QRMI vs. VTI
Compare and contrast key facts about Global X NASDAQ 100 Risk Managed Income ETF (QRMI) and Vanguard Total Stock Market ETF (VTI).
QRMI and VTI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QRMI is an actively managed fund by Global X. It was launched on Aug 25, 2021. VTI is a passively managed fund by Vanguard that tracks the performance of the CRSP US Total Market Index. It was launched on May 24, 2001.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QRMI or VTI.
Key characteristics
| QRMI | VTI | |
|---|---|---|
| YTD Return | 11.41% | 26.35% |
| 1Y Return | 14.96% | 40.48% |
| 3Y Return (Ann) | -0.08% | 8.68% |
| Sharpe Ratio | 2.27 | 3.10 |
| Sortino Ratio | 3.39 | 4.13 |
| Omega Ratio | 1.49 | 1.58 |
| Calmar Ratio | 1.07 | 4.21 |
| Martin Ratio | 12.44 | 20.25 |
| Ulcer Index | 1.20% | 1.94% |
| Daily Std Dev | 6.57% | 12.68% |
| Max Drawdown | -20.94% | -55.45% |
| Current Drawdown | -1.09% | 0.00% |
Correlation
The correlation between QRMI and VTI is 0.74, 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
QRMI vs. VTI - Performance Comparison
In the year-to-date period, QRMI achieves a 11.41% return, which is significantly lower than VTI's 26.35% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QRMI vs. VTI - Expense Ratio Comparison
QRMI has a 0.60% expense ratio, which is higher than VTI's 0.03% expense ratio.
Risk-Adjusted Performance
QRMI vs. VTI - 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 Vanguard Total Stock Market ETF (VTI). 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.
Dividends
QRMI vs. VTI - Dividend Comparison
QRMI's dividend yield for the trailing twelve months is around 11.89%, more than VTI's 1.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QRMI Global X NASDAQ 100 Risk Managed Income ETF | 11.89% | 12.45% | 10.66% | 3.36% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VTI Vanguard Total Stock Market ETF | 1.26% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
Drawdowns
QRMI vs. VTI - Drawdown Comparison
The maximum QRMI drawdown since its inception was -20.94%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for QRMI and VTI. For additional features, visit the drawdowns tool.
Volatility
QRMI vs. VTI - Volatility Comparison
The current volatility for Global X NASDAQ 100 Risk Managed Income ETF (QRMI) is 1.72%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 4.11%. This indicates that QRMI experiences smaller price fluctuations and is considered to be less risky than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.