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

Performance

RYLD vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X Russell 2000 Covered Call ETF (RYLD) and Global X NASDAQ 100 Covered Call ETF (QYLD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.34%
7.98%
RYLD
QYLD

Returns By Period

In the year-to-date period, RYLD achieves a 8.26% return, which is significantly lower than QYLD's 14.56% return.


RYLD

YTD

8.26%

1M

0.46%

6M

5.34%

1Y

10.91%

5Y (annualized)

3.24%

10Y (annualized)

N/A

QYLD

YTD

14.56%

1M

-0.86%

6M

7.98%

1Y

18.47%

5Y (annualized)

6.91%

10Y (annualized)

8.27%

Key characteristics


RYLDQYLD
Sharpe Ratio1.121.79
Sortino Ratio1.632.44
Omega Ratio1.221.43
Calmar Ratio0.642.39
Martin Ratio6.7212.96
Ulcer Index1.70%1.43%
Daily Std Dev10.23%10.38%
Max Drawdown-41.53%-24.89%
Current Drawdown-8.28%-3.02%

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RYLD vs. QYLD - Expense Ratio Comparison

Both RYLD and QYLD have an expense ratio of 0.60%.


RYLD
Global X Russell 2000 Covered Call ETF
Expense ratio chart for RYLD: 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 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 RYLD and QYLD is 0.68, 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

RYLD vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call ETF (RYLD) 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 RYLD, currently valued at 1.12, compared to the broader market0.002.004.001.121.79
The chart of Sortino ratio for RYLD, currently valued at 1.63, compared to the broader market-2.000.002.004.006.008.0010.001.632.44
The chart of Omega ratio for RYLD, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.43
The chart of Calmar ratio for RYLD, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.642.39
The chart of Martin ratio for RYLD, currently valued at 6.72, compared to the broader market0.0020.0040.0060.0080.00100.006.7212.96
RYLD
QYLD

The current RYLD Sharpe Ratio is 1.12, which is lower than the QYLD Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of RYLD 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.12
1.79
RYLD
QYLD

Dividends

RYLD vs. QYLD - Dividend Comparison

RYLD's dividend yield for the trailing twelve months is around 12.01%, more than QYLD's 11.59% yield.


TTM2023202220212020201920182017201620152014
RYLD
Global X Russell 2000 Covered Call ETF
12.01%12.65%13.50%12.35%10.77%6.44%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.59%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

RYLD vs. QYLD - Drawdown Comparison

The maximum RYLD drawdown since its inception was -41.53%, which is greater than QYLD's maximum drawdown of -24.89%. Use the drawdown chart below to compare losses from any high point for RYLD and QYLD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.28%
-3.02%
RYLD
QYLD

Volatility

RYLD vs. QYLD - Volatility Comparison

Global X Russell 2000 Covered Call ETF (RYLD) has a higher volatility of 3.92% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 3.53%. This indicates that RYLD'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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.92%
3.53%
RYLD
QYLD