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

Key characteristics


MTBARSST
YTD Return2.40%19.50%
1Y Return6.54%26.93%
Sharpe Ratio1.291.16
Sortino Ratio1.871.62
Omega Ratio1.241.21
Calmar Ratio2.101.47
Martin Ratio5.604.19
Ulcer Index1.07%6.36%
Daily Std Dev4.62%22.96%
Max Drawdown-2.84%-18.16%
Current Drawdown-2.03%-7.86%

Correlation

-0.50.00.51.00.1

The correlation between MTBA and RSST is 0.08, 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

MTBA vs. RSST - Performance Comparison

In the year-to-date period, MTBA achieves a 2.40% return, which is significantly lower than RSST's 19.50% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.11%
1.60%
MTBA
RSST

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MTBA vs. RSST - Expense Ratio Comparison

MTBA has a 0.15% expense ratio, which is lower than RSST's 1.04% expense ratio.


RSST
Return Stacked U.S. Stocks & Managed Futures ETF
Expense ratio chart for RSST: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
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. RSST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify MBS ETF (MTBA) and Return Stacked U.S. Stocks & Managed Futures ETF (RSST). 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 1.29, compared to the broader market-2.000.002.004.006.001.29
Sortino ratio
The chart of Sortino ratio for MTBA, currently valued at 1.87, compared to the broader market-2.000.002.004.006.008.0010.0012.001.87
Omega ratio
The chart of Omega ratio for MTBA, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for MTBA, currently valued at 2.10, compared to the broader market0.005.0010.0015.002.10
Martin ratio
The chart of Martin ratio for MTBA, currently valued at 5.60, compared to the broader market0.0020.0040.0060.0080.00100.005.60
RSST
Sharpe ratio
The chart of Sharpe ratio for RSST, currently valued at 1.16, compared to the broader market-2.000.002.004.006.001.16
Sortino ratio
The chart of Sortino ratio for RSST, currently valued at 1.62, compared to the broader market-2.000.002.004.006.008.0010.0012.001.62
Omega ratio
The chart of Omega ratio for RSST, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for RSST, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.47
Martin ratio
The chart of Martin ratio for RSST, currently valued at 4.19, compared to the broader market0.0020.0040.0060.0080.00100.004.19

MTBA vs. RSST - Sharpe Ratio Comparison

The current MTBA Sharpe Ratio is 1.29, which is comparable to the RSST Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of MTBA and RSST, 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 Ratio1.161.181.201.221.241.261.281.30
1.29
1.16
MTBA
RSST

Dividends

MTBA vs. RSST - Dividend Comparison

MTBA's dividend yield for the trailing twelve months is around 5.45%, more than RSST's 0.78% yield.


TTM2023
MTBA
Simplify MBS ETF
5.45%0.48%
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
0.78%0.93%

Drawdowns

MTBA vs. RSST - Drawdown Comparison

The maximum MTBA drawdown since its inception was -2.84%, smaller than the maximum RSST drawdown of -18.16%. Use the drawdown chart below to compare losses from any high point for MTBA and RSST. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.03%
-7.86%
MTBA
RSST

Volatility

MTBA vs. RSST - Volatility Comparison

The current volatility for Simplify MBS ETF (MTBA) is 1.22%, while Return Stacked U.S. Stocks & Managed Futures ETF (RSST) has a volatility of 7.83%. This indicates that MTBA experiences smaller price fluctuations and is considered to be less risky than RSST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.22%
7.83%
MTBA
RSST