PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QIS vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


QIS^SP500TR
YTD Return-1.19%26.96%
1Y Return-1.55%35.01%
Sharpe Ratio-0.053.06
Sortino Ratio0.014.07
Omega Ratio1.001.58
Calmar Ratio-0.084.45
Martin Ratio-0.2120.17
Ulcer Index2.70%1.87%
Daily Std Dev11.22%12.28%
Max Drawdown-7.51%-55.25%
Current Drawdown-6.70%-0.26%

Correlation

-0.50.00.51.0-0.2

The correlation between QIS and ^SP500TR is -0.16. 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.

Performance

QIS vs. ^SP500TR - Performance Comparison

In the year-to-date period, QIS achieves a -1.19% return, which is significantly lower than ^SP500TR's 26.96% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.87%
13.49%
QIS
^SP500TR

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

QIS vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Multi-Qis Alternative ETF (QIS) and S&P 500 Total Return (^SP500TR). 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.


QIS
Sharpe ratio
The chart of Sharpe ratio for QIS, currently valued at -0.14, compared to the broader market-2.000.002.004.00-0.14
Sortino ratio
The chart of Sortino ratio for QIS, currently valued at -0.12, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.12
Omega ratio
The chart of Omega ratio for QIS, currently valued at 0.98, compared to the broader market1.001.502.002.503.000.98
Calmar ratio
The chart of Calmar ratio for QIS, currently valued at -0.21, compared to the broader market0.005.0010.0015.00-0.21
Martin ratio
The chart of Martin ratio for QIS, currently valued at -0.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.57
^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 3.06, compared to the broader market-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 4.07, compared to the broader market-2.000.002.004.006.008.0010.0012.004.07
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 4.45, compared to the broader market0.005.0010.0015.004.45
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 20.17, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.17

QIS vs. ^SP500TR - Sharpe Ratio Comparison

The current QIS Sharpe Ratio is -0.05, which is lower than the ^SP500TR Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of QIS and ^SP500TR, 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 10
-0.14
3.06
QIS
^SP500TR

Drawdowns

QIS vs. ^SP500TR - Drawdown Comparison

The maximum QIS drawdown since its inception was -7.51%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for QIS and ^SP500TR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.70%
-0.26%
QIS
^SP500TR

Volatility

QIS vs. ^SP500TR - Volatility Comparison

The current volatility for Simplify Multi-Qis Alternative ETF (QIS) is 3.05%, while S&P 500 Total Return (^SP500TR) has a volatility of 3.75%. This indicates that QIS experiences smaller price fluctuations and is considered to be less risky than ^SP500TR 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
3.05%
3.75%
QIS
^SP500TR