FEPI vs QQQI: returns, Sharpe ratio and drawdown
Performance
FEPI+2.18%QQQI+7.49%
Summary
FEPI vs QQQI
Over the past year, QQQI returned +7.49% against +2.18% for FEPI. QQQI had the higher Sharpe ratio over the past year (0.25 vs -0.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.61% for QQQI and -14.96% for FEPI. Dividends over the past year came to 26.68% of FEPI's price, against 14.77% for QQQI.
Current Drawdown
FEPI-10.20%QQQI-7.74%
Rolling Volatility
FEPI+1.73%QQQI+1.26%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FEPIQQQI
Alpha
FEPI
-11.11%
QQQI
-5.76%
Beta
FEPI
1.36x
QQQI
1.25x
Sharpe
FEPI
-0.01
QQQI
0.25
Sortino
FEPI
-0.01
QQQI
0.34
Omega
FEPI
1.00
QQQI
1.04
Calmar
FEPI
0.15
QQQI
0.78
Martin
FEPI
-0.03
QQQI
1.42
Comparisons