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

Correlation

The correlation between ^DJI and QQQ is 0.74, 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.


-0.50.00.51.00.7

Performance

^DJI vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) 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%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
333.11%
1,087.64%
^DJI
QQQ

Key characteristics

Sharpe Ratio

^DJI:

1.19

QQQ:

1.54

Sortino Ratio

^DJI:

1.73

QQQ:

2.06

Omega Ratio

^DJI:

1.22

QQQ:

1.28

Calmar Ratio

^DJI:

2.22

QQQ:

2.03

Martin Ratio

^DJI:

6.50

QQQ:

7.34

Ulcer Index

^DJI:

2.07%

QQQ:

3.75%

Daily Std Dev

^DJI:

11.34%

QQQ:

17.90%

Max Drawdown

^DJI:

-53.78%

QQQ:

-82.98%

Current Drawdown

^DJI:

-5.97%

QQQ:

-4.03%

Returns By Period

In the year-to-date period, ^DJI achieves a 12.30% return, which is significantly lower than QQQ's 26.66% return. Over the past 10 years, ^DJI has underperformed QQQ with an annualized return of 9.07%, while QQQ has yielded a comparatively higher 18.30% annualized return.


^DJI

YTD

12.30%

1M

-2.45%

6M

8.99%

1Y

12.70%

5Y*

8.29%

10Y*

9.07%

QQQ

YTD

26.66%

1M

3.29%

6M

6.76%

1Y

26.84%

5Y*

20.38%

10Y*

18.30%

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Risk-Adjusted Performance

^DJI vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) 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 ^DJI, currently valued at 1.19, compared to the broader market-1.000.001.002.001.191.54
The chart of Sortino ratio for ^DJI, currently valued at 1.73, compared to the broader market-1.000.001.002.003.001.732.06
The chart of Omega ratio for ^DJI, currently valued at 1.22, compared to the broader market0.800.901.001.101.201.301.401.221.28
The chart of Calmar ratio for ^DJI, currently valued at 2.22, compared to the broader market0.001.002.003.004.002.222.03
The chart of Martin ratio for ^DJI, currently valued at 6.50, compared to the broader market0.005.0010.0015.006.507.34
^DJI
QQQ

The current ^DJI Sharpe Ratio is 1.19, which is comparable to the QQQ Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of ^DJI 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.19
1.54
^DJI
QQQ

Drawdowns

^DJI vs. QQQ - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^DJI 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
-5.97%
-4.03%
^DJI
QQQ

Volatility

^DJI vs. QQQ - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 3.60%, while Invesco QQQ (QQQ) has a volatility of 5.23%. This indicates that ^DJI 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.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
5.23%
^DJI
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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