QQQM vs SOXX: returns, Sharpe ratio and drawdown
Performance
QQQM+22.45%SOXX+94.11%
Summary
QQQM vs SOXX
Over the past year, SOXX returned +94.11% against +22.45% for QQQM. Over five years, SOXX averaged +30.15% a year, compared with +15.26% for QQQM. SOXX had the higher Sharpe ratio over the past year (1.60 vs 0.91), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQM and -29.01% for SOXX.
Current Drawdown
QQQM-1.57%SOXX-14.00%
Rolling Volatility
QQQM+0.98%SOXX+2.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
QQQMSOXX
Alpha
QQQM
2.82%
SOXX
45.63%
Beta
QQQM
1.41x
SOXX
2.56x
Sharpe
QQQM
0.91
SOXX
1.60
Sortino
QQQM
1.32
SOXX
2.34
Omega
QQQM
1.16
SOXX
1.30
Calmar
QQQM
1.84
SOXX
3.24
Martin
QQQM
4.38
SOXX
6.91
Comparisons