Buffered Momentum Skew w SVOL
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
FJUL FT Cboe Vest U.S. Equity Buffer ETF - July | Options Trading | 50% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 30% |
SVOL Simplify Volatility Premium ETF | Volatility, Actively Managed | 20% |
Performance
Performance Chart
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The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.67% | 10.48% | -1.79% | 10.08% | 14.60% | 10.64% |
| Buffered Momentum Skew w SVOL | 1.23% | 12.52% | 0.70% | 10.65% | N/A | N/A |
| Portfolio components: | ||||||
FJUL FT Cboe Vest U.S. Equity Buffer ETF - July | 0.32% | 7.26% | 0.27% | 8.56% | N/A | N/A |
SPMO Invesco S&P 500® Momentum ETF | 8.82% | 16.74% | 8.45% | 27.59% | 21.41% | N/A |
SVOL Simplify Volatility Premium ETF | -7.62% | 20.35% | -9.51% | -7.14% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of Buffered Momentum Skew w SVOL, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.21% | -0.75% | -6.17% | -1.11% | 6.51% | 1.23% | |||||||
| 2024 | 2.43% | 5.66% | 2.47% | -2.76% | 4.75% | 3.26% | 0.10% | 2.43% | 1.12% | -1.08% | 4.88% | -1.62% | 23.45% |
| 2023 | 3.21% | -2.39% | 1.70% | 1.72% | -0.89% | 6.02% | 2.09% | 0.49% | -2.10% | -1.57% | 7.20% | 3.98% | 20.68% |
| 2022 | -3.78% | -2.41% | 3.03% | -6.88% | 1.55% | -4.46% | 7.13% | -2.37% | -6.38% | 7.42% | 3.85% | -2.44% | -6.83% |
| 2021 | 2.74% | 2.89% | 0.96% | 2.95% | -3.31% | 5.27% | -2.19% | 2.96% | 12.64% |
Expense Ratio
Buffered Momentum Skew w SVOL has an expense ratio of 0.56%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Buffered Momentum Skew w SVOL is 36, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. 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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
FJUL FT Cboe Vest U.S. Equity Buffer ETF - July | 0.66 | 0.99 | 1.16 | 0.65 | 2.67 |
SPMO Invesco S&P 500® Momentum ETF | 1.11 | 1.63 | 1.23 | 1.38 | 4.98 |
SVOL Simplify Volatility Premium ETF | -0.20 | -0.03 | 0.99 | -0.21 | -0.81 |
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Dividends
Dividend yield
Buffered Momentum Skew w SVOL provided a 3.86% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.86% | 3.50% | 3.76% | 4.16% | 1.09% | 0.38% | 0.42% | 0.32% | 0.23% | 0.58% | 0.11% |
| Portfolio components: | |||||||||||
FJUL FT Cboe Vest U.S. Equity Buffer ETF - July | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPMO Invesco S&P 500® Momentum ETF | 0.49% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
SVOL Simplify Volatility Premium ETF | 18.56% | 16.79% | 16.37% | 18.32% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Buffered Momentum Skew w SVOL. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Buffered Momentum Skew w SVOL was 19.34%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current Buffered Momentum Skew w SVOL drawdown is 3.68%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.34% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -15.71% | Jan 5, 2022 | 113 | Jun 16, 2022 | 259 | Jun 29, 2023 | 372 |
| -8.08% | Jul 11, 2024 | 18 | Aug 5, 2024 | 10 | Aug 19, 2024 | 28 |
| -6.01% | Sep 15, 2023 | 31 | Oct 27, 2023 | 11 | Nov 13, 2023 | 42 |
| -4.33% | Mar 25, 2024 | 19 | Apr 19, 2024 | 14 | May 9, 2024 | 33 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 3 assets, with an effective number of assets of 2.63, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | SVOL | SPMO | FJUL | Portfolio | |
|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.71 | 0.86 | 0.96 | 0.95 |
| SVOL | 0.71 | 1.00 | 0.65 | 0.70 | 0.80 |
| SPMO | 0.86 | 0.65 | 1.00 | 0.81 | 0.93 |
| FJUL | 0.96 | 0.70 | 0.81 | 1.00 | 0.94 |
| Portfolio | 0.95 | 0.80 | 0.93 | 0.94 | 1.00 |