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RSBT vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

RSBT vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Return Stacked Bonds & Managed Futures ETF (RSBT) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-8.14%
13.19%
RSBT
SPY

Returns By Period

In the year-to-date period, RSBT achieves a -2.55% return, which is significantly lower than SPY's 26.47% return.


RSBT

YTD

-2.55%

1M

-0.30%

6M

-8.14%

1Y

0.04%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

26.47%

1M

3.03%

6M

13.19%

1Y

32.65%

5Y (annualized)

15.68%

10Y (annualized)

13.14%

Key characteristics


RSBTSPY
Sharpe Ratio0.002.69
Sortino Ratio0.103.59
Omega Ratio1.011.50
Calmar Ratio0.003.88
Martin Ratio0.0117.47
Ulcer Index5.57%1.87%
Daily Std Dev13.85%12.14%
Max Drawdown-18.78%-55.19%
Current Drawdown-16.88%-0.54%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for RSBT, currently valued at 0.00, compared to the broader market0.002.004.000.002.69
The chart of Sortino ratio for RSBT, currently valued at 0.10, compared to the broader market-2.000.002.004.006.008.0010.0012.000.103.59
The chart of Omega ratio for RSBT, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.50
The chart of Calmar ratio for RSBT, currently valued at 0.00, compared to the broader market0.005.0010.0015.000.003.88
The chart of Martin ratio for RSBT, currently valued at 0.01, compared to the broader market0.0020.0040.0060.0080.00100.000.0117.47
RSBT
SPY

The current RSBT Sharpe Ratio is 0.00, which is lower than the SPY Sharpe Ratio of 2.69. 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
0.00
2.69
RSBT
SPY

Dividends

RSBT vs. SPY - Dividend Comparison

RSBT's dividend yield for the trailing twelve months is around 2.44%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
RSBT
Return Stacked Bonds & Managed Futures ETF
2.44%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
1.18%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
-16.88%
-0.54%
RSBT
SPY

Volatility

RSBT vs. SPY - Volatility Comparison

The current volatility for Return Stacked Bonds & Managed Futures ETF (RSBT) is 3.74%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that RSBT 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%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.74%
3.98%
RSBT
SPY