PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QIS vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

QIS vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Multi-Qis Alternative ETF (QIS) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.66%
13.58%
QIS
SPY

Returns By Period

In the year-to-date period, QIS achieves a 0.31% return, which is significantly lower than SPY's 26.08% return.


QIS

YTD

0.31%

1M

2.12%

6M

-2.65%

1Y

-0.12%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

26.08%

1M

1.77%

6M

13.59%

1Y

32.24%

5Y (annualized)

15.62%

10Y (annualized)

13.10%

Key characteristics


QISSPY
Sharpe Ratio0.012.70
Sortino Ratio0.093.60
Omega Ratio1.011.50
Calmar Ratio0.013.90
Martin Ratio0.0417.52
Ulcer Index2.83%1.87%
Daily Std Dev11.21%12.14%
Max Drawdown-7.51%-55.19%
Current Drawdown-5.29%-0.85%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QIS vs. SPY - Expense Ratio Comparison

QIS has a 1.00% expense ratio, which is higher than SPY's 0.09% expense ratio.


QIS
Simplify Multi-Qis Alternative ETF
Expense ratio chart for QIS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.0-0.2

The correlation between QIS and SPY is -0.17. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

QIS vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Multi-Qis Alternative ETF (QIS) and SPDR S&P 500 ETF (SPY). 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 QIS, currently valued at 0.01, compared to the broader market0.002.004.000.012.70
The chart of Sortino ratio for QIS, currently valued at 0.09, compared to the broader market-2.000.002.004.006.008.0010.0012.000.093.60
The chart of Omega ratio for QIS, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.50
The chart of Calmar ratio for QIS, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.013.90
The chart of Martin ratio for QIS, currently valued at 0.04, compared to the broader market0.0020.0040.0060.0080.00100.000.0417.52
QIS
SPY

The current QIS Sharpe Ratio is 0.01, which is lower than the SPY Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of QIS and SPY, 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 Ratio0.001.002.003.004.00Jul 14Jul 21Jul 28Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
0.01
2.70
QIS
SPY

Dividends

QIS vs. SPY - Dividend Comparison

QIS's dividend yield for the trailing twelve months is around 4.33%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
QIS
Simplify Multi-Qis Alternative ETF
4.33%3.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QIS vs. SPY - Drawdown Comparison

The maximum QIS drawdown since its inception was -7.51%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QIS and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.29%
-0.85%
QIS
SPY

Volatility

QIS vs. SPY - Volatility Comparison

The current volatility for Simplify Multi-Qis Alternative ETF (QIS) is 2.65%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that QIS experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.65%
3.98%
QIS
SPY