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

Performance

VRP vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Variable Rate Preferred ETF (VRP) 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
5.22%
9.29%
VRP
QYLD

Returns By Period

In the year-to-date period, VRP achieves a 11.43% return, which is significantly lower than QYLD's 16.42% return. Over the past 10 years, VRP has underperformed QYLD with an annualized return of 5.10%, while QYLD has yielded a comparatively higher 8.43% annualized return.


VRP

YTD

11.43%

1M

1.00%

6M

5.22%

1Y

15.71%

5Y (annualized)

4.38%

10Y (annualized)

5.10%

QYLD

YTD

16.42%

1M

1.46%

6M

9.29%

1Y

19.89%

5Y (annualized)

7.37%

10Y (annualized)

8.43%

Key characteristics


VRPQYLD
Sharpe Ratio3.451.92
Sortino Ratio5.182.61
Omega Ratio1.721.46
Calmar Ratio3.872.56
Martin Ratio35.3013.81
Ulcer Index0.44%1.44%
Daily Std Dev4.56%10.35%
Max Drawdown-46.04%-24.75%
Current Drawdown-0.03%-1.44%

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VRP vs. QYLD - Expense Ratio Comparison

VRP has a 0.50% expense ratio, which is lower than QYLD's 0.60% expense ratio.


QYLD
Global X NASDAQ 100 Covered Call ETF
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%
Expense ratio chart for VRP: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Correlation

-0.50.00.51.00.3

The correlation between VRP and QYLD is 0.34, 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.

Risk-Adjusted Performance

VRP vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) 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 VRP, currently valued at 3.45, compared to the broader market0.002.004.003.451.92
The chart of Sortino ratio for VRP, currently valued at 5.18, compared to the broader market-2.000.002.004.006.008.0010.0012.005.182.61
The chart of Omega ratio for VRP, currently valued at 1.72, compared to the broader market0.501.001.502.002.503.001.721.46
The chart of Calmar ratio for VRP, currently valued at 3.87, compared to the broader market0.005.0010.0015.003.872.56
The chart of Martin ratio for VRP, currently valued at 35.30, compared to the broader market0.0020.0040.0060.0080.00100.0035.3013.81
VRP
QYLD

The current VRP Sharpe Ratio is 3.45, which is higher than the QYLD Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of VRP 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.45
1.92
VRP
QYLD

Dividends

VRP vs. QYLD - Dividend Comparison

VRP's dividend yield for the trailing twelve months is around 5.86%, less than QYLD's 11.63% yield.


TTM2023202220212020201920182017201620152014
VRP
Invesco Variable Rate Preferred ETF
5.86%6.61%5.38%4.26%4.18%5.15%5.28%4.68%5.10%5.02%3.04%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.63%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

VRP vs. QYLD - Drawdown Comparison

The maximum VRP drawdown since its inception was -46.04%, which is greater than QYLD's maximum drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for VRP and QYLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.03%
-1.44%
VRP
QYLD

Volatility

VRP vs. QYLD - Volatility Comparison

The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 0.69%, while Global X NASDAQ 100 Covered Call ETF (QYLD) has a volatility of 3.42%. This indicates that VRP experiences smaller price fluctuations and is considered to be less risky 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
0.69%
3.42%
VRP
QYLD