Performance

VUG+17.30%QQQM+27.49%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VUG	+0.72%	+13.50%	+17.30%	+12.87%	-16.71%	0.74
QQQM	+0.50%	+22.56%	+27.49%	+15.37%	-12.19%	1.13

Summary

VUG vs QQQM

Over the past year, QQQM returned +27.49% against +17.30% for VUG. Over five years, QQQM averaged +15.37% a year, compared with +12.87% for VUG. QQQM had the higher Sharpe ratio over the past year (1.13 vs 0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.19% for QQQM and -16.71% for VUG.

Current Drawdown

VUG-0.72%QQQM-1.08%

Rolling Volatility

VUG+0.87%QQQM+0.94%

METRICS

Correlation Matrix

	VUG	QQQM
VUG	1.00	0.94
QQQM	0.94	1.00

Metrics

Risk Indicators

VUGQQQM

Alpha

-5.48%

2.08%

Beta

1.33x

1.41x

Sharpe

0.74

1.13

Sortino

1.10

1.67

Omega

1.13

1.20

Calmar

1.04

2.25

Martin

2.48

5.37

Comparisons

More VUG comparisons

VUG vs VOO
VUG vs QQQ
VUG vs VGT
VUG vs SCHG
VUG vs VTI
VUG vs MGK

More QQQM comparisons

QQQM vs VOO
QQQM vs VGT
QQQM vs SCHG
QQQM vs VTI
QQQM vs XLK
QQQM vs IWF

VUG vs QQQM: returns, Sharpe ratio and drawdown

VUG vs QQQM

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