MRSK vs. ^SP500TR
MRSK (Agility Shares Managed Risk ETF) is Equity Hedged fund actively managed by Toews, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 5 years, MRSK returned 7.63%/yr vs 13.15%/yr for ^SP500TR. Their correlation of 0.84 means they have usually moved in the same direction.
Performance
MRSK vs. ^SP500TR - Performance Comparison
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Returns By Period
In the year-to-date period, MRSK achieves a 6.64% return, which is significantly lower than ^SP500TR's 11.77% return.
MRSK
- 1D
- 0.81%
- 1M
- 1.48%
- 6M
- 5.13%
- YTD
- 6.64%
- 1Y
- 17.03%
- 3Y*
- 11.11%
- 5Y*
- 7.63%
- 10Y*
- —
- ALL TIME*
- 11.15%
^SP500TR
- 1D
- 1.49%
- 1M
- 1.63%
- 6M
- 9.58%
- YTD
- 11.77%
- 1Y
- 23.31%
- 3Y*
- 20.89%
- 5Y*
- 13.15%
- 10Y*
- 15.19%
- ALL TIME*
- 11.49%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^SP500TR S&P 500 Total Return | $0.00 | $0.00 | $0.00 |
| $835.57K | $1.53M | $1.06M |
MRSK vs. ^SP500TR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
MRSK Agility Shares Managed Risk ETF | 6.64% | 11.93% | 14.62% | 13.29% | -11.86% | 20.74% | 15.57% |
^SP500TR S&P 500 Total Return | 11.77% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 24.20% |
Correlation
The correlation between MRSK and ^SP500TR is 0.86, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.86 |
Correlation (3Y) Balances recent behavior with more history. | 0.89 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.88 |
Correlation (All Time) Calculated using the full available price history since Jun 25, 2020 | 0.84 |
The correlation between MRSK and ^SP500TR has been stable across timeframes, ranging from 0.84 to 0.89 - a consistent structural relationship.
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Return for Risk
MRSK vs. ^SP500TR — Risk / Return Rank
MRSK
^SP500TR
MRSK vs. ^SP500TR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) and S&P 500 Total Return (^SP500TR). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MRSK | ^SP500TR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.33 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.19 | 2.63 | -0.45 |
| Martin ratioReturn relative to average drawdown | 8.57 | 11.31 | -2.74 |
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Drawdowns
MRSK vs. ^SP500TR - Drawdown Comparison
The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for MRSK and ^SP500TR.
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Drawdown Indicators
| MRSK | ^SP500TR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.70% | -55.25% | +40.55% |
Max Drawdown (1Y)Largest decline over 1 year | -7.82% | -8.89% | +1.07% |
Max Drawdown (3Y)Largest decline over 3 years | -12.22% | -18.75% | +6.53% |
Max Drawdown (5Y)Largest decline over 5 years | -14.70% | -24.49% | +9.79% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.79% | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -3.51% | -8.14% | +4.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 2.07% | -0.08% |
Volatility
MRSK vs. ^SP500TR - Volatility Comparison
The current volatility for Agility Shares Managed Risk ETF (MRSK) is 1.93%, while S&P 500 Total Return (^SP500TR) has a volatility of 3.81%. This indicates that MRSK experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MRSK | ^SP500TR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.93% | 3.81% | -1.88% |
Volatility (6M)Calculated over the trailing 6-month period | 8.09% | 10.20% | -2.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.91% | 12.86% | -1.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.78% | 17.02% | -5.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.80% | 18.08% | -6.28% |
Frequently Asked Questions
MRSK and ^SP500TR have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SP500TR has higher volatility (3.81%) compared to MRSK (1.93%). In terms of maximum drawdown, MRSK dropped -14.70% vs ^SP500TR's -55.25%.
^SP500TR currently has the higher Sharpe Ratio (1.82 vs 1.57), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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