TWO vs. QYLD
Compare and contrast key facts about Two Harbors Investment Corp. (TWO) and Global X NASDAQ 100 Covered Call ETF (QYLD).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TWO or QYLD.
Key characteristics
| TWO | QYLD | |
|---|---|---|
| YTD Return | -2.32% | 18.06% |
| 1Y Return | 5.81% | 22.66% |
| 3Y Return (Ann) | -10.34% | 5.37% |
| 5Y Return (Ann) | -17.56% | 7.67% |
| 10Y Return (Ann) | -5.21% | 8.44% |
| Sharpe Ratio | 0.16 | 2.26 |
| Sortino Ratio | 0.36 | 3.10 |
| Omega Ratio | 1.05 | 1.55 |
| Calmar Ratio | 0.05 | 2.93 |
| Martin Ratio | 0.62 | 16.14 |
| Ulcer Index | 5.99% | 1.41% |
| Daily Std Dev | 22.76% | 10.05% |
| Max Drawdown | -84.71% | -24.89% |
| Current Drawdown | -66.13% | 0.00% |
Correlation
The correlation between TWO and QYLD is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
TWO vs. QYLD - Performance Comparison
In the year-to-date period, TWO achieves a -2.32% return, which is significantly lower than QYLD's 18.06% return. Over the past 10 years, TWO has underperformed QYLD with an annualized return of -5.21%, while QYLD has yielded a comparatively higher 8.44% annualized 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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Risk-Adjusted Performance
TWO vs. QYLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Two Harbors Investment Corp. (TWO) 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.
Dividends
TWO vs. QYLD - Dividend Comparison
TWO's dividend yield for the trailing twelve months is around 15.15%, more than QYLD's 11.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TWO Two Harbors Investment Corp. | 15.15% | 15.08% | 12.94% | 11.79% | 7.85% | 11.42% | 14.64% | 10.65% | 10.67% | 12.84% | 10.38% | 12.61% |
QYLD Global X NASDAQ 100 Covered Call ETF | 11.25% | 11.78% | 13.75% | 12.85% | 11.16% | 9.84% | 12.44% | 7.69% | 9.15% | 9.42% | 10.74% | 0.00% |
Drawdowns
TWO vs. QYLD - Drawdown Comparison
The maximum TWO drawdown since its inception was -84.71%, which is greater than QYLD's maximum drawdown of -24.89%. Use the drawdown chart below to compare losses from any high point for TWO and QYLD. For additional features, visit the drawdowns tool.
Volatility
TWO vs. QYLD - Volatility Comparison
Two Harbors Investment Corp. (TWO) has a higher volatility of 8.54% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 2.54%. This indicates that TWO'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.