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

Correlation

The correlation between ^UTY and QQQ is 0.31, 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.


-0.50.00.51.00.3

Performance

^UTY vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PHLX Utility Sector Index (^UTY) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
3.82%
13.96%
^UTY
QQQ

Key characteristics

Sharpe Ratio

^UTY:

1.83

QQQ:

1.37

Sortino Ratio

^UTY:

2.51

QQQ:

1.86

Omega Ratio

^UTY:

1.31

QQQ:

1.25

Calmar Ratio

^UTY:

1.17

QQQ:

1.84

Martin Ratio

^UTY:

6.47

QQQ:

6.35

Ulcer Index

^UTY:

4.38%

QQQ:

3.92%

Daily Std Dev

^UTY:

15.53%

QQQ:

18.24%

Max Drawdown

^UTY:

-48.16%

QQQ:

-82.98%

Current Drawdown

^UTY:

-4.62%

QQQ:

0.00%

Returns By Period

In the year-to-date period, ^UTY achieves a 6.11% return, which is significantly higher than QQQ's 5.53% return. Over the past 10 years, ^UTY has underperformed QQQ with an annualized return of 5.58%, while QQQ has yielded a comparatively higher 18.38% annualized return.


^UTY

YTD

6.11%

1M

1.67%

6M

3.54%

1Y

28.87%

5Y*

2.12%

10Y*

5.58%

QQQ

YTD

5.53%

1M

3.41%

6M

12.16%

1Y

27.01%

5Y*

19.41%

10Y*

18.38%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^UTY vs. QQQ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^UTY
The Risk-Adjusted Performance Rank of ^UTY is 7373
Overall Rank
The Sharpe Ratio Rank of ^UTY is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of ^UTY is 8686
Sortino Ratio Rank
The Omega Ratio Rank of ^UTY is 7777
Omega Ratio Rank
The Calmar Ratio Rank of ^UTY is 5454
Calmar Ratio Rank
The Martin Ratio Rank of ^UTY is 6565
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 5656
Overall Rank
The Sharpe Ratio Rank of QQQ is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 5252
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 5656
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 6060
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 5757
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^UTY vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PHLX Utility Sector Index (^UTY) 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 ^UTY, currently valued at 1.83, compared to the broader market-0.500.000.501.001.502.002.501.831.37
The chart of Sortino ratio for ^UTY, currently valued at 2.51, compared to the broader market0.001.002.003.002.511.86
The chart of Omega ratio for ^UTY, currently valued at 1.31, compared to the broader market1.001.201.401.601.311.25
The chart of Calmar ratio for ^UTY, currently valued at 1.17, compared to the broader market0.001.002.003.004.001.171.84
The chart of Martin ratio for ^UTY, currently valued at 6.47, compared to the broader market0.005.0010.0015.0020.006.476.35
^UTY
QQQ

The current ^UTY Sharpe Ratio is 1.83, which is higher than the QQQ Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of ^UTY 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 Ratio1.001.502.002.50SeptemberOctoberNovemberDecember2025February
1.83
1.37
^UTY
QQQ

Drawdowns

^UTY vs. QQQ - Drawdown Comparison

The maximum ^UTY drawdown since its inception was -48.16%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^UTY and QQQ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-4.62%
0
^UTY
QQQ

Volatility

^UTY vs. QQQ - Volatility Comparison

PHLX Utility Sector Index (^UTY) and Invesco QQQ (QQQ) have volatilities of 4.59% and 4.69%, 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%3.00%4.00%5.00%6.00%7.00%8.00%SeptemberOctoberNovemberDecember2025February
4.59%
4.69%
^UTY
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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