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SURI vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


SURI^GSPC
YTD Return37.64%25.70%
1Y Return62.71%37.91%
Sharpe Ratio2.022.97
Sortino Ratio2.833.97
Omega Ratio1.331.56
Calmar Ratio3.023.93
Martin Ratio8.1619.39
Ulcer Index7.05%1.90%
Daily Std Dev28.42%12.38%
Max Drawdown-19.43%-56.78%
Current Drawdown-3.71%0.00%

Correlation

-0.50.00.51.00.4

The correlation between SURI and ^GSPC is 0.41, 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

SURI vs. ^GSPC - Performance Comparison

In the year-to-date period, SURI achieves a 37.64% return, which is significantly higher than ^GSPC's 25.70% 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%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
25.36%
14.80%
SURI
^GSPC

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Risk-Adjusted Performance

SURI vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Propel Opportunities ETF (SURI) and S&P 500 (^GSPC). 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.


SURI
Sharpe ratio
The chart of Sharpe ratio for SURI, currently valued at 2.02, compared to the broader market-2.000.002.004.002.02
Sortino ratio
The chart of Sortino ratio for SURI, currently valued at 2.83, compared to the broader market-2.000.002.004.006.008.0010.0012.002.83
Omega ratio
The chart of Omega ratio for SURI, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for SURI, currently valued at 3.02, compared to the broader market0.005.0010.0015.003.02
Martin ratio
The chart of Martin ratio for SURI, currently valued at 8.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market-2.000.002.004.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market-2.000.002.004.006.008.0010.0012.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.34, compared to the broader market0.005.0010.0015.004.34
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.39

SURI vs. ^GSPC - Sharpe Ratio Comparison

The current SURI Sharpe Ratio is 2.02, which is lower than the ^GSPC Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of SURI and ^GSPC, 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
2.02
2.97
SURI
^GSPC

Drawdowns

SURI vs. ^GSPC - Drawdown Comparison

The maximum SURI drawdown since its inception was -19.43%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SURI and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.71%
0
SURI
^GSPC

Volatility

SURI vs. ^GSPC - Volatility Comparison

Simplify Propel Opportunities ETF (SURI) has a higher volatility of 8.75% compared to S&P 500 (^GSPC) at 3.92%. This indicates that SURI's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%12.00%JuneJulyAugustSeptemberOctoberNovember
8.75%
3.92%
SURI
^GSPC