CHMI vs. QYLD

Last updated Jun 4, 2026

CHMI (Cherry Hill Mortgage Investment Corporation) is a stock, while QYLD (Global X NASDAQ 100 Covered Call ETF) is Nasdaq-100 fund tracking the CBOE NASDAQ-100 Buy Write V2. Over the past 10 years, CHMI returned -4.74%/yr vs 9.80%/yr for QYLD. At a 0.26 correlation, their price movements are largely independent.

Performance

CHMI vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cherry Hill Mortgage Investment Corporation (CHMI) and Global X NASDAQ 100 Covered Call ETF (QYLD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CHMI achieves a -3.69% return, which is significantly lower than QYLD's 7.88% return. Over the past 10 years, CHMI has underperformed QYLD with an annualized return of -4.74%, while QYLD has yielded a comparatively higher 9.80% annualized return.

CHMI

• 1D: -2.07%
• 1M: -9.92%
• YTD: -3.69%
• 6M: 3.69%
• 1Y: -5.59%
• 3Y*: -8.21%
• 5Y*: -12.34%
• 10Y*: -4.74%

QYLD

• 1D: -0.06%
• 1M: 1.62%
• YTD: 7.88%
• 6M: 9.97%
• 1Y: 23.93%
• 3Y*: 13.80%
• 5Y*: 8.43%
• 10Y*: 9.80%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CHMI vs. QYLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CHMI Cherry Hill Mortgage Investment Corporation	-3.69%	14.92%	-21.94%	-18.91%	-17.19%	1.54%	-28.09%	-6.76%	9.80%	10.00%
QYLD Global X NASDAQ 100 Covered Call ETF	7.88%	9.28%	19.35%	22.77%	-19.08%	10.41%	8.72%	22.69%	-3.07%	18.79%

Correlation

The correlation between CHMI and QYLD is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.25
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (10Y) Calculated over the trailing 10-year period	0.28
Correlation (All Time) Calculated using the full available price history since Dec 13, 2013	0.26

Return for Risk

CHMI vs. QYLD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CHMI

CHMI Risk / Return Rank: 31
CHMI Sharpe Ratio Rank: 33
CHMI Sortino Ratio Rank: 29
CHMI Omega Ratio Rank: 29
CHMI Calmar Ratio Rank: 33
CHMI Martin Ratio Rank: 30

QYLD

QYLD Risk / Return Rank: 88
QYLD Sharpe Ratio Rank: 84
QYLD Sortino Ratio Rank: 85
QYLD Omega Ratio Rank: 92
QYLD Calmar Ratio Rank: 86
QYLD Martin Ratio Rank: 94

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CHMI vs. QYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cherry Hill Mortgage Investment Corporation (CHMI) 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.

	CHMI	QYLD	Difference
Sharpe ratio: Return per unit of total volatility	-0.18	2.80	-2.98
Sortino ratio: Return per unit of downside risk	-0.03	3.92	-3.95
Omega ratio: Gain probability vs. loss probability	1.00	1.63	-0.64
Calmar ratio: Return relative to maximum drawdown	-0.23	4.84	-5.06
Martin ratio: Return relative to average drawdown	-0.55	28.36	-28.91
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CHMI vs. QYLD - Sharpe Ratio Comparison

The current CHMI Sharpe Ratio is -0.18, which is lower than the QYLD Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of CHMI and QYLD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CHMI	QYLD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.18	2.80	-2.98
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.38	0.58	-0.96
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.11	0.63	-0.75
Sharpe Ratio (All Time) Calculated using the full available price history	-0.08	0.59	-0.67

Drawdowns

CHMI vs. QYLD - Drawdown Comparison

The maximum CHMI drawdown since its inception was -81.93%, which is greater than QYLD's maximum drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for CHMI and QYLD.

Drawdown Indicators

	CHMI	QYLD	Difference
Max Drawdown Largest peak-to-trough decline	-81.93%	-24.75%	-57.18%
Max Drawdown (1Y) Largest decline over 1 year	-24.83%	-4.97%	-19.86%
Max Drawdown (3Y) Largest decline over 3 years	-42.45%	-19.06%	-23.39%
Max Drawdown (5Y) Largest decline over 5 years	-61.98%	-24.61%	-37.37%
Max Drawdown (10Y) Largest decline over 10 years	-81.93%	-24.75%	-57.18%
Current Drawdown Current decline from peak	-63.23%	-0.06%	-63.17%
Average Drawdown Average peak-to-trough decline	-28.53%	-3.84%	-24.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.12%	0.85%	+9.27%

Volatility

CHMI vs. QYLD - Volatility Comparison

Cherry Hill Mortgage Investment Corporation (CHMI) has a higher volatility of 7.65% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 1.85%. This indicates that CHMI'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.

Volatility by Period

	CHMI	QYLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.65%	1.85%	+5.80%
Volatility (6M) Calculated over the trailing 6-month period	20.20%	7.12%	+13.08%
Volatility (1Y) Calculated over the trailing 1-year period	31.35%	8.58%	+22.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	32.35%	14.70%	+17.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	42.88%	15.49%	+27.39%

Dividends

CHMI vs. QYLD - Dividend Comparison

CHMI's dividend yield for the trailing twelve months is around 19.07%, more than QYLD's 11.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHMI Cherry Hill Mortgage Investment Corporation	19.07%	19.61%	22.73%	17.82%	18.62%	13.06%	13.24%	12.20%	12.03%	10.89%	11.60%	15.23%
QYLD Global X NASDAQ 100 Covered Call ETF	11.46%	11.55%	12.50%	11.78%	13.75%	12.85%	11.16%	9.84%	12.44%	7.69%	9.15%	9.42%

Frequently Asked Questions

Can I hold both CHMI and QYLD in my portfolio?

CHMI and QYLD have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CHMI or QYLD?

CHMI has higher volatility (7.65%) compared to QYLD (1.85%). In terms of maximum drawdown, CHMI dropped -81.93% vs QYLD's -24.75%.

Which has better risk-adjusted returns?

QYLD currently has the higher Sharpe Ratio (2.80 vs -0.18), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.