QQQ Quantitative Analysis: Beta, Alpha, and Risk-Return Breakdown vs SPY

Forum topic · 小凯 · 2026-08-26

Summary

A quantitative risk-return analysis of the Invesco QQQ Trust (QQQ.US) versus the SPDR S&P 500 ETF (SPY.US), based on 664 aligned trading days through August 25, 2026. Using CAPM-based OLS regression, the report estimates a full-period beta of 1.2661 (R² = 0.8985), an annualized return of 23.81% versus SPY's 19.58%, annualized volatility of 21.02%, and a Jensen's alpha of +0.21% (with a 120-day rolling alpha of +1.13%). An asymmetric beta test shows upside beta (1.2189) exceeding downside beta (1.2032), a favorable positive asymmetry ratio of 1.013. Technical readings note an extreme convergence of MA5/MA20/MA50 near $710-713, a 200-day MA support at $653.65, and 52-week resistance near $746.16. The post concludes with allocation and risk-management tactics, referencing Sharpe (1964), Jensen (1968), and Ang, Chen & Xing (2006).

This post presents a quantitative risk-return breakdown of the Invesco QQQ Trust (QQQ.US) against the S&P 500 benchmark (SPY.US), computed on 664 aligned trading days as of the August 25, 2026 US market close. The analysis applies CAPM regression, Jensen's alpha, rolling alpha/beta windows, and asymmetric upside/downside beta tests.

Key metrics

| Metric | QQQ Value | SPY Benchmark | | :--- | :--- | :--- | | Latest close | $710.72 (52-week range: $396.28–$746.16) | — | | Annualized return | 23.81% | 19.58% | | Annualized volatility | 21.02% | 15.74% | | Full-period Beta (β) | 1.2661 (R² = 0.8985) | — | | Jensen's Alpha (annualized) | +0.21% | — | | Treynor ratio | 15.25 | — | | Information ratio | 0.53 (tracking error 7.90%) | — | | MA200 | $653.65 (price +8.73% above) | — |

CAPM regression

With a risk-free rate of R_f = 4.5%, OLS regression of daily excess returns:

R_{\text{QQQ},t} - R_{f,t} = \alpha + \beta \cdot (R_{\text{SPY},t} - R_{f,t}) + \epsilon_t

\beta = \frac{\text{Cov}(R_{\text{QQQ}}, R_{\text{SPY}})}{\text{Var}(R_{\text{SPY}})} = 1.2661, \quad \alpha_{\text{ann}} = +0.21\%

An R² of ~0.90 indicates about 90% of QQQ's variance is explained by the market factor.

Rolling alpha/beta windows

| Window | Rolling Beta | Rolling Alpha | Interpretation | | :--- | :---: | :---: | :--- | | 252 days | 1.4116 | -0.66% | High-beta exposure, slight valuation drag from higher rates | | 120 days | 1.4822 | +1.13% | AI-driven period with strong positive alpha | | 60 days | 1.7208 | -20.55% | Short-term style rotation into value/utilities, elevated tech volatility |

Upside vs downside beta

\beta^+ = 1.2189, \quad \beta^- = 1.2032, \quad \text{Asymmetry Ratio} = 1.0130 > 1.0

The upside beta exceeds the downside beta, suggesting QQQ statistically captures more upside amplification (1.22x) than its downside amplification (1.20x) — a favorable long-run positive asymmetry.

Technical levels

Resistance (R2): $746.16 (52-week high)
Resistance (R1): $725.00–$730.00 (prior dense volume zone)
Current price: $710.72, with MA5 ($711.50), MA20 ($712.16), and MA50 ($713.01) converged within <0.2%
Support (S1): $695.00–$700.00
Support (S2): $653.65 (MA200 "lifeline")

RSI(14) at 44.89 is neutral. The author notes that such extreme triple-MA convergence mid-bull-market has historically resolved directionally within 2–3 weeks.

Allocation playbook (author's view)

Core beta holding: maintain high allocation given the 23.81% annualized return and Treynor ratio of 15.25.
Short-term breakout watch: a volume-backed break above $715.00 (above the 50-day MA) targets $735–$746.
Risk control: stop-loss at $695.00 short-term; a weekly close below $653.65 (MA200) triggers a 50% de-risking rule. One suggested alpha overlay: 80% QQQ + 20% gold (GLD) to lower portfolio volatility.

Academic references

1. Sharpe, W. F. (1964). *Capital asset prices: A theory of market equilibrium under conditions of risk*. The Journal of Finance, 19(3), 425-442. DOI: 10.1111/j.1540-6261.1964.tb02865.x 2. Jensen, M. C. (1968). *The performance of mutual funds in the period 1945–1964*. The Journal of Finance, 23(2), 389-416. DOI: 10.1111/j.1540-6261.1968.tb00815.x 3. Ang, A., Chen, J., & Xing, Y. (2006). *Downside risk*. The Review of Financial Studies, 19(4), 1191-1220. DOI: 10.1093/rfs/hhj035

*Note: This is a translated summary of a community analysis; figures reflect the author's own computations and do not constitute investment advice.*