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URTH vs. QLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


URTHQLD
YTD Return18.87%38.58%
1Y Return36.92%88.78%
3Y Return (Ann)7.21%7.88%
5Y Return (Ann)12.67%32.37%
10Y Return (Ann)10.23%29.40%
Sharpe Ratio3.272.70
Sortino Ratio4.413.10
Omega Ratio1.601.42
Calmar Ratio3.162.37
Martin Ratio21.3311.73
Ulcer Index1.81%7.92%
Daily Std Dev11.82%34.38%
Max Drawdown-34.01%-83.13%
Current Drawdown-1.07%-4.27%

Correlation

-0.50.00.51.00.8

The correlation between URTH and QLD is 0.76, 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

URTH vs. QLD - Performance Comparison

In the year-to-date period, URTH achieves a 18.87% return, which is significantly lower than QLD's 38.58% return. Over the past 10 years, URTH has underperformed QLD with an annualized return of 10.23%, while QLD has yielded a comparatively higher 29.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%MayJuneJulyAugustSeptemberOctober
13.61%
32.70%
URTH
QLD

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URTH vs. QLD - Expense Ratio Comparison

URTH has a 0.24% expense ratio, which is lower than QLD's 0.95% expense ratio.


QLD
ProShares Ultra QQQ
Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

URTH vs. QLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI World ETF (URTH) and ProShares Ultra QQQ (QLD). 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.


URTH
Sharpe ratio
The chart of Sharpe ratio for URTH, currently valued at 3.27, compared to the broader market-2.000.002.004.006.003.27
Sortino ratio
The chart of Sortino ratio for URTH, currently valued at 4.41, compared to the broader market0.005.0010.004.41
Omega ratio
The chart of Omega ratio for URTH, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for URTH, currently valued at 3.16, compared to the broader market0.005.0010.0015.003.16
Martin ratio
The chart of Martin ratio for URTH, currently valued at 21.33, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.33
QLD
Sharpe ratio
The chart of Sharpe ratio for QLD, currently valued at 2.70, compared to the broader market-2.000.002.004.006.002.70
Sortino ratio
The chart of Sortino ratio for QLD, currently valued at 3.10, compared to the broader market0.005.0010.003.10
Omega ratio
The chart of Omega ratio for QLD, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for QLD, currently valued at 2.37, compared to the broader market0.005.0010.0015.002.37
Martin ratio
The chart of Martin ratio for QLD, currently valued at 11.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.73

URTH vs. QLD - Sharpe Ratio Comparison

The current URTH Sharpe Ratio is 3.27, which is comparable to the QLD Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of URTH and QLD, 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.27
2.70
URTH
QLD

Dividends

URTH vs. QLD - Dividend Comparison

URTH's dividend yield for the trailing twelve months is around 1.45%, more than QLD's 0.28% yield.


TTM20232022202120202019201820172016201520142013
URTH
iShares MSCI World ETF
1.45%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%
QLD
ProShares Ultra QQQ
0.28%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%

Drawdowns

URTH vs. QLD - Drawdown Comparison

The maximum URTH drawdown since its inception was -34.01%, smaller than the maximum QLD drawdown of -83.13%. Use the drawdown chart below to compare losses from any high point for URTH and QLD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.07%
-4.27%
URTH
QLD

Volatility

URTH vs. QLD - Volatility Comparison

The current volatility for iShares MSCI World ETF (URTH) is 2.65%, while ProShares Ultra QQQ (QLD) has a volatility of 7.83%. This indicates that URTH experiences smaller price fluctuations and is considered to be less risky than QLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
2.65%
7.83%
URTH
QLD