Cite This Comparison
"S&P 500 vs Nasdaq 100 (SPY vs QQQ): Returns, Risk & Volatility (2026)." Gale Finance, January 9, 2026. https://www.gale.finance/compare/spy-vs-qqq Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-01-13 to 2026-01-09
Relative Performance of SPY vs QQQ (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: SPY delivered a +20.8% total return, while QQQ returned +24.6% over the same period. QQQ outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): QQQ had a higher Sharpe (0.88 vs 0.86), indicating better risk-adjusted performance.
- Volatility (Annualized): QQQ was more volatile, with 23.5% annualized volatility, versus 19.4% for SPY.
- Maximum Drawdown: SPY's maximum drawdown was -18.8%, while QQQ experienced a deeper drawdown of -22.8%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SPY's VaR was -1.67% and its Expected Shortfall (CVaR) was -2.80%; QQQ's were -2.21% and -3.47%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: SPY 1.10 vs QQQ 0.93. Excess kurtosis: SPY 20.93 vs QQQ 15.33. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): SPY 6/3, QQQ 7/2. Worst day: SPY -6.03% (2025-04-04) vs QQQ -6.41% (2025-04-04). Best day: SPY +9.99% (2025-04-09) vs QQQ +11.34% (2025-04-09).
S&P 500 vs Nasdaq 100 Correlation
S&P 500 and Nasdaq 100 are strongly correlated over the past year. With a correlation of 0.95, these assets tend to move together, limiting diversification benefits.
For portfolio construction, this strong correlation means holding both SPY and QQQ provides limited risk reduction — they're likely to decline together in downturns.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.91 | |
| Average (full period) | 0.95 | |
| Minimum | 0.85 | |
| Maximum | 0.99 |
Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement.
Investment Comparison
If you invested $10,000 in each asset on January 13, 2025:
Difference: $379.43 (QQQ ahead)
S&P 500 and Nasdaq 100: Risk Analysis
S&P 500 experienced its maximum drawdown of -18.8% from 2025-02-19 to 2025-04-08. It took 79 days to recover.
Nasdaq 100 experienced its maximum drawdown of -22.8% from 2025-02-19 to 2025-04-08. It took 77 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio of SPY and QQQ
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. QQQ had a higher Sharpe (0.88 vs 0.86), indicating better risk-adjusted performance.
A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
Sortino Ratio of SPY and QQQ
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. QQQ had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: SPY 15.3% vs QQQ 18.1%. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
Tail Risk & Distribution Shape: S&P 500 vs. Nasdaq 100
This section looks at the shape of daily returns, not just the average. We use daily log returns so multi-day moves add cleanly.
| Metric (1y) | SPY | QQQ |
|---|---|---|
| 5% VaR (daily log return) | -1.67% | -2.21% |
| 5% Expected Shortfall (CVaR) | -2.80% (worst 13 days) | -3.47% (worst 13 days) |
| Skew | 1.10 | 0.93 |
| Excess kurtosis | 20.93 | 15.33 |
| 2σ tail days (down / up) | 6 / 3 | 7 / 2 |
| Worst day | -6.03% (2025-04-04) | -6.41% (2025-04-04) |
| Best day | +9.99% (2025-04-09) | +11.34% (2025-04-09) |
Downside co-moves (2σ)
Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.
Show downside tail dates
Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).
Days when both SPY and QQQ had a big down day (2σ)
| Date (interval) | SPY | QQQ |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -2.66% | -3.88% |
| 2025-04-03 | -4.93% | -5.35% |
| 2025-04-04 | -5.85% | -6.21% |
| 2025-04-10 | -4.38% | -4.25% |
| 2025-10-10 | -2.70% | -3.47% |
Days when SPY had a big down day
| Date (interval) | SPY | QQQ |
|---|---|---|
| 2025-03-07 → 2025-03-10 | -2.66% | -3.88% |
| 2025-04-03 | -4.93% | -5.35% |
| 2025-04-04 | -5.85% | -6.21% |
| 2025-04-10 | -4.38% | -4.25% |
| 2025-04-17 → 2025-04-21 | -2.38% | -2.47% |
| 2025-10-10 | -2.70% | -3.47% |
Days when QQQ had a big down day
| Date (interval) | SPY | QQQ |
|---|---|---|
| 2025-01-24 → 2025-01-27 | -1.41% | -2.91% |
| 2025-03-07 → 2025-03-10 | -2.66% | -3.88% |
| 2025-04-03 | -4.93% | -5.35% |
| 2025-04-04 | -5.85% | -6.21% |
| 2025-04-10 | -4.38% | -4.25% |
| 2025-04-16 | -2.22% | -3.02% |
| 2025-10-10 | -2.70% | -3.47% |
Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.
S&P 500 vs Nasdaq 100 Volatility (SPY vs QQQ)
S&P 500's annualized volatility of 19.4% means it typically moves ±1.22% on any given day.
Nasdaq 100's annualized volatility of 23.5% means it typically moves ±1.48% on any given day.
QQQ's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY's smoother profile may better suit long-term allocators seeking steadier growth.
For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.
S&P 500 vs Nasdaq 100 Performance Over Time
| Metric | SPY | QQQ |
|---|---|---|
| 30 Days | 1.2% | 0% |
| 90 Days | 6.6% | 6.4% |
| 180 Days | 11.9% | 13.3% |
| 1 Year | 20.8% | 24.6% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of S&P 500 vs. Nasdaq 100 (1-Year)
| Metric | SPY | QQQ |
|---|---|---|
| Total Return | +20.8% | +24.6% |
| Annualized Volatility | 19.4% | 23.5% |
| Sharpe Ratio | 0.86 | 0.88 |
| Sortino Ratio | 1.10 | 1.14 |
| Max Drawdown | -18.8% | -22.8% |
| Avg Correlation to S&P 500 | 1.00 | 0.96 |
| 5% VaR (daily log return) | -1.67% | -2.21% |
| 5% Expected Shortfall (CVaR) | -2.80% | -3.47% |
| Skew | 1.10 | 0.93 |
| Excess kurtosis | 20.93 | 15.33 |
| 2σ tail days (down / up) | 6 / 3 | 7 / 2 |
S&P 500 vs Nasdaq 100: Frequently Asked Questions
Which has higher volatility: SPY or QQQ?
QQQ showed higher volatility at 23.5% annualized, compared to 19.4% for SPY Over the past year. Higher volatility means larger price swings in both directions.
Does SPY provide diversification when held with QQQ?
SPY and QQQ are strongly correlated over the past year, with an average correlation of 0.95. This strong correlation limits diversification benefits.
How bad are the worst 5% days for SPY vs QQQ?
Over the past year, SPY's 5% VaR was -1.67% and its 5% Expected Shortfall was -2.80% (worst 13 days). QQQ's were -2.21% and -3.47% (worst 13 days).
Do SPY and QQQ crash together on bad days?
On shared dates (n=249), when QQQ has a 2σ down day, SPY also does 71.4% (5/7 days). In the other direction, when SPY has one, QQQ also does 83.3% (5/6 days).
Which has better risk-adjusted returns: SPY or QQQ?
QQQ showed better risk-adjusted performance with a Sharpe ratio of 0.88 versus SPY's 0.86 Over the past year.
Can SPY and QQQ be combined in a portfolio?
Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. QQQ's higher volatility (23.5%) means even small allocations can materially impact overall portfolio risk.