VGT vs QQQ: returns, Sharpe ratio and drawdown
Performance
VGT+39.05%QQQ+27.44%
Summary
VGT vs QQQ
Over the past year, VGT returned +39.05% against +27.44% for QQQ. Over five years, VGT averaged +19.57% a year, compared with +15.33% for QQQ. VGT had the higher Sharpe ratio over the past year (1.30 vs 1.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -16.57% for VGT.
Current Drawdown
VGT-1.40%QQQ-1.10%
Rolling Volatility
VGT+1.04%QQQ+0.93%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VGTQQQ
Alpha
VGT
8.25%
QQQ
1.94%
Beta
VGT
1.67x
QQQ
1.42x
Sharpe
VGT
1.30
QQQ
1.12
Sortino
VGT
1.93
QQQ
1.67
Omega
VGT
1.24
QQQ
1.20
Calmar
VGT
2.36
QQQ
2.25
Martin
VGT
5.01
QQQ
5.37
Comparisons