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

Key characteristics


SIXHSPY
YTD Return13.94%26.77%
1Y Return15.71%37.43%
3Y Return (Ann)9.30%10.15%
Sharpe Ratio2.693.06
Sortino Ratio3.924.08
Omega Ratio1.541.58
Calmar Ratio6.734.44
Martin Ratio22.7420.11
Ulcer Index0.70%1.85%
Daily Std Dev5.90%12.18%
Max Drawdown-11.68%-55.19%
Current Drawdown-0.76%-0.31%

Correlation

-0.50.00.51.00.5

The correlation between SIXH and SPY is 0.52, 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

SIXH vs. SPY - Performance Comparison

In the year-to-date period, SIXH achieves a 13.94% return, which is significantly lower than SPY's 26.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
13.38%
SIXH
SPY

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SIXH vs. SPY - Expense Ratio Comparison

SIXH has a 0.87% expense ratio, which is higher than SPY's 0.09% expense ratio.


SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
Expense ratio chart for SIXH: current value at 0.87% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.87%
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

SIXH vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for 6 Meridian Hedged Equity-Index Option Strategy ETF (SIXH) 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.


SIXH
Sharpe ratio
The chart of Sharpe ratio for SIXH, currently valued at 2.69, compared to the broader market-2.000.002.004.006.002.69
Sortino ratio
The chart of Sortino ratio for SIXH, currently valued at 3.92, compared to the broader market-2.000.002.004.006.008.0010.0012.003.92
Omega ratio
The chart of Omega ratio for SIXH, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for SIXH, currently valued at 6.73, compared to the broader market0.005.0010.0015.006.73
Martin ratio
The chart of Martin ratio for SIXH, currently valued at 22.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.74
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.11

SIXH vs. SPY - Sharpe Ratio Comparison

The current SIXH Sharpe Ratio is 2.69, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of SIXH 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.69
3.06
SIXH
SPY

Dividends

SIXH vs. SPY - Dividend Comparison

SIXH's dividend yield for the trailing twelve months is around 1.52%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
1.52%2.04%2.07%1.65%1.10%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

SIXH vs. SPY - Drawdown Comparison

The maximum SIXH drawdown since its inception was -11.68%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SIXH and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.76%
-0.31%
SIXH
SPY

Volatility

SIXH vs. SPY - Volatility Comparison

The current volatility for 6 Meridian Hedged Equity-Index Option Strategy ETF (SIXH) is 1.63%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that SIXH 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.63%
3.88%
SIXH
SPY