VONG vs QQQM: returns, Sharpe ratio and drawdown
Performance
VONG+2.83%QQQM+16.09%
Summary
VONG vs QQQM
Over the past year, QQQM returned +16.09% against +2.83% for VONG. Over five years, QQQM averaged +13.07% a year, compared with +10.37% for VONG. QQQM had the higher Sharpe ratio over the past year (0.64 vs -0.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQM and -16.43% for VONG.
Current Drawdown
VONG-5.98%QQQM-6.55%
Rolling Volatility
VONG+1.07%QQQM+1.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VONGQQQM
Alpha
VONG
-12.25%
QQQM
-0.77%
Beta
VONG
1.31x
QQQM
1.43x
Sharpe
VONG
-0.01
QQQM
0.64
Sortino
VONG
-0.01
QQQM
0.92
Omega
VONG
1.00
QQQM
1.11
Calmar
VONG
0.17
QQQM
1.32
Martin
VONG
-0.02
QQQM
3.03
Comparisons