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BMAR vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BMARSPY
YTD Return16.47%26.77%
1Y Return23.88%37.43%
3Y Return (Ann)10.51%10.15%
Sharpe Ratio3.103.06
Sortino Ratio4.284.08
Omega Ratio1.651.58
Calmar Ratio4.344.44
Martin Ratio20.6420.11
Ulcer Index1.15%1.85%
Daily Std Dev7.68%12.18%
Max Drawdown-21.43%-55.19%
Current Drawdown-0.05%-0.31%

Correlation

-0.50.00.51.01.0

The correlation between BMAR and SPY is 0.95, 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

BMAR vs. SPY - Performance Comparison

In the year-to-date period, BMAR achieves a 16.47% return, which is significantly lower than SPY's 26.77% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
10.29%
14.78%
BMAR
SPY

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BMAR vs. SPY - Expense Ratio Comparison

BMAR has a 0.79% expense ratio, which is higher than SPY's 0.09% expense ratio.


BMAR
Innovator U.S. Equity Buffer ETF - March
Expense ratio chart for BMAR: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BMAR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Equity Buffer ETF - March (BMAR) and SPDR S&P 500 ETF (SPY). 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.


BMAR
Sharpe ratio
The chart of Sharpe ratio for BMAR, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Sortino ratio
The chart of Sortino ratio for BMAR, currently valued at 4.28, compared to the broader market-2.000.002.004.006.008.0010.0012.004.28
Omega ratio
The chart of Omega ratio for BMAR, currently valued at 1.65, compared to the broader market1.001.502.002.503.001.65
Calmar ratio
The chart of Calmar ratio for BMAR, currently valued at 4.34, compared to the broader market0.005.0010.0015.004.34
Martin ratio
The chart of Martin ratio for BMAR, currently valued at 20.64, compared to the broader market0.0020.0040.0060.0080.00100.0020.64
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.0020.11

BMAR vs. SPY - Sharpe Ratio Comparison

The current BMAR Sharpe Ratio is 3.10, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of BMAR and SPY, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.10
3.06
BMAR
SPY

Dividends

BMAR vs. SPY - Dividend Comparison

BMAR has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
BMAR
Innovator U.S. Equity Buffer ETF - March
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BMAR vs. SPY - Drawdown Comparison

The maximum BMAR drawdown since its inception was -21.43%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BMAR and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.05%
-0.31%
BMAR
SPY

Volatility

BMAR vs. SPY - Volatility Comparison

The current volatility for Innovator U.S. Equity Buffer ETF - March (BMAR) is 2.20%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that BMAR experiences smaller price fluctuations and is considered to be less risky than SPY 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%JuneJulyAugustSeptemberOctoberNovember
2.20%
3.88%
BMAR
SPY