Performance

NDAQ+5.34%QQQ+27.44%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
NDAQ	+1.39%	-3.11%	+5.34%	+6.73%	-23.90%	0.17
QQQ	+0.49%	+22.53%	+27.44%	+15.33%	-12.19%	1.12

Summary

NDAQ vs QQQ

Over the past year, QQQ returned +27.44% against +5.34% for NDAQ. Over five years, QQQ averaged +15.33% a year, compared with +6.73% for NDAQ. QQQ had the higher Sharpe ratio over the past year (1.12 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -23.90% for NDAQ.

Current Drawdown

NDAQ-7.26%QQQ-1.10%

Rolling Volatility

NDAQ+1.32%QQQ+0.93%

METRICS

Correlation Matrix

	NDAQ	QQQ
NDAQ	1.00	0.17
QQQ	0.17	1.00

Metrics

Risk Indicators

NDAQQQQ

Alpha

-4.68%

1.94%

Beta

0.67x

1.42x

Sharpe

0.17

1.12

Sortino

0.23

1.67

Omega

1.03

1.20

Calmar

0.22

2.25

Martin

0.45

5.37

Comparisons

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NDAQ vs XLF
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NDAQ vs MCO
NDAQ vs ICE

More QQQ comparisons

QQQ vs VOO
QQQ vs SPY
QQQ vs VGT
QQQ vs VUG
QQQ vs SCHG
QQQ vs IVW

NDAQ vs QQQ: returns, Sharpe ratio and drawdown

NDAQ vs QQQ

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