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QYLD vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QYLD and SPY is 0.77, 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.


-0.50.00.51.00.8

Performance

QYLD vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X NASDAQ 100 Covered Call ETF (QYLD) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
140.08%
303.55%
QYLD
SPY

Key characteristics

Sharpe Ratio

QYLD:

1.97

SPY:

2.21

Sortino Ratio

QYLD:

2.69

SPY:

2.93

Omega Ratio

QYLD:

1.48

SPY:

1.41

Calmar Ratio

QYLD:

2.65

SPY:

3.26

Martin Ratio

QYLD:

14.19

SPY:

14.43

Ulcer Index

QYLD:

1.45%

SPY:

1.90%

Daily Std Dev

QYLD:

10.40%

SPY:

12.41%

Max Drawdown

QYLD:

-24.75%

SPY:

-55.19%

Current Drawdown

QYLD:

0.00%

SPY:

-2.74%

Returns By Period

In the year-to-date period, QYLD achieves a 19.32% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, QYLD has underperformed SPY with an annualized return of 8.52%, while SPY has yielded a comparatively higher 12.97% annualized return.


QYLD

YTD

19.32%

1M

3.00%

6M

10.81%

1Y

19.98%

5Y*

7.37%

10Y*

8.52%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


QYLD vs. SPY - Expense Ratio Comparison

QYLD has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.


QYLD
Global X NASDAQ 100 Covered Call ETF
Expense ratio chart for QYLD: 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QYLD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X NASDAQ 100 Covered Call ETF (QYLD) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for QYLD, currently valued at 1.97, compared to the broader market0.002.004.001.972.21
The chart of Sortino ratio for QYLD, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.002.692.93
The chart of Omega ratio for QYLD, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.41
The chart of Calmar ratio for QYLD, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.653.26
The chart of Martin ratio for QYLD, currently valued at 14.19, compared to the broader market0.0020.0040.0060.0080.00100.0014.1914.43
QYLD
SPY

The current QYLD Sharpe Ratio is 1.97, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of QYLD and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.97
2.21
QYLD
SPY

Dividends

QYLD vs. SPY - Dividend Comparison

QYLD's dividend yield for the trailing twelve months is around 11.35%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
QYLD
Global X NASDAQ 100 Covered Call ETF
11.35%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QYLD vs. SPY - Drawdown Comparison

The maximum QYLD drawdown since its inception was -24.75%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QYLD and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember0
-2.74%
QYLD
SPY

Volatility

QYLD vs. SPY - Volatility Comparison

The current volatility for Global X NASDAQ 100 Covered Call ETF (QYLD) is 1.64%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.72%. This indicates that QYLD experiences smaller price fluctuations and is considered to be less risky than SPY 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%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
1.64%
3.72%
QYLD
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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