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

Correlation

The correlation between ^IXIC and QQQ is 0.97, 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.


-0.50.00.51.01.0

Performance

^IXIC vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Composite (^IXIC) 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
9.32%
7.59%
^IXIC
QQQ

Key characteristics

Sharpe Ratio

^IXIC:

1.62

QQQ:

1.54

Sortino Ratio

^IXIC:

2.16

QQQ:

2.06

Omega Ratio

^IXIC:

1.29

QQQ:

1.28

Calmar Ratio

^IXIC:

2.22

QQQ:

2.03

Martin Ratio

^IXIC:

8.20

QQQ:

7.34

Ulcer Index

^IXIC:

3.55%

QQQ:

3.75%

Daily Std Dev

^IXIC:

17.97%

QQQ:

17.90%

Max Drawdown

^IXIC:

-77.93%

QQQ:

-82.98%

Current Drawdown

^IXIC:

-3.97%

QQQ:

-4.03%

Returns By Period

In the year-to-date period, ^IXIC achieves a 29.05% return, which is significantly higher than QQQ's 26.66% return. Over the past 10 years, ^IXIC has underperformed QQQ with an annualized return of 15.05%, while QQQ has yielded a comparatively higher 18.30% annualized return.


^IXIC

YTD

29.05%

1M

2.03%

6M

9.32%

1Y

31.09%

5Y*

16.81%

10Y*

15.05%

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

^IXIC vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) 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 ^IXIC, currently valued at 1.62, compared to the broader market-1.000.001.002.001.621.50
The chart of Sortino ratio for ^IXIC, currently valued at 2.16, compared to the broader market-1.000.001.002.003.002.162.02
The chart of Omega ratio for ^IXIC, currently valued at 1.29, compared to the broader market0.800.901.001.101.201.301.401.291.27
The chart of Calmar ratio for ^IXIC, currently valued at 2.22, compared to the broader market0.001.002.003.004.002.221.98
The chart of Martin ratio for ^IXIC, currently valued at 8.20, compared to the broader market0.005.0010.0015.008.207.15
^IXIC
QQQ

The current ^IXIC Sharpe Ratio is 1.62, which is comparable to the QQQ Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of ^IXIC 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 Ratio1.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.62
1.50
^IXIC
QQQ

Drawdowns

^IXIC vs. QQQ - Drawdown Comparison

The maximum ^IXIC drawdown since its inception was -77.93%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^IXIC 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
-3.97%
-4.03%
^IXIC
QQQ

Volatility

^IXIC vs. QQQ - Volatility Comparison

NASDAQ Composite (^IXIC) and Invesco QQQ (QQQ) have volatilities of 4.97% and 5.21%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.97%
5.21%
^IXIC
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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