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MTBA vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

MTBA vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify MBS ETF (MTBA) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.12%
11.49%
MTBA
^GSPC

Returns By Period

In the year-to-date period, MTBA achieves a 1.85% return, which is significantly lower than ^GSPC's 24.05% return.


MTBA

YTD

1.85%

1M

-0.49%

6M

2.12%

1Y

4.40%

5Y (annualized)

N/A

10Y (annualized)

N/A

^GSPC

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Key characteristics


MTBA^GSPC
Sharpe Ratio1.012.46
Sortino Ratio1.453.31
Omega Ratio1.181.46
Calmar Ratio1.603.55
Martin Ratio3.9315.76
Ulcer Index1.16%1.91%
Daily Std Dev4.49%12.23%
Max Drawdown-2.84%-56.78%
Current Drawdown-2.55%-1.40%

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Correlation

-0.50.00.51.00.2

The correlation between MTBA and ^GSPC is 0.20, 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. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify MBS ETF (MTBA) and S&P 500 (^GSPC). 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 1.01, compared to the broader market0.002.004.001.012.46
The chart of Sortino ratio for MTBA, currently valued at 1.45, compared to the broader market-2.000.002.004.006.008.0010.0012.001.453.31
The chart of Omega ratio for MTBA, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.46
The chart of Calmar ratio for MTBA, currently valued at 1.60, compared to the broader market0.005.0010.0015.001.603.55
The chart of Martin ratio for MTBA, currently valued at 3.93, compared to the broader market0.0020.0040.0060.0080.00100.003.9315.76
MTBA
^GSPC

The current MTBA Sharpe Ratio is 1.01, which is lower than the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of MTBA and ^GSPC, 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 Ratio1.001.502.002.503.00Sat 09Nov 10Mon 11Tue 12Wed 13Thu 14Fri 15Sat 16Nov 17Mon 18Tue 19Wed 20
1.01
2.46
MTBA
^GSPC

Drawdowns

MTBA vs. ^GSPC - Drawdown Comparison

The maximum MTBA drawdown since its inception was -2.84%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MTBA and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.55%
-1.40%
MTBA
^GSPC

Volatility

MTBA vs. ^GSPC - Volatility Comparison

The current volatility for Simplify MBS ETF (MTBA) is 1.16%, while S&P 500 (^GSPC) has a volatility of 4.07%. This indicates that MTBA experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%6.00%JuneJulyAugustSeptemberOctoberNovember
1.16%
4.07%
MTBA
^GSPC