IOO vs QQQ: returns, Sharpe ratio and drawdown

Over the past year, IOO returned +14.78% against +11.94% for QQQ. Over five years, IOO averaged +14.41% a year, compared with +11.89% for QQQ. IOO had the higher Sharpe ratio over the past year (0.74 vs 0.46), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.94% for IOO and -14.82% for QQQ. Dividends over the past year came to 0.83% of IOO's price, against 0.46% for QQQ. Their daily returns had a correlation of 0.87 over the past year, which is high.

IOO charges 0.40% a year and QQQ 0.18%. Over five years, reinvested dividends added 1.55 points a year to IOO's return and 0.67 to QQQ's.