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^BSESN vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^BSESN and QQQ is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

^BSESN vs. QQQ - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
216.94%
943.64%
^BSESN
QQQ

Key characteristics

Sharpe Ratio

^BSESN:

0.66

QQQ:

1.64

Sortino Ratio

^BSESN:

0.97

QQQ:

2.19

Omega Ratio

^BSESN:

1.14

QQQ:

1.30

Calmar Ratio

^BSESN:

0.91

QQQ:

2.16

Martin Ratio

^BSESN:

2.66

QQQ:

7.79

Ulcer Index

^BSESN:

3.48%

QQQ:

3.76%

Daily Std Dev

^BSESN:

13.90%

QQQ:

17.85%

Max Drawdown

^BSESN:

-60.91%

QQQ:

-82.98%

Current Drawdown

^BSESN:

-9.08%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, ^BSESN achieves a 8.03% return, which is significantly lower than QQQ's 27.20% return. Over the past 10 years, ^BSESN has underperformed QQQ with an annualized return of 11.18%, while QQQ has yielded a comparatively higher 18.36% annualized return.


^BSESN

YTD

8.03%

1M

0.60%

6M

1.08%

1Y

10.13%

5Y*

13.51%

10Y*

11.18%

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.


Risk-Adjusted Performance

^BSESN vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P BSE SENSEX (^BSESN) 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 ^BSESN, currently valued at 0.44, compared to the broader market0.001.002.000.441.77
The chart of Sortino ratio for ^BSESN, currently valued at 0.69, compared to the broader market-1.000.001.002.003.000.692.34
The chart of Omega ratio for ^BSESN, currently valued at 1.10, compared to the broader market0.901.001.101.201.301.401.101.33
The chart of Calmar ratio for ^BSESN, currently valued at 0.56, compared to the broader market0.001.002.003.000.562.31
The chart of Martin ratio for ^BSESN, currently valued at 1.60, compared to the broader market0.005.0010.0015.0020.001.608.33
^BSESN
QQQ

The current ^BSESN Sharpe Ratio is 0.66, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of ^BSESN 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
0.44
1.77
^BSESN
QQQ

Drawdowns

^BSESN vs. QQQ - Drawdown Comparison

The maximum ^BSESN drawdown since its inception was -60.91%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^BSESN 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%JulyAugustSeptemberOctoberNovemberDecember
-10.60%
-3.63%
^BSESN
QQQ

Volatility

^BSESN vs. QQQ - Volatility Comparison

S&P BSE SENSEX (^BSESN) and Invesco QQQ (QQQ) have volatilities of 5.25% and 5.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.25%
5.29%
^BSESN
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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