SPMO vs QQQ: returns, Sharpe ratio and drawdown
Performance
SPMO+16.21%QQQ+16.07%
Summary
SPMO vs QQQ
Over the past year, SPMO returned +16.21% against +16.07% for QQQ. Over five years, SPMO averaged +16.90% a year, compared with +13.04% for QQQ. QQQ had the higher Sharpe ratio over the past year (0.63 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -15.64% for SPMO.
Current Drawdown
SPMO-12.85%QQQ-6.56%
Rolling Volatility
SPMO+1.07%QQQ+1.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPMOQQQ
Alpha
SPMO
-0.39%
QQQ
-0.85%
Beta
SPMO
1.53x
QQQ
1.44x
Sharpe
SPMO
0.55
QQQ
0.63
Sortino
SPMO
0.80
QQQ
0.92
Omega
SPMO
1.10
QQQ
1.11
Calmar
SPMO
1.04
QQQ
1.32
Martin
SPMO
2.42
QQQ
3.04
Comparisons