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AMDY vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


AMDY^GSPC
YTD Return-3.59%21.88%
1Y Return28.84%38.63%
Sharpe Ratio0.813.27
Sortino Ratio1.244.32
Omega Ratio1.181.61
Calmar Ratio0.993.15
Martin Ratio2.0021.07
Ulcer Index15.83%1.88%
Daily Std Dev39.14%12.10%
Max Drawdown-32.05%-56.78%
Current Drawdown-21.12%-0.87%

Correlation

-0.50.00.51.00.6

The correlation between AMDY and ^GSPC is 0.58, 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

AMDY vs. ^GSPC - Performance Comparison

In the year-to-date period, AMDY achieves a -3.59% return, which is significantly lower than ^GSPC's 21.88% 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%15.00%20.00%25.00%JuneJulyAugustSeptemberOctober
5.88%
15.84%
AMDY
^GSPC

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Risk-Adjusted Performance

AMDY vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for YieldMax AMD Option Income Strategy ETF (AMDY) and S&P 500 (^GSPC). 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.


AMDY
Sharpe ratio
The chart of Sharpe ratio for AMDY, currently valued at 0.81, compared to the broader market-2.000.002.004.006.000.81
Sortino ratio
The chart of Sortino ratio for AMDY, currently valued at 1.24, compared to the broader market0.005.0010.001.24
Omega ratio
The chart of Omega ratio for AMDY, currently valued at 1.18, compared to the broader market1.001.502.002.503.003.501.18
Calmar ratio
The chart of Calmar ratio for AMDY, currently valued at 0.99, compared to the broader market0.005.0010.0015.000.99
Martin ratio
The chart of Martin ratio for AMDY, currently valued at 2.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.27, compared to the broader market-2.000.002.004.006.003.27
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.61, compared to the broader market1.001.502.002.503.003.501.61
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.66, compared to the broader market0.005.0010.0015.004.66
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 21.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.07

AMDY vs. ^GSPC - Sharpe Ratio Comparison

The current AMDY Sharpe Ratio is 0.81, which is lower than the ^GSPC Sharpe Ratio of 3.27. The chart below compares the historical Sharpe Ratios of AMDY and ^GSPC, 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 Ratio1.001.502.002.503.003.50Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27
0.81
3.27
AMDY
^GSPC

Drawdowns

AMDY vs. ^GSPC - Drawdown Comparison

The maximum AMDY drawdown since its inception was -32.05%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AMDY and ^GSPC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-21.12%
-0.87%
AMDY
^GSPC

Volatility

AMDY vs. ^GSPC - Volatility Comparison

YieldMax AMD Option Income Strategy ETF (AMDY) has a higher volatility of 12.04% compared to S&P 500 (^GSPC) at 2.54%. This indicates that AMDY's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
12.04%
2.54%
AMDY
^GSPC