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XRMI vs. QRMI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XRMI and QRMI is 0.69, 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.


-0.50.00.51.00.7

Performance

XRMI vs. QRMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X S&P 500 Risk Managed Income ETF (XRMI) and Global X NASDAQ 100 Risk Managed Income ETF (QRMI). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
5.50%
2.38%
XRMI
QRMI

Key characteristics

Sharpe Ratio

XRMI:

2.70

QRMI:

2.20

Sortino Ratio

XRMI:

3.99

QRMI:

3.39

Omega Ratio

XRMI:

1.58

QRMI:

1.50

Calmar Ratio

XRMI:

1.42

QRMI:

1.26

Martin Ratio

XRMI:

18.52

QRMI:

12.88

Ulcer Index

XRMI:

0.82%

QRMI:

1.21%

Daily Std Dev

XRMI:

5.63%

QRMI:

7.08%

Max Drawdown

XRMI:

-15.29%

QRMI:

-20.94%

Current Drawdown

XRMI:

0.00%

QRMI:

0.00%

Returns By Period

The year-to-date returns for both stocks are quite close, with XRMI having a 14.69% return and QRMI slightly lower at 14.55%.


XRMI

YTD

14.69%

1M

2.15%

6M

8.74%

1Y

14.84%

5Y*

N/A

10Y*

N/A

QRMI

YTD

14.55%

1M

3.84%

6M

10.16%

1Y

15.10%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


XRMI vs. QRMI - Expense Ratio Comparison

Both XRMI and QRMI have an expense ratio of 0.60%.


XRMI
Global X S&P 500 Risk Managed Income ETF
Expense ratio chart for XRMI: 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 QRMI: 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

XRMI vs. QRMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Risk Managed Income ETF (XRMI) and Global X NASDAQ 100 Risk Managed Income ETF (QRMI). 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 XRMI, currently valued at 2.70, compared to the broader market0.002.004.002.702.20
The chart of Sortino ratio for XRMI, currently valued at 3.99, compared to the broader market-2.000.002.004.006.008.0010.003.993.39
The chart of Omega ratio for XRMI, currently valued at 1.58, compared to the broader market0.501.001.502.002.503.001.581.50
The chart of Calmar ratio for XRMI, currently valued at 1.42, compared to the broader market0.005.0010.0015.001.421.26
The chart of Martin ratio for XRMI, currently valued at 18.52, compared to the broader market0.0020.0040.0060.0080.00100.0018.5212.88
XRMI
QRMI

The current XRMI Sharpe Ratio is 2.70, which is comparable to the QRMI Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of XRMI and QRMI, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.70
2.20
XRMI
QRMI

Dividends

XRMI vs. QRMI - Dividend Comparison

XRMI's dividend yield for the trailing twelve months is around 11.77%, which matches QRMI's 11.68% yield.


TTM202320222021
XRMI
Global X S&P 500 Risk Managed Income ETF
11.77%12.61%12.85%2.94%
QRMI
Global X NASDAQ 100 Risk Managed Income ETF
11.68%12.45%10.66%3.36%

Drawdowns

XRMI vs. QRMI - Drawdown Comparison

The maximum XRMI drawdown since its inception was -15.29%, smaller than the maximum QRMI drawdown of -20.94%. Use the drawdown chart below to compare losses from any high point for XRMI and QRMI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
XRMI
QRMI

Volatility

XRMI vs. QRMI - Volatility Comparison

The current volatility for Global X S&P 500 Risk Managed Income ETF (XRMI) is 1.71%, while Global X NASDAQ 100 Risk Managed Income ETF (QRMI) has a volatility of 2.56%. This indicates that XRMI experiences smaller price fluctuations and is considered to be less risky than QRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
1.71%
2.56%
XRMI
QRMI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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