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BALI vs. QDPL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BALIQDPL
YTD Return24.96%25.17%
1Y Return34.64%36.60%
Sharpe Ratio3.323.16
Sortino Ratio4.434.36
Omega Ratio1.641.59
Calmar Ratio4.364.49
Martin Ratio20.1320.78
Ulcer Index1.68%1.70%
Daily Std Dev10.17%11.20%
Max Drawdown-7.74%-22.59%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between BALI and QDPL is 0.91, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

BALI vs. QDPL - Performance Comparison

The year-to-date returns for both investments are quite close, with BALI having a 24.96% return and QDPL slightly higher at 25.17%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%25.00%30.00%35.00%40.00%JuneJulyAugustSeptemberOctoberNovember
36.85%
38.17%
BALI
QDPL

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BALI vs. QDPL - Expense Ratio Comparison

BALI has a 0.35% expense ratio, which is lower than QDPL's 0.60% expense ratio.


QDPL
Pacer Metaurus US Large Cap Dividend Multiplier 400 ETF
Expense ratio chart for QDPL: 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%
Expense ratio chart for BALI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

BALI vs. QDPL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Blackrock Advantage Large Cap Income ETF (BALI) and Pacer Metaurus US Large Cap Dividend Multiplier 400 ETF (QDPL). 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.


BALI
Sharpe ratio
The chart of Sharpe ratio for BALI, currently valued at 3.32, compared to the broader market-2.000.002.004.003.32
Sortino ratio
The chart of Sortino ratio for BALI, currently valued at 4.43, compared to the broader market0.005.0010.004.43
Omega ratio
The chart of Omega ratio for BALI, currently valued at 1.64, compared to the broader market1.001.502.002.503.001.64
Calmar ratio
The chart of Calmar ratio for BALI, currently valued at 4.36, compared to the broader market0.005.0010.0015.004.36
Martin ratio
The chart of Martin ratio for BALI, currently valued at 20.13, compared to the broader market0.0020.0040.0060.0080.00100.0020.13
QDPL
Sharpe ratio
The chart of Sharpe ratio for QDPL, currently valued at 3.16, compared to the broader market-2.000.002.004.003.16
Sortino ratio
The chart of Sortino ratio for QDPL, currently valued at 4.36, compared to the broader market0.005.0010.004.36
Omega ratio
The chart of Omega ratio for QDPL, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for QDPL, currently valued at 4.49, compared to the broader market0.005.0010.0015.004.49
Martin ratio
The chart of Martin ratio for QDPL, currently valued at 20.78, compared to the broader market0.0020.0040.0060.0080.00100.0020.78

BALI vs. QDPL - Sharpe Ratio Comparison

The current BALI Sharpe Ratio is 3.32, which is comparable to the QDPL Sharpe Ratio of 3.16. The chart below compares the historical Sharpe Ratios of BALI and QDPL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio2.803.003.203.403.603.80Oct 06Oct 13Oct 20Oct 27Nov 03
3.32
3.16
BALI
QDPL

Dividends

BALI vs. QDPL - Dividend Comparison

BALI's dividend yield for the trailing twelve months is around 6.67%, more than QDPL's 5.26% yield.


TTM202320222021
BALI
Blackrock Advantage Large Cap Income ETF
6.67%2.13%0.00%0.00%
QDPL
Pacer Metaurus US Large Cap Dividend Multiplier 400 ETF
5.26%6.30%7.27%2.45%

Drawdowns

BALI vs. QDPL - Drawdown Comparison

The maximum BALI drawdown since its inception was -7.74%, smaller than the maximum QDPL drawdown of -22.59%. Use the drawdown chart below to compare losses from any high point for BALI and QDPL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
BALI
QDPL

Volatility

BALI vs. QDPL - Volatility Comparison

Blackrock Advantage Large Cap Income ETF (BALI) and Pacer Metaurus US Large Cap Dividend Multiplier 400 ETF (QDPL) have volatilities of 3.54% and 3.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.54%
3.45%
BALI
QDPL