PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RSST vs. QYLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

RSST vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Return Stacked U.S. Stocks & Managed Futures ETF (RSST) and Global X NASDAQ 100 Covered Call ETF (QYLD). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
9.24%
RSST
QYLD

Returns By Period

In the year-to-date period, RSST achieves a 17.27% return, which is significantly higher than QYLD's 15.85% return.


RSST

YTD

17.27%

1M

-1.04%

6M

-2.07%

1Y

21.97%

5Y (annualized)

N/A

10Y (annualized)

N/A

QYLD

YTD

15.85%

1M

0.23%

6M

9.06%

1Y

19.50%

5Y (annualized)

7.28%

10Y (annualized)

8.43%

Key characteristics


RSSTQYLD
Sharpe Ratio0.911.86
Sortino Ratio1.332.54
Omega Ratio1.171.45
Calmar Ratio1.162.49
Martin Ratio3.2013.46
Ulcer Index6.57%1.43%
Daily Std Dev23.00%10.35%
Max Drawdown-18.16%-24.75%
Current Drawdown-9.58%-1.93%

Compare stocks, funds, or ETFs

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


RSST vs. QYLD - Expense Ratio Comparison

RSST has a 1.04% expense ratio, which is higher than QYLD's 0.60% expense ratio.


RSST
Return Stacked U.S. Stocks & Managed Futures ETF
Expense ratio chart for RSST: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
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%

Correlation

-0.50.00.51.00.7

The correlation between RSST and QYLD is 0.66, 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.

Risk-Adjusted Performance

RSST vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Return Stacked U.S. Stocks & Managed Futures ETF (RSST) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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 RSST, currently valued at 0.91, compared to the broader market0.002.004.000.911.86
The chart of Sortino ratio for RSST, currently valued at 1.33, compared to the broader market-2.000.002.004.006.008.0010.001.332.54
The chart of Omega ratio for RSST, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.45
The chart of Calmar ratio for RSST, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.162.49
The chart of Martin ratio for RSST, currently valued at 3.20, compared to the broader market0.0020.0040.0060.0080.00100.003.2013.46
RSST
QYLD

The current RSST Sharpe Ratio is 0.91, which is lower than the QYLD Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of RSST and QYLD, 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 Ratio1.001.502.002.50Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
0.91
1.86
RSST
QYLD

Dividends

RSST vs. QYLD - Dividend Comparison

RSST's dividend yield for the trailing twelve months is around 0.79%, less than QYLD's 11.69% yield.


TTM2023202220212020201920182017201620152014
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
0.79%0.93%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.69%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

RSST vs. QYLD - Drawdown Comparison

The maximum RSST drawdown since its inception was -18.16%, smaller than the maximum QYLD drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for RSST and QYLD. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.58%
-1.93%
RSST
QYLD

Volatility

RSST vs. QYLD - Volatility Comparison

Return Stacked U.S. Stocks & Managed Futures ETF (RSST) has a higher volatility of 7.69% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 3.54%. This indicates that RSST's price experiences larger fluctuations and is considered to be riskier than QYLD 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%10.00%JuneJulyAugustSeptemberOctoberNovember
7.69%
3.54%
RSST
QYLD