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HIGH vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HIGHAGG
YTD Return2.80%1.81%
1Y Return3.77%6.82%
Sharpe Ratio1.091.37
Sortino Ratio1.452.02
Omega Ratio1.281.24
Calmar Ratio1.050.55
Martin Ratio3.004.85
Ulcer Index1.18%1.68%
Daily Std Dev3.26%5.95%
Max Drawdown-3.39%-18.43%
Current Drawdown-1.05%-8.49%

Correlation

-0.50.00.51.00.0

The correlation between HIGH and AGG is 0.05, 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

HIGH vs. AGG - Performance Comparison

In the year-to-date period, HIGH achieves a 2.80% return, which is significantly higher than AGG's 1.81% 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%JuneJulyAugustSeptemberOctoberNovember
0.31%
2.73%
HIGH
AGG

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HIGH vs. AGG - Expense Ratio Comparison

HIGH has a 0.51% expense ratio, which is higher than AGG's 0.05% expense ratio.


HIGH
Simplify Enhanced Income ETF
Expense ratio chart for HIGH: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

HIGH vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Enhanced Income ETF (HIGH) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.


HIGH
Sharpe ratio
The chart of Sharpe ratio for HIGH, currently valued at 1.09, compared to the broader market-2.000.002.004.001.09
Sortino ratio
The chart of Sortino ratio for HIGH, currently valued at 1.45, compared to the broader market-2.000.002.004.006.008.0010.0012.001.45
Omega ratio
The chart of Omega ratio for HIGH, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for HIGH, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.05
Martin ratio
The chart of Martin ratio for HIGH, currently valued at 3.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.00
AGG
Sharpe ratio
The chart of Sharpe ratio for AGG, currently valued at 1.37, compared to the broader market-2.000.002.004.001.37
Sortino ratio
The chart of Sortino ratio for AGG, currently valued at 2.02, compared to the broader market-2.000.002.004.006.008.0010.0012.002.02
Omega ratio
The chart of Omega ratio for AGG, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for AGG, currently valued at 1.96, compared to the broader market0.005.0010.0015.001.96
Martin ratio
The chart of Martin ratio for AGG, currently valued at 4.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.85

HIGH vs. AGG - Sharpe Ratio Comparison

The current HIGH Sharpe Ratio is 1.09, which is comparable to the AGG Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of HIGH and AGG, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.09
1.37
HIGH
AGG

Dividends

HIGH vs. AGG - Dividend Comparison

HIGH's dividend yield for the trailing twelve months is around 8.82%, more than AGG's 3.96% yield.


TTM20232022202120202019201820172016201520142013
HIGH
Simplify Enhanced Income ETF
8.82%9.39%0.62%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGG
iShares Core U.S. Aggregate Bond ETF
3.96%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

HIGH vs. AGG - Drawdown Comparison

The maximum HIGH drawdown since its inception was -3.39%, smaller than the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for HIGH and AGG. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-3.61%
HIGH
AGG

Volatility

HIGH vs. AGG - Volatility Comparison

The current volatility for Simplify Enhanced Income ETF (HIGH) is 0.68%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.71%. This indicates that HIGH experiences smaller price fluctuations and is considered to be less risky than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
0.68%
1.71%
HIGH
AGG