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

Correlation

The correlation between TMFE and ^GSPC is 0.92, 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.


-0.50.00.51.00.9

Performance

TMFE vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The RBB Fund, Inc. - Motley Fool High Capital Efficiency Index ETF (TMFE) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.51%
9.66%
TMFE
^GSPC

Key characteristics

Sharpe Ratio

TMFE:

1.93

^GSPC:

2.07

Sortino Ratio

TMFE:

2.74

^GSPC:

2.76

Omega Ratio

TMFE:

1.35

^GSPC:

1.39

Calmar Ratio

TMFE:

3.55

^GSPC:

3.05

Martin Ratio

TMFE:

13.46

^GSPC:

13.27

Ulcer Index

TMFE:

2.20%

^GSPC:

1.95%

Daily Std Dev

TMFE:

15.41%

^GSPC:

12.52%

Max Drawdown

TMFE:

-31.07%

^GSPC:

-56.78%

Current Drawdown

TMFE:

-4.06%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, TMFE achieves a 30.04% return, which is significantly higher than ^GSPC's 25.25% return.


TMFE

YTD

30.04%

1M

-0.49%

6M

9.51%

1Y

30.14%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

TMFE vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The RBB Fund, Inc. - Motley Fool High Capital Efficiency Index ETF (TMFE) 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.


Sharpe ratio
The chart of Sharpe ratio for TMFE, currently valued at 1.93, compared to the broader market0.002.004.001.932.07
The chart of Sortino ratio for TMFE, currently valued at 2.74, compared to the broader market-2.000.002.004.006.008.0010.002.742.76
The chart of Omega ratio for TMFE, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.39
The chart of Calmar ratio for TMFE, currently valued at 3.55, compared to the broader market0.005.0010.0015.003.553.05
The chart of Martin ratio for TMFE, currently valued at 13.46, compared to the broader market0.0020.0040.0060.0080.00100.0013.4613.27
TMFE
^GSPC

The current TMFE Sharpe Ratio is 1.93, which is comparable to the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of TMFE 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.93
2.07
TMFE
^GSPC

Drawdowns

TMFE vs. ^GSPC - Drawdown Comparison

The maximum TMFE drawdown since its inception was -31.07%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TMFE and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.06%
-1.91%
TMFE
^GSPC

Volatility

TMFE vs. ^GSPC - Volatility Comparison

The RBB Fund, Inc. - Motley Fool High Capital Efficiency Index ETF (TMFE) and S&P 500 (^GSPC) have volatilities of 3.81% and 3.82%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.81%
3.82%
TMFE
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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