PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PUTW vs. QYLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PUTWQYLG
YTD Return10.16%8.51%
1Y Return13.04%16.14%
3Y Return (Ann)6.26%6.07%
Sharpe Ratio1.321.10
Daily Std Dev9.75%14.18%
Max Drawdown-28.40%-30.12%
Current Drawdown-3.69%-6.40%

Correlation

-0.50.00.51.00.7

The correlation between PUTW and QYLG is 0.71, 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

PUTW vs. QYLG - Performance Comparison

In the year-to-date period, PUTW achieves a 10.16% return, which is significantly higher than QYLG's 8.51% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
3.61%
2.12%
PUTW
QYLG

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


WisdomTree CBOE S&P 500 PutWrite Strategy Fund

Global X Nasdaq 100 Covered Call & Growth ETF

PUTW vs. QYLG - Expense Ratio Comparison

PUTW has a 0.44% expense ratio, which is lower than QYLG's 0.60% expense ratio.


QYLG
Global X Nasdaq 100 Covered Call & Growth ETF
Expense ratio chart for QYLG: 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 PUTW: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%

Risk-Adjusted Performance

PUTW vs. QYLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and Global X Nasdaq 100 Covered Call & Growth ETF (QYLG). 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.


PUTW
Sharpe ratio
The chart of Sharpe ratio for PUTW, currently valued at 1.32, compared to the broader market0.002.004.001.32
Sortino ratio
The chart of Sortino ratio for PUTW, currently valued at 1.78, compared to the broader market0.005.0010.001.78
Omega ratio
The chart of Omega ratio for PUTW, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for PUTW, currently valued at 1.69, compared to the broader market0.005.0010.0015.001.69
Martin ratio
The chart of Martin ratio for PUTW, currently valued at 6.31, compared to the broader market0.0020.0040.0060.0080.00100.006.31
QYLG
Sharpe ratio
The chart of Sharpe ratio for QYLG, currently valued at 1.10, compared to the broader market0.002.004.001.10
Sortino ratio
The chart of Sortino ratio for QYLG, currently valued at 1.53, compared to the broader market0.005.0010.001.53
Omega ratio
The chart of Omega ratio for QYLG, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for QYLG, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.33
Martin ratio
The chart of Martin ratio for QYLG, currently valued at 5.83, compared to the broader market0.0020.0040.0060.0080.00100.005.83

PUTW vs. QYLG - Sharpe Ratio Comparison

The current PUTW Sharpe Ratio is 1.32, which roughly equals the QYLG Sharpe Ratio of 1.10. The chart below compares the 12-month rolling Sharpe Ratio of PUTW and QYLG.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.32
1.10
PUTW
QYLG

Dividends

PUTW vs. QYLG - Dividend Comparison

PUTW's dividend yield for the trailing twelve months is around 10.59%, more than QYLG's 5.99% yield.


TTM20232022202120202019201820172016
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
10.59%8.92%3.27%0.00%1.43%1.47%6.46%3.52%2.27%
QYLG
Global X Nasdaq 100 Covered Call & Growth ETF
5.99%5.43%6.51%15.18%1.44%0.00%0.00%0.00%0.00%

Drawdowns

PUTW vs. QYLG - Drawdown Comparison

The maximum PUTW drawdown since its inception was -28.40%, smaller than the maximum QYLG drawdown of -30.12%. Use the drawdown chart below to compare losses from any high point for PUTW and QYLG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.69%
-6.40%
PUTW
QYLG

Volatility

PUTW vs. QYLG - Volatility Comparison

The current volatility for WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) is 2.84%, while Global X Nasdaq 100 Covered Call & Growth ETF (QYLG) has a volatility of 6.33%. This indicates that PUTW experiences smaller price fluctuations and is considered to be less risky than QYLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
2.84%
6.33%
PUTW
QYLG