SCHG vs QQQ: returns, Sharpe ratio and drawdown
Performance
SCHG+16.97%QQQ+27.44%
Summary
SCHG vs QQQ
Over the past year, QQQ returned +27.44% against +16.97% for SCHG. Over five years, QQQ averaged +15.33% a year, compared with +13.81% for SCHG. QQQ had the higher Sharpe ratio over the past year (1.12 vs 0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -16.59% for SCHG.
Current Drawdown
SCHG-0.51%QQQ-1.10%
Rolling Volatility
SCHG+0.81%QQQ+0.93%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCHGQQQ
Alpha
SCHG
-4.62%
QQQ
1.94%
Beta
SCHG
1.23x
QQQ
1.42x
Sharpe
SCHG
0.77
QQQ
1.12
Sortino
SCHG
1.12
QQQ
1.67
Omega
SCHG
1.13
QQQ
1.20
Calmar
SCHG
1.02
QQQ
2.25
Martin
SCHG
2.42
QQQ
5.37
Comparisons