Performance

IVW+22.78%QQQ+27.44%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IVW	+0.80%	+17.76%	+22.78%	+13.63%	-13.91%	1.00
QQQ	+0.49%	+22.53%	+27.44%	+15.33%	-12.19%	1.12

Summary

IVW vs QQQ

Over the past year, QQQ returned +27.44% against +22.78% for IVW. Over five years, QQQ averaged +15.33% a year, compared with +13.63% for IVW. QQQ had the higher Sharpe ratio over the past year (1.12 vs 1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -13.91% for IVW.

Current Drawdown

IVW-0.60%QQQ-1.10%

Rolling Volatility

IVW+0.83%QQQ+0.93%

METRICS

Correlation Matrix

	IVW	QQQ
IVW	1.00	0.96
QQQ	0.96	1.00

Metrics

Risk Indicators

IVWQQQ

Alpha

-1.14%

1.94%

Beta

1.35x

1.42x

Sharpe

1.00

1.12

Sortino

1.48

1.67

Omega

1.18

1.20

Calmar

1.64

2.25

Martin

4.57

5.37

Comparisons

More IVW comparisons

IVW vs VOO
IVW vs IVV
IVW vs VUG
IVW vs SPY
IVW vs SCHG
IVW vs IVE

More QQQ comparisons

QQQ vs VOO
QQQ vs SPY
QQQ vs VGT
QQQ vs VUG
QQQ vs SCHG
QQQ vs NDAQ

IVW vs QQQ: returns, Sharpe ratio and drawdown

IVW vs QQQ

More IVW comparisons

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