Description of Invesco QQQ Trust

Invesco QQQ Trust, Series 1 ETF

Statistics of Invesco QQQ Trust (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Compared with the benchmark SPY (67.2%) in the period of the last 5 years, the total return of 105.6% of Invesco QQQ Trust is higher, thus better.
  • Looking at total return, or performance in of 77% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (50.7%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 15.5% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 21% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 17.2% of Invesco QQQ Trust is greater, thus worse.
  • Looking at historical 30 days volatility in of 17.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Invesco QQQ Trust is 19.3%, which is greater, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 20% is greater, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of Invesco QQQ Trust is 0.76, which is greater, thus better compared to the benchmark SPY (0.62) in the same period.
  • During the last 3 years, the Sharpe Ratio is 1.07, which is larger, thus better than the value of 0.95 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the excess return divided by the downside deviation of 0.68 of Invesco QQQ Trust is greater, thus better.
  • Compared with SPY (0.83) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.92 is greater, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Invesco QQQ Trust is 5.01 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 4.97 is larger, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -22.8 days of Invesco QQQ Trust is lower, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -22.8 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 163 days in the last 5 years of Invesco QQQ Trust, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 154 days is larger, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Invesco QQQ Trust is 35 days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days below previous high in of 30 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (36 days).

Performance of Invesco QQQ Trust (YTD)

Historical returns have been extended using synthetic data.

Allocations of Invesco QQQ Trust
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Allocations

Returns of Invesco QQQ Trust (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Invesco QQQ Trust are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.