QQQ vs VOO: returns, Sharpe ratio and drawdown
Performance
QQQ+27.44%VOO+19.16%
Summary
QQQ vs VOO
Over the past year, QQQ returned +27.44% against +19.16% for VOO. Over five years, QQQ averaged +15.33% a year, compared with +11.82% for VOO. QQQ had the higher Sharpe ratio over the past year (1.12 vs 1.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -12.19% for QQQ.
Current Drawdown
QQQ-1.10%VOO-0.09%
Rolling Volatility
QQQ+0.93%VOO+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
QQQVOO
Alpha
QQQ
1.94%
VOO
-0.03%
Beta
QQQ
1.42x
VOO
1.00x
Sharpe
QQQ
1.12
VOO
1.10
Sortino
QQQ
1.67
VOO
1.63
Omega
QQQ
1.20
VOO
1.20
Calmar
QQQ
2.25
VOO
2.09
Martin
QQQ
5.37
VOO
6.41
Comparisons