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CCRV vs. QYLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CCRVQYLD
YTD Return7.14%15.96%
1Y Return2.15%20.76%
3Y Return (Ann)10.94%4.76%
Sharpe Ratio0.212.09
Sortino Ratio0.392.87
Omega Ratio1.041.51
Calmar Ratio0.252.69
Martin Ratio0.7014.79
Ulcer Index4.29%1.41%
Daily Std Dev14.42%9.96%
Max Drawdown-24.81%-24.89%
Current Drawdown-4.45%-0.27%

Correlation

-0.50.00.51.00.1

The correlation between CCRV and QYLD is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CCRV vs. QYLD - Performance Comparison

In the year-to-date period, CCRV achieves a 7.14% return, which is significantly lower than QYLD's 15.96% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.81%
9.69%
CCRV
QYLD

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CCRV vs. QYLD - Expense Ratio Comparison

CCRV has a 0.40% expense ratio, which is lower than QYLD's 0.60% expense ratio.


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%
Expense ratio chart for CCRV: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

CCRV vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Commodity Curve Carry Strategy ETF (CCRV) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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.


CCRV
Sharpe ratio
The chart of Sharpe ratio for CCRV, currently valued at 0.21, compared to the broader market0.002.004.006.000.21
Sortino ratio
The chart of Sortino ratio for CCRV, currently valued at 0.39, compared to the broader market-2.000.002.004.006.008.0010.0012.000.39
Omega ratio
The chart of Omega ratio for CCRV, currently valued at 1.04, compared to the broader market1.001.502.002.503.001.04
Calmar ratio
The chart of Calmar ratio for CCRV, currently valued at 0.25, compared to the broader market0.005.0010.0015.0020.000.25
Martin ratio
The chart of Martin ratio for CCRV, currently valued at 0.70, compared to the broader market0.0020.0040.0060.0080.00100.000.70
QYLD
Sharpe ratio
The chart of Sharpe ratio for QYLD, currently valued at 2.09, compared to the broader market0.002.004.006.002.09
Sortino ratio
The chart of Sortino ratio for QYLD, currently valued at 2.87, compared to the broader market-2.000.002.004.006.008.0010.0012.002.87
Omega ratio
The chart of Omega ratio for QYLD, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for QYLD, currently valued at 2.69, compared to the broader market0.005.0010.0015.0020.002.69
Martin ratio
The chart of Martin ratio for QYLD, currently valued at 14.79, compared to the broader market0.0020.0040.0060.0080.00100.0014.79

CCRV vs. QYLD - Sharpe Ratio Comparison

The current CCRV Sharpe Ratio is 0.21, which is lower than the QYLD Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of CCRV and QYLD, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.21
2.09
CCRV
QYLD

Dividends

CCRV vs. QYLD - Dividend Comparison

CCRV's dividend yield for the trailing twelve months is around 6.77%, less than QYLD's 11.45% yield.


TTM2023202220212020201920182017201620152014
CCRV
iShares Commodity Curve Carry Strategy ETF
6.77%7.26%33.27%26.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.45%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

CCRV vs. QYLD - Drawdown Comparison

The maximum CCRV drawdown since its inception was -24.81%, roughly equal to the maximum QYLD drawdown of -24.89%. Use the drawdown chart below to compare losses from any high point for CCRV and QYLD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
-0.27%
CCRV
QYLD

Volatility

CCRV vs. QYLD - Volatility Comparison

iShares Commodity Curve Carry Strategy ETF (CCRV) has a higher volatility of 5.02% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 2.22%. This indicates that CCRV's price experiences larger fluctuations and is considered to be riskier than QYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.02%
2.22%
CCRV
QYLD