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

Key characteristics


USOIQYLD
YTD Return7.92%18.13%
1Y Return0.35%22.44%
3Y Return (Ann)8.36%5.36%
5Y Return (Ann)-7.79%7.56%
Sharpe Ratio0.012.24
Sortino Ratio0.163.08
Omega Ratio1.021.55
Calmar Ratio0.002.90
Martin Ratio0.0415.98
Ulcer Index5.83%1.41%
Daily Std Dev21.32%10.05%
Max Drawdown-77.42%-24.89%
Current Drawdown-46.72%0.00%

Correlation

-0.50.00.51.00.1

The correlation between USOI and QYLD is 0.13, 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

USOI vs. QYLD - Performance Comparison

In the year-to-date period, USOI achieves a 7.92% return, which is significantly lower than QYLD's 18.13% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.82%
11.49%
USOI
QYLD

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USOI vs. QYLD - Expense Ratio Comparison

USOI has a 0.85% expense ratio, which is higher than QYLD's 0.60% expense ratio.


USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
Expense ratio chart for USOI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
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%

Risk-Adjusted Performance

USOI vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) 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.


USOI
Sharpe ratio
The chart of Sharpe ratio for USOI, currently valued at 0.01, compared to the broader market-2.000.002.004.006.000.01
Sortino ratio
The chart of Sortino ratio for USOI, currently valued at 0.16, compared to the broader market-2.000.002.004.006.008.0010.0012.000.16
Omega ratio
The chart of Omega ratio for USOI, currently valued at 1.02, compared to the broader market1.001.502.002.503.001.02
Calmar ratio
The chart of Calmar ratio for USOI, currently valued at 0.00, compared to the broader market0.005.0010.0015.000.00
Martin ratio
The chart of Martin ratio for USOI, currently valued at 0.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.04
QYLD
Sharpe ratio
The chart of Sharpe ratio for QYLD, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for QYLD, currently valued at 3.08, compared to the broader market-2.000.002.004.006.008.0010.0012.003.08
Omega ratio
The chart of Omega ratio for QYLD, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for QYLD, currently valued at 2.90, compared to the broader market0.005.0010.0015.002.90
Martin ratio
The chart of Martin ratio for QYLD, currently valued at 15.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.98

USOI vs. QYLD - Sharpe Ratio Comparison

The current USOI Sharpe Ratio is 0.01, which is lower than the QYLD Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of USOI 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.01
2.24
USOI
QYLD

Dividends

USOI vs. QYLD - Dividend Comparison

USOI's dividend yield for the trailing twelve months is around 21.25%, more than QYLD's 11.24% yield.


TTM2023202220212020201920182017201620152014
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
21.25%26.72%42.78%20.48%67.99%17.11%13.08%6.31%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.24%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

USOI vs. QYLD - Drawdown Comparison

The maximum USOI drawdown since its inception was -77.42%, which is greater than QYLD's maximum drawdown of -24.89%. Use the drawdown chart below to compare losses from any high point for USOI and QYLD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-46.72%
0
USOI
QYLD

Volatility

USOI vs. QYLD - Volatility Comparison

Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) has a higher volatility of 7.15% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 2.54%. This indicates that USOI'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%JuneJulyAugustSeptemberOctoberNovember
7.15%
2.54%
USOI
QYLD