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

Key characteristics


RSBTSPY
YTD Return-2.14%27.04%
1Y Return-0.01%39.75%
Sharpe Ratio-0.023.15
Sortino Ratio0.064.19
Omega Ratio1.011.59
Calmar Ratio-0.024.60
Martin Ratio-0.0620.85
Ulcer Index4.98%1.85%
Daily Std Dev13.79%12.29%
Max Drawdown-18.78%-55.19%
Current Drawdown-16.53%0.00%

Correlation

-0.50.00.51.00.5

The correlation between RSBT and SPY is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

RSBT vs. SPY - Performance Comparison

In the year-to-date period, RSBT achieves a -2.14% return, which is significantly lower than SPY's 27.04% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
-7.20%
15.58%
RSBT
SPY

Compare stocks, funds, or ETFs

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


RSBT vs. SPY - Expense Ratio Comparison

RSBT has a 0.97% expense ratio, which is higher than SPY's 0.09% expense ratio.


RSBT
Return Stacked Bonds & Managed Futures ETF
Expense ratio chart for RSBT: current value at 0.97% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.97%
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%

Risk-Adjusted Performance

RSBT vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Return Stacked Bonds & Managed Futures ETF (RSBT) 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.


RSBT
Sharpe ratio
The chart of Sharpe ratio for RSBT, currently valued at -0.02, compared to the broader market-2.000.002.004.00-0.02
Sortino ratio
The chart of Sortino ratio for RSBT, currently valued at 0.06, compared to the broader market-2.000.002.004.006.008.0010.0012.000.06
Omega ratio
The chart of Omega ratio for RSBT, currently valued at 1.01, compared to the broader market1.001.502.002.503.001.01
Calmar ratio
The chart of Calmar ratio for RSBT, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.02
Martin ratio
The chart of Martin ratio for RSBT, currently valued at -0.06, compared to the broader market0.0020.0040.0060.0080.00100.00-0.06
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market-2.000.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

RSBT vs. SPY - Sharpe Ratio Comparison

The current RSBT Sharpe Ratio is -0.02, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of RSBT 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.02
3.15
RSBT
SPY

Dividends

RSBT vs. SPY - Dividend Comparison

RSBT's dividend yield for the trailing twelve months is around 2.43%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
RSBT
Return Stacked Bonds & Managed Futures ETF
2.43%2.38%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
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

RSBT vs. SPY - Drawdown Comparison

The maximum RSBT drawdown since its inception was -18.78%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RSBT and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-16.53%
0
RSBT
SPY

Volatility

RSBT vs. SPY - Volatility Comparison

Return Stacked Bonds & Managed Futures ETF (RSBT) has a higher volatility of 4.26% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that RSBT's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
3.95%
RSBT
SPY