JTEK vs QQQ: returns, Sharpe ratio and drawdown
Performance
JTEK-1.41%QQQ+11.94%
Summary
JTEK vs QQQ
Over the past year, QQQ returned +11.94% against -1.41% for JTEK. QQQ had the higher Sharpe ratio over the past year (0.46 vs 0.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.82% for QQQ and -23.60% for JTEK. Dividends over the past year came to 0.46% of QQQ's price, while JTEK paid none. Their daily returns had a correlation of 0.94 over the past year, which is very high.
Ranking
How JTEK and QQQ rank
JTEKQQQ
Current Drawdown
JTEK-18.74%QQQ-10.57%
Rolling Volatility
JTEK45.29%QQQ33.62%
METRICS
Correlation Matrix
Fees and dividends
What JTEK and QQQ cost and pay
JTEKQQQExpense ratio0.65%0.18%Yield0.00%0.46%Paid, past yearNone$3.09Pays—QuarterlyGrowth a year—+9.4%Return with dividends—+11.89%Return, price only—+11.22%
JTEK charges 0.65% a year and QQQ 0.18%.
Metrics
Risk Indicators
JTEKQQQ
Alpha
JTEK
-19.40%
QQQ
-4.40%
Beta
JTEK
1.97x
QQQ
1.45x
Sharpe
JTEK
0.00
QQQ
0.46
Sortino
JTEK
0.00
QQQ
0.64
Omega
JTEK
1.00
QQQ
1.08
Calmar
JTEK
-0.06
QQQ
0.81
Martin
JTEK
0.01
QQQ
2.29
Comparisons