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XQQ.TO vs. XSP.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XQQ.TOXSP.TO
YTD Return24.88%25.93%
1Y Return37.82%37.88%
3Y Return (Ann)7.02%8.79%
5Y Return (Ann)18.92%14.32%
10Y Return (Ann)16.68%11.98%
Sharpe Ratio2.103.04
Sortino Ratio2.824.14
Omega Ratio1.381.57
Calmar Ratio0.374.12
Martin Ratio9.8320.37
Ulcer Index3.74%1.81%
Daily Std Dev17.48%12.12%
Max Drawdown-100.00%-57.82%
Current Drawdown-99.99%0.00%

Correlation

-0.50.00.51.00.9

The correlation between XQQ.TO and XSP.TO 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.

Performance

XQQ.TO vs. XSP.TO - Performance Comparison

The year-to-date returns for both investments are quite close, with XQQ.TO having a 24.88% return and XSP.TO slightly higher at 25.93%. Over the past 10 years, XQQ.TO has outperformed XSP.TO with an annualized return of 16.68%, while XSP.TO has yielded a comparatively lower 11.98% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
12.78%
XQQ.TO
XSP.TO

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XQQ.TO vs. XSP.TO - Expense Ratio Comparison

XQQ.TO has a 0.39% expense ratio, which is higher than XSP.TO's 0.09% expense ratio.


XQQ.TO
iShares NASDAQ 100 Index ETF (CAD-Hedged)
Expense ratio chart for XQQ.TO: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for XSP.TO: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

XQQ.TO vs. XSP.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares NASDAQ 100 Index ETF (CAD-Hedged) (XQQ.TO) and iShares Core S&P 500 Index ETF (CAD-Hedged) (XSP.TO). 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.


XQQ.TO
Sharpe ratio
The chart of Sharpe ratio for XQQ.TO, currently valued at 1.84, compared to the broader market-2.000.002.004.001.84
Sortino ratio
The chart of Sortino ratio for XQQ.TO, currently valued at 2.49, compared to the broader market-2.000.002.004.006.008.0010.0012.002.49
Omega ratio
The chart of Omega ratio for XQQ.TO, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for XQQ.TO, currently valued at 0.36, compared to the broader market0.005.0010.0015.000.36
Martin ratio
The chart of Martin ratio for XQQ.TO, currently valued at 8.57, compared to the broader market0.0020.0040.0060.0080.00100.008.57
XSP.TO
Sharpe ratio
The chart of Sharpe ratio for XSP.TO, currently valued at 2.45, compared to the broader market-2.000.002.004.002.45
Sortino ratio
The chart of Sortino ratio for XSP.TO, currently valued at 3.33, compared to the broader market-2.000.002.004.006.008.0010.0012.003.33
Omega ratio
The chart of Omega ratio for XSP.TO, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for XSP.TO, currently valued at 2.18, compared to the broader market0.005.0010.0015.002.18
Martin ratio
The chart of Martin ratio for XSP.TO, currently valued at 15.52, compared to the broader market0.0020.0040.0060.0080.00100.0015.52

XQQ.TO vs. XSP.TO - Sharpe Ratio Comparison

The current XQQ.TO Sharpe Ratio is 2.10, which is lower than the XSP.TO Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of XQQ.TO and XSP.TO, 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
1.84
2.45
XQQ.TO
XSP.TO

Dividends

XQQ.TO vs. XSP.TO - Dividend Comparison

XQQ.TO's dividend yield for the trailing twelve months is around 0.30%, less than XSP.TO's 0.99% yield.


TTM20232022202120202019201820172016201520142013
XQQ.TO
iShares NASDAQ 100 Index ETF (CAD-Hedged)
0.30%0.31%0.43%0.17%0.26%0.46%0.52%0.53%0.76%0.62%1.30%1.10%
XSP.TO
iShares Core S&P 500 Index ETF (CAD-Hedged)
0.99%1.18%1.37%1.00%1.31%1.73%1.84%1.47%1.75%1.86%1.54%1.46%

Drawdowns

XQQ.TO vs. XSP.TO - Drawdown Comparison

The maximum XQQ.TO drawdown since its inception was -100.00%, which is greater than XSP.TO's maximum drawdown of -57.82%. Use the drawdown chart below to compare losses from any high point for XQQ.TO and XSP.TO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
0
XQQ.TO
XSP.TO

Volatility

XQQ.TO vs. XSP.TO - Volatility Comparison

iShares NASDAQ 100 Index ETF (CAD-Hedged) (XQQ.TO) has a higher volatility of 5.15% compared to iShares Core S&P 500 Index ETF (CAD-Hedged) (XSP.TO) at 4.05%. This indicates that XQQ.TO's price experiences larger fluctuations and is considered to be riskier than XSP.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.15%
4.05%
XQQ.TO
XSP.TO