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

Key characteristics


RSSTRSSB
YTD Return19.50%15.34%
Daily Std Dev22.96%14.08%
Max Drawdown-18.16%-7.78%
Current Drawdown-7.86%-2.00%

Correlation

-0.50.00.51.00.7

The correlation between RSST and RSSB is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

RSST vs. RSSB - Performance Comparison

In the year-to-date period, RSST achieves a 19.50% return, which is significantly higher than RSSB's 15.34% 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%JuneJulyAugustSeptemberOctoberNovember
1.59%
11.38%
RSST
RSSB

Compare stocks, funds, or ETFs

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


RSST vs. RSSB - Expense Ratio Comparison

RSST has a 1.04% expense ratio, which is higher than RSSB's 0.41% expense ratio.


RSST
Return Stacked U.S. Stocks & Managed Futures ETF
Expense ratio chart for RSST: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
Expense ratio chart for RSSB: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Risk-Adjusted Performance

RSST vs. RSSB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Return Stacked U.S. Stocks & Managed Futures ETF (RSST) and Return Stacked Global Stocks & Bonds ETF (RSSB). 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.


RSST
Sharpe ratio
The chart of Sharpe ratio for RSST, currently valued at 1.16, compared to the broader market-2.000.002.004.001.16
Sortino ratio
The chart of Sortino ratio for RSST, currently valued at 1.62, compared to the broader market-2.000.002.004.006.008.0010.0012.001.62
Omega ratio
The chart of Omega ratio for RSST, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for RSST, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.47
Martin ratio
The chart of Martin ratio for RSST, currently valued at 4.19, compared to the broader market0.0020.0040.0060.0080.00100.004.19
RSSB
Sharpe ratio
No data

RSST vs. RSSB - Sharpe Ratio Comparison


Chart placeholderNot enough data

Dividends

RSST vs. RSSB - Dividend Comparison

RSST's dividend yield for the trailing twelve months is around 0.78%, more than RSSB's 0.53% yield.


TTM2023
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
0.78%0.93%
RSSB
Return Stacked Global Stocks & Bonds ETF
0.53%0.61%

Drawdowns

RSST vs. RSSB - Drawdown Comparison

The maximum RSST drawdown since its inception was -18.16%, which is greater than RSSB's maximum drawdown of -7.78%. Use the drawdown chart below to compare losses from any high point for RSST and RSSB. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.86%
-2.00%
RSST
RSSB

Volatility

RSST vs. RSSB - Volatility Comparison

Return Stacked U.S. Stocks & Managed Futures ETF (RSST) has a higher volatility of 7.83% compared to Return Stacked Global Stocks & Bonds ETF (RSSB) at 3.74%. This indicates that RSST's price experiences larger fluctuations and is considered to be riskier than RSSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.83%
3.74%
RSST
RSSB