^VIX vs. SVOL
^VIX (CBOE Volatility Index) is an index, while SVOL (Simplify Volatility Premium ETF) is Volatility fund actively managed by Simplify. Over the past 5 years, ^VIX returned -2.60%/yr vs 6.94%/yr for SVOL. Their -0.78 correlation means they have often moved in opposite directions in the past.
Performance
^VIX vs. SVOL - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 6.96% return, which is significantly higher than SVOL's 1.82% return.
^VIX
- 1D
- -6.44%
- 1M
- -0.99%
- 6M
- -8.31%
- YTD
- 6.96%
- 1Y
- -21.54%
- 3Y*
- 4.70%
- 5Y*
- -2.60%
- 10Y*
- 1.81%
- ALL TIME*
- -0.21%
SVOL
- 1D
- 1.15%
- 1M
- 0.58%
- 6M
- 0.98%
- YTD
- 1.82%
- 1Y
- 18.14%
- 3Y*
- 5.94%
- 5Y*
- 6.94%
- 10Y*
- —
- ALL TIME*
- 7.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $4.50M | $3.83M | $4.52M |
^VIX vs. SVOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 6.96% | -13.83% | 39.36% | -42.55% | 25.84% | -37.59% |
SVOL Simplify Volatility Premium ETF | 1.82% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
Correlation
The correlation between ^VIX and SVOL is -0.81, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.81 |
Correlation (3Y) Balances recent behavior with more history. | -0.76 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.78 |
Correlation (All Time) Calculated using the full available price history since May 13, 2021 | -0.78 |
The correlation between ^VIX and SVOL has been stable across timeframes, ranging from -0.81 to -0.76 - a consistent structural relationship.
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Return for Risk
^VIX vs. SVOL — Risk / Return Rank
^VIX
SVOL
^VIX vs. SVOL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and Simplify Volatility Premium ETF (SVOL). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^VIX | SVOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.95 | ||
| Sortino ratioReturn per unit of downside risk | -0.44 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.18 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.08 | 1.37 | -1.46 |
| Martin ratioReturn relative to average drawdown | -0.13 | 4.00 | -4.12 |
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Drawdowns
^VIX vs. SVOL - Drawdown Comparison
The maximum ^VIX drawdown since its inception was -88.70%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for ^VIX and SVOL.
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Drawdown Indicators
| ^VIX | SVOL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.70% | -33.50% | -55.20% |
Max Drawdown (1Y)Largest decline over 1 year | -51.59% | -11.42% | -40.17% |
Max Drawdown (3Y)Largest decline over 3 years | -74.26% | -33.50% | -40.76% |
Max Drawdown (5Y)Largest decline over 5 years | -74.26% | -33.50% | -40.76% |
Max Drawdown (10Y)Largest decline over 10 years | -85.66% | — | — |
Current DrawdownCurrent decline from peak | -80.66% | -1.33% | -79.33% |
Average DrawdownAverage peak-to-trough decline | -64.12% | -4.68% | -59.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 33.86% | 3.92% | +29.94% |
Volatility
^VIX vs. SVOL - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 37.09% compared to Simplify Volatility Premium ETF (SVOL) at 4.16%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VIX | SVOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 37.09% | 4.16% | +32.93% |
Volatility (6M)Calculated over the trailing 6-month period | 92.23% | 9.66% | +82.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 127.66% | 17.23% | +110.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.54% | 21.96% | +105.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.71% | 21.74% | +114.97% |
Frequently Asked Questions
^VIX and SVOL have a correlation of -0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (37.09%) compared to SVOL (4.16%). In terms of maximum drawdown, ^VIX dropped -88.70% vs SVOL's -33.50%.
SVOL currently has the higher Sharpe Ratio (0.91 vs -0.03), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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