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QRMI vs. QCLR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QRMIQCLR
YTD Return11.25%18.63%
1Y Return14.61%27.88%
3Y Return (Ann)-0.15%7.24%
Sharpe Ratio2.252.48
Sortino Ratio3.363.47
Omega Ratio1.481.45
Calmar Ratio1.073.67
Martin Ratio12.3210.74
Ulcer Index1.20%2.83%
Daily Std Dev6.58%12.13%
Max Drawdown-20.94%-21.77%
Current Drawdown-1.23%-0.05%

Correlation

-0.50.00.51.00.6

The correlation between QRMI and QCLR is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

QRMI vs. QCLR - Performance Comparison

In the year-to-date period, QRMI achieves a 11.25% return, which is significantly lower than QCLR's 18.63% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
7.90%
11.48%
QRMI
QCLR

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QRMI vs. QCLR - Expense Ratio Comparison

Both QRMI and QCLR have an expense ratio of 0.60%.


QRMI
Global X NASDAQ 100 Risk Managed Income ETF
Expense ratio chart for QRMI: 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 QCLR: 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%

Risk-Adjusted Performance

QRMI vs. QCLR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X NASDAQ 100 Risk Managed Income ETF (QRMI) and Global X NASDAQ 100 Collar 95-110 ETF (QCLR). 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.


QRMI
Sharpe ratio
The chart of Sharpe ratio for QRMI, currently valued at 2.25, compared to the broader market-2.000.002.004.006.002.25
Sortino ratio
The chart of Sortino ratio for QRMI, currently valued at 3.36, compared to the broader market0.005.0010.003.36
Omega ratio
The chart of Omega ratio for QRMI, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for QRMI, currently valued at 1.07, compared to the broader market0.005.0010.0015.001.07
Martin ratio
The chart of Martin ratio for QRMI, currently valued at 12.32, compared to the broader market0.0020.0040.0060.0080.00100.0012.32
QCLR
Sharpe ratio
The chart of Sharpe ratio for QCLR, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Sortino ratio
The chart of Sortino ratio for QCLR, currently valued at 3.47, compared to the broader market0.005.0010.003.47
Omega ratio
The chart of Omega ratio for QCLR, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for QCLR, currently valued at 3.67, compared to the broader market0.005.0010.0015.003.67
Martin ratio
The chart of Martin ratio for QCLR, currently valued at 10.74, compared to the broader market0.0020.0040.0060.0080.00100.0010.74

QRMI vs. QCLR - Sharpe Ratio Comparison

The current QRMI Sharpe Ratio is 2.25, which is comparable to the QCLR Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of QRMI and QCLR, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.25
2.48
QRMI
QCLR

Dividends

QRMI vs. QCLR - Dividend Comparison

QRMI's dividend yield for the trailing twelve months is around 11.91%, more than QCLR's 0.58% yield.


TTM202320222021
QRMI
Global X NASDAQ 100 Risk Managed Income ETF
11.91%12.45%10.66%3.36%
QCLR
Global X NASDAQ 100 Collar 95-110 ETF
0.58%0.47%0.28%1.64%

Drawdowns

QRMI vs. QCLR - Drawdown Comparison

The maximum QRMI drawdown since its inception was -20.94%, roughly equal to the maximum QCLR drawdown of -21.77%. Use the drawdown chart below to compare losses from any high point for QRMI and QCLR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.23%
-0.05%
QRMI
QCLR

Volatility

QRMI vs. QCLR - Volatility Comparison

The current volatility for Global X NASDAQ 100 Risk Managed Income ETF (QRMI) is 1.73%, while Global X NASDAQ 100 Collar 95-110 ETF (QCLR) has a volatility of 3.49%. This indicates that QRMI experiences smaller price fluctuations and is considered to be less risky than QCLR 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%JuneJulyAugustSeptemberOctoberNovember
1.73%
3.49%
QRMI
QCLR