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

Correlation

The correlation between CSF and SPY is 0.69, 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.


-0.50.00.51.00.7

Performance

CSF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.60%
9.25%
CSF
SPY

Key characteristics

Sharpe Ratio

CSF:

0.74

SPY:

2.21

Sortino Ratio

CSF:

1.18

SPY:

2.93

Omega Ratio

CSF:

1.14

SPY:

1.41

Calmar Ratio

CSF:

0.54

SPY:

3.26

Martin Ratio

CSF:

4.42

SPY:

14.43

Ulcer Index

CSF:

3.18%

SPY:

1.90%

Daily Std Dev

CSF:

19.06%

SPY:

12.41%

Max Drawdown

CSF:

-35.93%

SPY:

-55.19%

Current Drawdown

CSF:

-11.73%

SPY:

-2.74%

Returns By Period

In the year-to-date period, CSF achieves a 13.69% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, CSF has underperformed SPY with an annualized return of 5.31%, while SPY has yielded a comparatively higher 12.97% annualized return.


CSF

YTD

13.69%

1M

-3.60%

6M

12.55%

1Y

13.57%

5Y*

8.57%

10Y*

5.31%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


CSF vs. SPY - Expense Ratio Comparison

CSF has a 0.35% expense ratio, which is higher than SPY's 0.09% expense ratio.


CSF
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Expense ratio chart for CSF: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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

CSF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) 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.


Sharpe ratio
The chart of Sharpe ratio for CSF, currently valued at 0.74, compared to the broader market0.002.004.000.742.21
The chart of Sortino ratio for CSF, currently valued at 1.18, compared to the broader market-2.000.002.004.006.008.0010.001.182.93
The chart of Omega ratio for CSF, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.41
The chart of Calmar ratio for CSF, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.543.26
The chart of Martin ratio for CSF, currently valued at 4.42, compared to the broader market0.0020.0040.0060.0080.00100.004.4214.43
CSF
SPY

The current CSF Sharpe Ratio is 0.74, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of CSF 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.74
2.21
CSF
SPY

Dividends

CSF vs. SPY - Dividend Comparison

CSF's dividend yield for the trailing twelve months is around 1.47%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
CSF
VictoryShares US Discovery Enhanced Volatility Wtd ETF
1.47%3.07%1.46%1.27%0.99%1.65%1.34%1.05%0.90%1.11%0.40%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CSF vs. SPY - Drawdown Comparison

The maximum CSF drawdown since its inception was -35.93%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CSF and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.73%
-2.74%
CSF
SPY

Volatility

CSF vs. SPY - Volatility Comparison

VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) has a higher volatility of 5.30% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that CSF's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.30%
3.72%
CSF
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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