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

Performance

MTBA vs. XLK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify MBS ETF (MTBA) and Technology Select Sector SPDR Fund (XLK). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.26%
8.94%
MTBA
XLK

Returns By Period

In the year-to-date period, MTBA achieves a 1.93% return, which is significantly lower than XLK's 22.00% return.


MTBA

YTD

1.93%

1M

-0.10%

6M

2.26%

1Y

4.59%

5Y (annualized)

N/A

10Y (annualized)

N/A

XLK

YTD

22.00%

1M

2.26%

6M

8.94%

1Y

27.37%

5Y (annualized)

23.15%

10Y (annualized)

20.32%

Key characteristics


MTBAXLK
Sharpe Ratio1.021.26
Sortino Ratio1.461.73
Omega Ratio1.181.23
Calmar Ratio1.611.61
Martin Ratio3.895.56
Ulcer Index1.18%4.92%
Daily Std Dev4.49%21.68%
Max Drawdown-2.84%-82.05%
Current Drawdown-2.48%-1.61%

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MTBA vs. XLK - Expense Ratio Comparison

MTBA has a 0.15% expense ratio, which is higher than XLK's 0.13% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


MTBA
Simplify MBS ETF
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%
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Correlation

-0.50.00.51.00.1

The correlation between MTBA and XLK is 0.09, 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.

Risk-Adjusted Performance

MTBA vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify MBS ETF (MTBA) and Technology Select Sector SPDR Fund (XLK). 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 MTBA, currently valued at 1.02, compared to the broader market0.002.004.001.021.26
The chart of Sortino ratio for MTBA, currently valued at 1.46, compared to the broader market-2.000.002.004.006.008.0010.0012.001.461.73
The chart of Omega ratio for MTBA, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.23
The chart of Calmar ratio for MTBA, currently valued at 1.61, compared to the broader market0.005.0010.0015.0020.001.611.61
The chart of Martin ratio for MTBA, currently valued at 3.89, compared to the broader market0.0020.0040.0060.0080.00100.003.895.56
MTBA
XLK

The current MTBA Sharpe Ratio is 1.02, which is comparable to the XLK Sharpe Ratio of 1.26. The chart below compares the historical Sharpe Ratios of MTBA and XLK, 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 Ratio1.001.101.201.301.401.501.60Sat 09Nov 10Mon 11Tue 12Wed 13Thu 14Fri 15Sat 16Nov 17Mon 18Tue 19Wed 20Thu 21Fri 22
1.02
1.26
MTBA
XLK

Dividends

MTBA vs. XLK - Dividend Comparison

MTBA's dividend yield for the trailing twelve months is around 5.47%, more than XLK's 0.67% yield.


TTM20232022202120202019201820172016201520142013
MTBA
Simplify MBS ETF
5.47%0.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLK
Technology Select Sector SPDR Fund
0.67%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

MTBA vs. XLK - Drawdown Comparison

The maximum MTBA drawdown since its inception was -2.84%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for MTBA and XLK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.48%
-1.61%
MTBA
XLK

Volatility

MTBA vs. XLK - Volatility Comparison

The current volatility for Simplify MBS ETF (MTBA) is 1.16%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 6.25%. This indicates that MTBA experiences smaller price fluctuations and is considered to be less risky than XLK 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%12.00%JuneJulyAugustSeptemberOctoberNovember
1.16%
6.25%
MTBA
XLK