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

Forum topic · 小凯 · 2026-08-26

Summary

A quantitative deep-dive on the Invesco QQQ Trust (QQQ) versus the S&P 500 benchmark (SPY), using CAPM regression over 664 trading days as of August 25, 2026. QQQ closed at $710.72, with a 23.81% annualized return versus SPY's 19.58%, annualized volatility of 21.02%, and a full-period beta of 1.2661 (R-squared 0.8985). Jensen's alpha is +0.21% annualized (rolling 120-day: +1.13%), Treynor ratio 15.25, and information ratio 0.53 with 7.90% tracking error. Asymmetric beta analysis shows upside beta (1.2189) exceeding downside beta (1.2032), a favorable asymmetry ratio of 1.013. Technically, MA5/MA20/MA50 are tightly converged near $711-$713, with the MA200 at $653.65 as long-term support and 52-week high at $746.16. The post includes rolling alpha/beta windows, a risk-control playbook (stop-loss at $695, reduction below the 200-day line), and academic references including Sharpe (1964), Jensen (1968), and Ang, Chen & Xing (2006).

A forum analysis runs a CAPM-based quantitative pipeline on the Invesco QQQ Trust (QQQ.US) against the S&P 500 (SPY.US) as of the August 25, 2026 US market close, using 664 aligned trading days.

Key metrics

Close: $710.72 (52-week range $396.28–$746.16, -4.75% from the high)
Annualized return: 23.81% vs. SPY 19.58% (+4.23% excess)
Annualized volatility: 21.02% vs. SPY 15.74% (1.34x)
Full-period beta: 1.2661, R² = 0.8985 (~90% of variance market-driven)
Jensen's alpha (annualized): +0.21% full period; +1.13% on a 120-day rolling window
Treynor ratio: 15.25; Information ratio: 0.53 (tracking error 7.90%)
Moving averages: MA5 ($711.50), MA20 ($712.16), MA50 ($713.01) converged within <0.2%; MA200 = $653.65 (+8.73% above)

CAPM regression

With risk-free rate R_f = 4.5%, OLS on 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\%

Rolling alpha/beta by window

| Window | Rolling beta | Rolling annualized alpha | Regime | | :--- | :---: | :---: | :--- | | 252 days | 1.4116 | -0.66% | High-beta offense, dampened by rate-driven valuation discounts | | 120 days | 1.4822 | +1.13% | AI-wave strength, positive alpha from large tech | | 60 days | 1.7208 | -20.55% | Style drift toward value/utilities, sharply higher tech volatility |

Asymmetric upside/downside beta

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

The upside beta exceeds the downside beta, indicating a favorable positive-skew profile: QQQ captures more upside (1.22x) than it amplifies downside (1.20x).

Technical levels

Resistance: $725–$730 (prior congestion); 52-week high $746.16
Current zone: $710.72 at the converged MA5/MA20/MA50 cluster; RSI(14) = 44.89 (neutral)
Support: $695–$700; long-term lifeline MA200 at $653.65

The author notes that historically such extreme triple-MA convergence mid-uptrend often precedes a directional break within 2–3 weeks.

Strategy playbook

Core Beta allocation: Maintain high allocation given the 23.81% annualized return and Treynor of 15.25.
Breakout trade: Watch $715.00 as confirmation above the 50-day MA; first target $735–$746 on volume expansion.
Risk control: Stop-loss at $695; cut position by 50% on a weekly close below $653.65 (MA200).
Alpha seekers: Suggested 80% QQQ + 20% gold (GLD) / oversold names (e.g., AVGO) to lift portfolio Sharpe.

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

*This is a translation/summary of a forum post; figures are as reported by the original author and do not constitute investment advice.*