QYLD vs. QRMI
Compare and contrast key facts about Global X NASDAQ 100 Covered Call ETF (QYLD) and Global X NASDAQ 100 Risk Managed Income ETF (QRMI).
QYLD and QRMI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QYLD is a passively managed fund by Global X that tracks the performance of the CBOE NASDAQ-100 Buy Write V2. It was launched on Dec 12, 2013. QRMI is an actively managed fund by Global X. It was launched on Aug 25, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QYLD or QRMI.
Key characteristics
| QYLD | QRMI | |
|---|---|---|
| YTD Return | 18.13% | 11.48% |
| 1Y Return | 22.51% | 14.67% |
| 3Y Return (Ann) | 5.36% | -0.08% |
| Sharpe Ratio | 2.25 | 2.26 |
| Sortino Ratio | 3.09 | 3.36 |
| Omega Ratio | 1.55 | 1.48 |
| Calmar Ratio | 2.92 | 1.07 |
| Martin Ratio | 16.08 | 12.36 |
| Ulcer Index | 1.41% | 1.20% |
| Daily Std Dev | 10.05% | 6.57% |
| Max Drawdown | -24.89% | -20.94% |
| Current Drawdown | 0.00% | -1.03% |
Correlation
The correlation between QYLD and QRMI is 0.81, 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
QYLD vs. QRMI - Performance Comparison
In the year-to-date period, QYLD achieves a 18.13% return, which is significantly higher than QRMI's 11.48% 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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QYLD vs. QRMI - Expense Ratio Comparison
Both QYLD and QRMI have an expense ratio of 0.60%.
Risk-Adjusted Performance
QYLD vs. QRMI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X NASDAQ 100 Covered Call ETF (QYLD) and Global X NASDAQ 100 Risk Managed Income ETF (QRMI). 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
QYLD vs. QRMI - Dividend Comparison
QYLD's dividend yield for the trailing twelve months is around 11.24%, less than QRMI's 11.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
QYLD Global X NASDAQ 100 Covered Call ETF | 11.24% | 11.78% | 13.75% | 12.85% | 11.16% | 9.84% | 12.44% | 7.69% | 9.15% | 9.42% | 10.74% |
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% |
Drawdowns
QYLD vs. QRMI - Drawdown Comparison
The maximum QYLD drawdown since its inception was -24.89%, which is greater than QRMI's maximum drawdown of -20.94%. Use the drawdown chart below to compare losses from any high point for QYLD and QRMI. For additional features, visit the drawdowns tool.
Volatility
QYLD vs. QRMI - Volatility Comparison
Global X NASDAQ 100 Covered Call ETF (QYLD) has a higher volatility of 2.54% compared to Global X NASDAQ 100 Risk Managed Income ETF (QRMI) at 1.71%. This indicates that QYLD's price experiences larger fluctuations and is considered to be riskier than QRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.