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

Key characteristics


TUACDX
YTD Return-3.65%9.89%
1Y Return3.45%13.19%
Sharpe Ratio0.332.09
Sortino Ratio0.562.92
Omega Ratio1.071.37
Calmar Ratio0.214.95
Martin Ratio0.7016.49
Ulcer Index4.78%0.83%
Daily Std Dev10.20%6.55%
Max Drawdown-15.85%-13.24%
Current Drawdown-11.44%-0.92%

Correlation

-0.50.00.51.00.3

The correlation between TUA and CDX is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

TUA vs. CDX - Performance Comparison

In the year-to-date period, TUA achieves a -3.65% return, which is significantly lower than CDX's 9.89% 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
3.49%
7.65%
TUA
CDX

Compare stocks, funds, or ETFs

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


TUA vs. CDX - Expense Ratio Comparison

TUA has a 0.16% expense ratio, which is lower than CDX's 0.26% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


CDX
Simplify High Yield PLUS Credit Hedge ETF
Expense ratio chart for CDX: current value at 0.26% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.26%
Expense ratio chart for TUA: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%

Risk-Adjusted Performance

TUA vs. CDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Short Term Treasury Futures Strategy ETF (TUA) and Simplify High Yield PLUS Credit Hedge ETF (CDX). 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.


TUA
Sharpe ratio
The chart of Sharpe ratio for TUA, currently valued at 0.33, compared to the broader market-2.000.002.004.006.000.33
Sortino ratio
The chart of Sortino ratio for TUA, currently valued at 0.56, compared to the broader market0.005.0010.000.56
Omega ratio
The chart of Omega ratio for TUA, currently valued at 1.07, compared to the broader market1.001.502.002.503.001.07
Calmar ratio
The chart of Calmar ratio for TUA, currently valued at 0.21, compared to the broader market0.005.0010.0015.000.21
Martin ratio
The chart of Martin ratio for TUA, currently valued at 0.70, compared to the broader market0.0020.0040.0060.0080.00100.000.70
CDX
Sharpe ratio
The chart of Sharpe ratio for CDX, currently valued at 2.09, compared to the broader market-2.000.002.004.006.002.09
Sortino ratio
The chart of Sortino ratio for CDX, currently valued at 2.92, compared to the broader market0.005.0010.002.92
Omega ratio
The chart of Omega ratio for CDX, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for CDX, currently valued at 4.95, compared to the broader market0.005.0010.0015.004.95
Martin ratio
The chart of Martin ratio for CDX, currently valued at 16.49, compared to the broader market0.0020.0040.0060.0080.00100.0016.49

TUA vs. CDX - Sharpe Ratio Comparison

The current TUA Sharpe Ratio is 0.33, which is lower than the CDX Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of TUA and CDX, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.33
2.09
TUA
CDX

Dividends

TUA vs. CDX - Dividend Comparison

TUA's dividend yield for the trailing twelve months is around 5.22%, less than CDX's 7.46% yield.


TTM20232022
TUA
Simplify Short Term Treasury Futures Strategy ETF
5.22%4.83%0.15%
CDX
Simplify High Yield PLUS Credit Hedge ETF
7.46%5.26%7.51%

Drawdowns

TUA vs. CDX - Drawdown Comparison

The maximum TUA drawdown since its inception was -15.85%, which is greater than CDX's maximum drawdown of -13.24%. Use the drawdown chart below to compare losses from any high point for TUA and CDX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.44%
-0.92%
TUA
CDX

Volatility

TUA vs. CDX - Volatility Comparison

The current volatility for Simplify Short Term Treasury Futures Strategy ETF (TUA) is 1.93%, while Simplify High Yield PLUS Credit Hedge ETF (CDX) has a volatility of 2.70%. This indicates that TUA experiences smaller price fluctuations and is considered to be less risky than CDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
1.93%
2.70%
TUA
CDX