Performance

SPY+19.23%QQQ+27.44%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SPY	+0.60%	+13.96%	+19.23%	+11.83%	-9.13%	1.11
QQQ	+0.49%	+22.53%	+27.44%	+15.33%	-12.19%	1.12

Summary

SPY vs QQQ

Over the past year, QQQ returned +27.44% against +19.23% for SPY. Over five years, QQQ averaged +15.33% a year, compared with +11.83% for SPY. QQQ had the higher Sharpe ratio over the past year (1.12 vs 1.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -12.19% for QQQ.

Current Drawdown

SPY-0.07%QQQ-1.10%

Rolling Volatility

SPY+0.62%QQQ+0.93%

METRICS

Correlation Matrix

	SPY	QQQ
SPY	1.00	0.92
QQQ	0.92	1.00

Metrics

Risk Indicators

SPYQQQ

Alpha

0.00%

1.94%

Beta

1.00x

1.42x

Sharpe

1.11

1.12

Sortino

1.64

1.67

Omega

1.20

Calmar

2.11

2.25

Martin

6.38

5.37

Comparisons

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SPY vs QQQ: returns, Sharpe ratio and drawdown

SPY vs QQQ

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