PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
GLOBAL X MONTHLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

GLOBAL X MONTHLY

Last updated Apr 24, 2024

Asset Allocation

QDIV 60%QYLD 10%PFFV 30%EquityEquityPreferred StockPreferred Stock
PositionCategory/SectorWeight
PFFV
Global X Variable Rate Preferred ETF		Preferred Stock/Convertible Bonds

30%

QDIV
Global X S&P 500 Quality Dividend ETF		Large Cap Blend Equities, Dividend

60%

QYLD
Global X NASDAQ 100 Covered Call ETF		Derivative Income

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in GLOBAL X MONTHLY, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
12.54%
19.38%
GLOBAL X MONTHLY
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 24, 2020, corresponding to the inception date of PFFV

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		6.30%-3.13%19.37%22.56%11.65%10.55%
GLOBAL X MONTHLY3.44%-1.87%12.53%9.14%N/AN/A
Portfolio components:
QDIV
Global X S&P 500 Quality Dividend ETF		3.88%-1.93%14.09%8.00%8.57%N/A
PFFV
Global X Variable Rate Preferred ETF		2.23%-1.75%10.15%9.51%N/AN/A
QYLD
Global X NASDAQ 100 Covered Call ETF		4.28%-2.04%10.35%14.25%6.47%7.46%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20240.52%1.91%3.96%
2023-2.40%-2.62%4.95%3.70%

Expense Ratio

The GLOBAL X MONTHLY has a high expense ratio of 0.26%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

QYLD
Global X NASDAQ 100 Covered Call ETF
Expense ratio chart for QYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
PFFV
Global X Variable Rate Preferred ETF
Expense ratio chart for PFFV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
QDIV
Global X S&P 500 Quality Dividend ETF
Expense ratio chart for QDIV: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

GLOBAL X MONTHLY
Sharpe ratio
The chart of Sharpe ratio for GLOBAL X MONTHLY, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.005.001.06
Sortino ratio
The chart of Sortino ratio for GLOBAL X MONTHLY, currently valued at 1.55, compared to the broader market0.002.004.006.001.55
Omega ratio
The chart of Omega ratio for GLOBAL X MONTHLY, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for GLOBAL X MONTHLY, currently valued at 0.86, compared to the broader market0.002.004.006.008.000.86
Martin ratio
The chart of Martin ratio for GLOBAL X MONTHLY, currently valued at 3.59, compared to the broader market0.0010.0020.0030.0040.0050.003.59
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QDIV
Global X S&P 500 Quality Dividend ETF		0.741.141.130.702.23
PFFV
Global X Variable Rate Preferred ETF		1.011.421.200.504.64
QYLD
Global X NASDAQ 100 Covered Call ETF		1.712.351.351.256.68

Sharpe Ratio

The current GLOBAL X MONTHLY Sharpe ratio is 1.06. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.06

The Sharpe ratio of GLOBAL X MONTHLY is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.06
1.92
GLOBAL X MONTHLY
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

GLOBAL X MONTHLY granted a 5.26% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
GLOBAL X MONTHLY5.26%5.29%5.12%4.32%3.75%2.69%2.18%0.77%0.91%0.94%1.07%
Portfolio components:
QDIV
Global X S&P 500 Quality Dividend ETF		3.16%3.26%3.02%2.44%3.06%2.84%1.56%0.00%0.00%0.00%0.00%
PFFV
Global X Variable Rate Preferred ETF		7.24%7.17%6.60%5.23%2.68%0.00%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF		11.92%11.78%13.26%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.87%
-3.50%
GLOBAL X MONTHLY
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the GLOBAL X MONTHLY. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the GLOBAL X MONTHLY was 16.17%, occurring on Sep 30, 2022. Recovery took 332 trading sessions.

The current GLOBAL X MONTHLY drawdown is 2.87%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.17%Jan 18, 2022178Sep 30, 2022332Jan 29, 2024510
-6.12%Sep 3, 202014Sep 23, 202011Oct 8, 202025
-5.47%Oct 13, 202012Oct 28, 20208Nov 9, 202020
-4.29%Nov 9, 202116Dec 1, 202117Dec 27, 202133
-4.09%Apr 1, 202414Apr 18, 2024———

Volatility

Volatility Chart

The current GLOBAL X MONTHLY volatility is 2.18%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

1.00%2.00%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
2.18%
3.58%
GLOBAL X MONTHLY
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
PFFVQYLDQDIV
PFFV1.000.420.43
QYLD0.421.000.51
QDIV0.430.511.00