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

Key characteristics


TUASPY
YTD Return-3.65%27.16%
1Y Return3.45%37.73%
Sharpe Ratio0.333.25
Sortino Ratio0.564.32
Omega Ratio1.071.61
Calmar Ratio0.214.74
Martin Ratio0.7021.51
Ulcer Index4.78%1.85%
Daily Std Dev10.20%12.20%
Max Drawdown-15.85%-55.19%
Current Drawdown-11.44%0.00%

Correlation

-0.50.00.51.00.0

The correlation between TUA and SPY is 0.04, 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. SPY - Performance Comparison

In the year-to-date period, TUA achieves a -3.65% return, which is significantly lower than SPY's 27.16% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
3.49%
15.67%
TUA
SPY

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TUA vs. SPY - Expense Ratio Comparison

TUA has a 0.16% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TUA
Simplify Short Term Treasury Futures Strategy ETF
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%
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

TUA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Short Term Treasury Futures Strategy ETF (TUA) 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.


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
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for SPY, currently valued at 21.51, compared to the broader market0.0020.0040.0060.0080.00100.0021.51

TUA vs. SPY - Sharpe Ratio Comparison

The current TUA Sharpe Ratio is 0.33, which is lower than the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of TUA 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 Ratio-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.33
3.25
TUA
SPY

Dividends

TUA vs. SPY - Dividend Comparison

TUA's dividend yield for the trailing twelve months is around 5.22%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
TUA
Simplify Short Term Treasury Futures Strategy ETF
5.22%4.83%0.15%0.00%0.00%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

TUA vs. SPY - Drawdown Comparison

The maximum TUA drawdown since its inception was -15.85%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TUA and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.44%
0
TUA
SPY

Volatility

TUA vs. SPY - Volatility Comparison

The current volatility for Simplify Short Term Treasury Futures Strategy ETF (TUA) is 1.93%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that TUA 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.93%
3.92%
TUA
SPY