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MTBA vs. AGGH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MTBAAGGH
YTD Return1.83%1.14%
1Y Return4.90%6.04%
Sharpe Ratio1.270.78
Sortino Ratio1.851.16
Omega Ratio1.231.14
Calmar Ratio2.070.90
Martin Ratio5.363.12
Ulcer Index1.10%2.29%
Daily Std Dev4.61%9.18%
Max Drawdown-2.84%-13.26%
Current Drawdown-2.57%-5.06%

Correlation

-0.50.00.51.00.6

The correlation between MTBA and AGGH is 0.62, 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.

Performance

MTBA vs. AGGH - Performance Comparison

In the year-to-date period, MTBA achieves a 1.83% return, which is significantly higher than AGGH's 1.14% 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
1.67%
2.69%
MTBA
AGGH

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MTBA vs. AGGH - Expense Ratio Comparison

MTBA has a 0.15% expense ratio, which is lower than AGGH's 0.33% expense ratio.


AGGH
Simplify Aggregate Bond ETF
Expense ratio chart for AGGH: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for MTBA: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

MTBA vs. AGGH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify MBS ETF (MTBA) and Simplify Aggregate Bond ETF (AGGH). 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.


MTBA
Sharpe ratio
The chart of Sharpe ratio for MTBA, currently valued at 1.27, compared to the broader market-2.000.002.004.006.001.27
Sortino ratio
The chart of Sortino ratio for MTBA, currently valued at 1.85, compared to the broader market-2.000.002.004.006.008.0010.0012.001.85
Omega ratio
The chart of Omega ratio for MTBA, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for MTBA, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.07
Martin ratio
The chart of Martin ratio for MTBA, currently valued at 5.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.36
AGGH
Sharpe ratio
The chart of Sharpe ratio for AGGH, currently valued at 0.78, compared to the broader market-2.000.002.004.006.000.78
Sortino ratio
The chart of Sortino ratio for AGGH, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.0010.0012.001.16
Omega ratio
The chart of Omega ratio for AGGH, currently valued at 1.14, compared to the broader market1.001.502.002.503.001.14
Calmar ratio
The chart of Calmar ratio for AGGH, currently valued at 1.31, compared to the broader market0.005.0010.0015.001.31
Martin ratio
The chart of Martin ratio for AGGH, currently valued at 3.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.12

MTBA vs. AGGH - Sharpe Ratio Comparison

The current MTBA Sharpe Ratio is 1.27, which is higher than the AGGH Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of MTBA and AGGH, 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 Ratio0.800.901.001.101.201.301.4012 PMSat 0912 PMNov 1012 PMMon 1112 PMTue 1212 PMWed 13
1.27
0.78
MTBA
AGGH

Dividends

MTBA vs. AGGH - Dividend Comparison

MTBA's dividend yield for the trailing twelve months is around 5.48%, less than AGGH's 9.76% yield.


TTM20232022
MTBA
Simplify MBS ETF
5.48%0.48%0.00%
AGGH
Simplify Aggregate Bond ETF
9.76%9.51%2.11%

Drawdowns

MTBA vs. AGGH - Drawdown Comparison

The maximum MTBA drawdown since its inception was -2.84%, smaller than the maximum AGGH drawdown of -13.26%. Use the drawdown chart below to compare losses from any high point for MTBA and AGGH. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.57%
-5.06%
MTBA
AGGH

Volatility

MTBA vs. AGGH - Volatility Comparison

The current volatility for Simplify MBS ETF (MTBA) is 1.27%, while Simplify Aggregate Bond ETF (AGGH) has a volatility of 2.02%. This indicates that MTBA experiences smaller price fluctuations and is considered to be less risky than AGGH 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%JuneJulyAugustSeptemberOctoberNovember
1.27%
2.02%
MTBA
AGGH