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

Key characteristics


TUAVTIP
YTD Return-3.65%4.46%
1Y Return3.45%7.00%
Sharpe Ratio0.333.24
Sortino Ratio0.565.79
Omega Ratio1.071.76
Calmar Ratio0.214.06
Martin Ratio0.7027.03
Ulcer Index4.78%0.26%
Daily Std Dev10.20%2.16%
Max Drawdown-15.85%-6.27%
Current Drawdown-11.44%-0.55%

Correlation

-0.50.00.51.00.8

The correlation between TUA and VTIP is 0.81, 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.

Performance

TUA vs. VTIP - Performance Comparison

In the year-to-date period, TUA achieves a -3.65% return, which is significantly lower than VTIP's 4.46% 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%
3.19%
TUA
VTIP

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TUA vs. VTIP - Expense Ratio Comparison

TUA has a 0.16% expense ratio, which is higher than VTIP's 0.04% 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 VTIP: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

TUA vs. VTIP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Short Term Treasury Futures Strategy ETF (TUA) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). 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
VTIP
Sharpe ratio
The chart of Sharpe ratio for VTIP, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Sortino ratio
The chart of Sortino ratio for VTIP, currently valued at 5.79, compared to the broader market0.005.0010.005.79
Omega ratio
The chart of Omega ratio for VTIP, currently valued at 1.76, compared to the broader market1.001.502.002.503.001.76
Calmar ratio
The chart of Calmar ratio for VTIP, currently valued at 9.28, compared to the broader market0.005.0010.0015.009.28
Martin ratio
The chart of Martin ratio for VTIP, currently valued at 27.03, compared to the broader market0.0020.0040.0060.0080.00100.0027.03

TUA vs. VTIP - Sharpe Ratio Comparison

The current TUA Sharpe Ratio is 0.33, which is lower than the VTIP Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of TUA and VTIP, 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
3.24
TUA
VTIP

Dividends

TUA vs. VTIP - Dividend Comparison

TUA's dividend yield for the trailing twelve months is around 5.22%, more than VTIP's 3.39% 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%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.39%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%

Drawdowns

TUA vs. VTIP - Drawdown Comparison

The maximum TUA drawdown since its inception was -15.85%, which is greater than VTIP's maximum drawdown of -6.27%. Use the drawdown chart below to compare losses from any high point for TUA and VTIP. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.44%
-0.55%
TUA
VTIP

Volatility

TUA vs. VTIP - Volatility Comparison

Simplify Short Term Treasury Futures Strategy ETF (TUA) has a higher volatility of 1.93% compared to Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) at 0.45%. This indicates that TUA's price experiences larger fluctuations and is considered to be riskier than VTIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
1.93%
0.45%
TUA
VTIP