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

Key characteristics


CDXCRDT
YTD Return9.75%3.81%
1Y Return12.17%6.63%
Sharpe Ratio1.991.39
Sortino Ratio2.772.08
Omega Ratio1.351.26
Calmar Ratio4.692.71
Martin Ratio15.566.87
Ulcer Index0.84%1.13%
Daily Std Dev6.55%5.56%
Max Drawdown-13.24%-2.85%
Current Drawdown-1.04%-1.17%

Correlation

-0.50.00.51.00.2

The correlation between CDX and CRDT is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CDX vs. CRDT - Performance Comparison

In the year-to-date period, CDX achieves a 9.75% return, which is significantly higher than CRDT's 3.81% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.99%
3.23%
CDX
CRDT

Compare stocks, funds, or ETFs

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


CDX vs. CRDT - Expense Ratio Comparison

CDX has a 0.26% expense ratio, which is lower than CRDT's 0.50% expense ratio.


CRDT
Simplify Opportunistic Income ETF
Expense ratio chart for CRDT: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for CDX: current value at 0.26% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.26%

Risk-Adjusted Performance

CDX vs. CRDT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify High Yield PLUS Credit Hedge ETF (CDX) and Simplify Opportunistic Income ETF (CRDT). 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.


CDX
Sharpe ratio
The chart of Sharpe ratio for CDX, currently valued at 1.99, compared to the broader market-2.000.002.004.006.001.99
Sortino ratio
The chart of Sortino ratio for CDX, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.0012.002.77
Omega ratio
The chart of Omega ratio for CDX, currently valued at 1.35, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for CDX, currently valued at 4.69, compared to the broader market0.005.0010.0015.004.69
Martin ratio
The chart of Martin ratio for CDX, currently valued at 15.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.56
CRDT
Sharpe ratio
The chart of Sharpe ratio for CRDT, currently valued at 1.39, compared to the broader market-2.000.002.004.006.001.39
Sortino ratio
The chart of Sortino ratio for CRDT, currently valued at 2.08, compared to the broader market-2.000.002.004.006.008.0010.0012.002.08
Omega ratio
The chart of Omega ratio for CRDT, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for CRDT, currently valued at 2.71, compared to the broader market0.005.0010.0015.002.71
Martin ratio
The chart of Martin ratio for CRDT, currently valued at 6.87, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.87

CDX vs. CRDT - Sharpe Ratio Comparison

The current CDX Sharpe Ratio is 1.99, which is higher than the CRDT Sharpe Ratio of 1.39. The chart below compares the historical Sharpe Ratios of CDX and CRDT, 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 Ratio1.001.502.002.503.00Jun 30Jul 07Jul 14Jul 21Jul 28Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
1.99
1.39
CDX
CRDT

Dividends

CDX vs. CRDT - Dividend Comparison

CDX's dividend yield for the trailing twelve months is around 7.47%, more than CRDT's 7.39% yield.


TTM20232022
CDX
Simplify High Yield PLUS Credit Hedge ETF
7.47%5.26%7.51%
CRDT
Simplify Opportunistic Income ETF
7.39%2.58%0.00%

Drawdowns

CDX vs. CRDT - Drawdown Comparison

The maximum CDX drawdown since its inception was -13.24%, which is greater than CRDT's maximum drawdown of -2.85%. Use the drawdown chart below to compare losses from any high point for CDX and CRDT. For additional features, visit the drawdowns tool.


-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.04%
-1.17%
CDX
CRDT

Volatility

CDX vs. CRDT - Volatility Comparison

Simplify High Yield PLUS Credit Hedge ETF (CDX) has a higher volatility of 2.12% compared to Simplify Opportunistic Income ETF (CRDT) at 1.53%. This indicates that CDX's price experiences larger fluctuations and is considered to be riskier than CRDT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.12%
1.53%
CDX
CRDT