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

Correlation

The correlation between XRT and QQQ is 0.65, 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.


-0.50.00.51.00.7

Performance

XRT vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Retail ETF (XRT) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.97%
9.59%
XRT
QQQ

Key characteristics

Sharpe Ratio

XRT:

0.75

QQQ:

1.64

Sortino Ratio

XRT:

1.23

QQQ:

2.19

Omega Ratio

XRT:

1.14

QQQ:

1.30

Calmar Ratio

XRT:

0.50

QQQ:

2.16

Martin Ratio

XRT:

3.49

QQQ:

7.79

Ulcer Index

XRT:

4.47%

QQQ:

3.76%

Daily Std Dev

XRT:

20.72%

QQQ:

17.85%

Max Drawdown

XRT:

-65.82%

QQQ:

-82.98%

Current Drawdown

XRT:

-17.57%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, XRT achieves a 13.24% return, which is significantly lower than QQQ's 27.20% return. Over the past 10 years, XRT has underperformed QQQ with an annualized return of 7.07%, while QQQ has yielded a comparatively higher 18.36% annualized return.


XRT

YTD

13.24%

1M

2.89%

6M

7.89%

1Y

13.68%

5Y*

14.01%

10Y*

7.07%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

Compare stocks, funds, or ETFs

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


XRT vs. QQQ - Expense Ratio Comparison

XRT has a 0.35% expense ratio, which is higher than QQQ's 0.20% expense ratio.


XRT
SPDR S&P Retail ETF
Expense ratio chart for XRT: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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%

Risk-Adjusted Performance

XRT vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Retail ETF (XRT) 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 XRT, currently valued at 0.75, compared to the broader market0.002.004.000.751.64
The chart of Sortino ratio for XRT, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.0010.001.232.19
The chart of Omega ratio for XRT, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.30
The chart of Calmar ratio for XRT, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.502.16
The chart of Martin ratio for XRT, currently valued at 3.49, compared to the broader market0.0020.0040.0060.0080.00100.003.497.79
XRT
QQQ

The current XRT Sharpe Ratio is 0.75, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of XRT 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.75
1.64
XRT
QQQ

Dividends

XRT vs. QQQ - Dividend Comparison

XRT's dividend yield for the trailing twelve months is around 0.80%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
XRT
SPDR S&P Retail ETF
0.80%1.40%2.15%1.55%1.01%1.57%1.51%1.52%1.36%1.29%0.74%0.60%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

XRT vs. QQQ - Drawdown Comparison

The maximum XRT drawdown since its inception was -65.82%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for XRT and QQQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.57%
-3.63%
XRT
QQQ

Volatility

XRT vs. QQQ - Volatility Comparison

SPDR S&P Retail ETF (XRT) has a higher volatility of 6.71% compared to Invesco QQQ (QQQ) at 5.29%. This indicates that XRT's price experiences larger fluctuations and is considered to be riskier 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%JulyAugustSeptemberOctoberNovemberDecember
6.71%
5.29%
XRT
QQQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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