XRMI vs. QRMI
Compare and contrast key facts about Global X S&P 500 Risk Managed Income ETF (XRMI) and Global X NASDAQ 100 Risk Managed Income ETF (QRMI).
XRMI and QRMI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XRMI is a passively managed fund by Global X that tracks the performance of the Cboe S&P 500 Risk Managed Income Index. It was launched on Aug 25, 2021. QRMI is an actively managed fund by Global X. It was launched on Aug 25, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XRMI or QRMI.
Key characteristics
| XRMI | QRMI | |
|---|---|---|
| YTD Return | 12.52% | 11.25% |
| 1Y Return | 14.86% | 14.61% |
| 3Y Return (Ann) | 0.47% | -0.15% |
| Sharpe Ratio | 2.75 | 2.25 |
| Sortino Ratio | 4.00 | 3.36 |
| Omega Ratio | 1.58 | 1.48 |
| Calmar Ratio | 1.20 | 1.07 |
| Martin Ratio | 18.45 | 12.32 |
| Ulcer Index | 0.82% | 1.20% |
| Daily Std Dev | 5.50% | 6.58% |
| Max Drawdown | -15.29% | -20.94% |
| Current Drawdown | 0.00% | -1.23% |
Correlation
The correlation between XRMI and QRMI is 0.70, 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.
Performance
XRMI vs. QRMI - Performance Comparison
In the year-to-date period, XRMI achieves a 12.52% return, which is significantly higher than QRMI's 11.25% 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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XRMI vs. QRMI - Expense Ratio Comparison
Both XRMI and QRMI have an expense ratio of 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.
Dividends
XRMI vs. QRMI - Dividend Comparison
XRMI's dividend yield for the trailing twelve months is around 11.85%, which matches QRMI's 11.91% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
XRMI Global X S&P 500 Risk Managed Income ETF | 11.85% | 12.61% | 12.85% | 2.94% |
QRMI Global X NASDAQ 100 Risk Managed Income ETF | 11.91% | 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.
Volatility
XRMI vs. QRMI - Volatility Comparison
Global X S&P 500 Risk Managed Income ETF (XRMI) has a higher volatility of 1.87% compared to Global X NASDAQ 100 Risk Managed Income ETF (QRMI) at 1.73%. This indicates that XRMI's price experiences larger fluctuations and is considered to be riskier than QRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.