PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPUS vs. AMAGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPUSAMAGX
YTD Return21.37%14.13%
1Y Return32.93%26.84%
3Y Return (Ann)9.19%6.14%
Sharpe Ratio2.251.99
Sortino Ratio2.962.73
Omega Ratio1.411.35
Calmar Ratio2.982.77
Martin Ratio11.9810.13
Ulcer Index2.85%2.99%
Daily Std Dev15.17%15.20%
Max Drawdown-30.80%-57.64%
Current Drawdown-2.79%-4.93%

Correlation

-0.50.00.51.00.9

The correlation between SPUS and AMAGX is 0.93, 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

SPUS vs. AMAGX - Performance Comparison

In the year-to-date period, SPUS achieves a 21.37% return, which is significantly higher than AMAGX's 14.13% 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%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.20%
5.37%
SPUS
AMAGX

Compare stocks, funds, or ETFs

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


SPUS vs. AMAGX - Expense Ratio Comparison

SPUS has a 0.49% expense ratio, which is lower than AMAGX's 0.91% expense ratio.


AMAGX
Amana Mutual Funds Trust Growth Fund
Expense ratio chart for AMAGX: current value at 0.91% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.91%
Expense ratio chart for SPUS: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

SPUS vs. AMAGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS) and Amana Mutual Funds Trust Growth Fund (AMAGX). 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.


SPUS
Sharpe ratio
The chart of Sharpe ratio for SPUS, currently valued at 2.25, compared to the broader market0.002.004.006.002.25
Sortino ratio
The chart of Sortino ratio for SPUS, currently valued at 2.96, compared to the broader market0.005.0010.002.96
Omega ratio
The chart of Omega ratio for SPUS, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for SPUS, currently valued at 2.98, compared to the broader market0.005.0010.0015.0020.002.98
Martin ratio
The chart of Martin ratio for SPUS, currently valued at 11.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.98
AMAGX
Sharpe ratio
The chart of Sharpe ratio for AMAGX, currently valued at 1.84, compared to the broader market0.002.004.006.001.84
Sortino ratio
The chart of Sortino ratio for AMAGX, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for AMAGX, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for AMAGX, currently valued at 2.54, compared to the broader market0.005.0010.0015.0020.002.54
Martin ratio
The chart of Martin ratio for AMAGX, currently valued at 9.23, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.23

SPUS vs. AMAGX - Sharpe Ratio Comparison

The current SPUS Sharpe Ratio is 2.25, which is comparable to the AMAGX Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of SPUS and AMAGX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.25
1.84
SPUS
AMAGX

Dividends

SPUS vs. AMAGX - Dividend Comparison

SPUS's dividend yield for the trailing twelve months is around 0.72%, more than AMAGX's 0.57% yield.


TTM20232022202120202019201820172016201520142013
SPUS
SP Funds S&P 500 Sharia Industry Exclusions ETF
0.72%0.87%1.21%0.93%1.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AMAGX
Amana Mutual Funds Trust Growth Fund
0.57%0.65%3.64%0.52%5.44%3.15%3.47%10.90%13.67%7.45%6.50%3.22%

Drawdowns

SPUS vs. AMAGX - Drawdown Comparison

The maximum SPUS drawdown since its inception was -30.80%, smaller than the maximum AMAGX drawdown of -57.64%. Use the drawdown chart below to compare losses from any high point for SPUS and AMAGX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.79%
-4.93%
SPUS
AMAGX

Volatility

SPUS vs. AMAGX - Volatility Comparison

SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS) has a higher volatility of 4.27% compared to Amana Mutual Funds Trust Growth Fund (AMAGX) at 3.86%. This indicates that SPUS's price experiences larger fluctuations and is considered to be riskier than AMAGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.27%
3.86%
SPUS
AMAGX