FTEC vs QQQ: returns, Sharpe ratio and drawdown
Performance
FTEC+24.98%QQQ+16.07%
Summary
FTEC vs QQQ
Over the past year, FTEC returned +24.98% against +16.07% for QQQ. Over five years, FTEC averaged +17.31% a year, compared with +13.04% for QQQ. FTEC had the higher Sharpe ratio over the past year (0.85 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -16.45% for FTEC.
Current Drawdown
FTEC-8.55%QQQ-6.56%
Rolling Volatility
FTEC+1.28%QQQ+1.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FTECQQQ
Alpha
FTEC
5.34%
QQQ
-0.85%
Beta
FTEC
1.70x
QQQ
1.44x
Sharpe
FTEC
0.85
QQQ
0.63
Sortino
FTEC
1.24
QQQ
0.92
Omega
FTEC
1.15
QQQ
1.11
Calmar
FTEC
1.52
QQQ
1.32
Martin
FTEC
3.32
QQQ
3.04
Comparisons