65%
3.89%
VUG
QQQ