Performance

VUG+12.64%QQQ+22.68%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VUG	-0.99%	+11.11%	+13.01%	+12.95%	-16.71%	0.53
QQQ	-1.07%	+20.13%	+23.02%	+15.36%	-12.19%	0.93

Summary

VUG vs QQQ

Over the past year, QQQ returned +23.02% against +13.01% for VUG. Over five years, QQQ averaged +15.36% a year, compared with +12.95% for VUG. QQQ had the higher Sharpe ratio over the past year (0.93 vs 0.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQ and -16.71% for VUG.

Current Drawdown

VUG-1.19%QQQ-1.46%

Rolling Volatility

VUG+0.90%QQQ+0.98%

METRICS

Correlation Matrix

	VUG	QQQ
VUG	1.00	0.94
QQQ	0.94	1.00

Metrics

Risk Indicators

VUGQQQ

Alpha

-4.77%

3.14%

Beta

1.32x

1.42x

Sharpe

0.53

0.93

Sortino

0.76

1.36

Omega

1.09

1.17

Calmar

0.78

1.89

Martin

1.78

4.50

Comparisons

More VUG comparisons

VUG vs VOO
VUG vs QQQM
VUG vs VGT
VUG vs SCHG
VUG vs VTI
VUG vs MGK

More QQQ comparisons

QQQ vs VOO
QQQ vs SPY
QQQ vs VGT
QQQ vs SCHG
QQQ vs IVW
QQQ vs NDAQ

VUG vs QQQ: returns, Sharpe ratio and drawdown

VUG vs QQQ

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