CQQQ vs QQQ: returns, Sharpe ratio and drawdown

Over the past year, QQQ returned +11.94% against -26.02% for CQQQ. Over five years, QQQ averaged +11.89% a year, compared with -9.60% for CQQQ. QQQ had the higher Sharpe ratio over the past year (0.46 vs -0.95), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.82% for QQQ and -35.85% for CQQQ. Dividends over the past year came to 2.82% of CQQQ's price, against 0.46% for QQQ. Their daily returns had a correlation of 0.58 over the past year, which is moderate.

CQQQ charges 0.65% a year and QQQ 0.18%. Over five years, reinvested dividends added 0.55 points a year to CQQQ's return and 0.67 to QQQ's.