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^VIX vs. SVOL
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

^VIX vs. SVOL

Last updated May 11, 2025

Compare and contrast key facts about CBOE Volatility Index (^VIX) and Simplify Volatility Premium ETF (SVOL).

SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VIX or SVOL.

Correlation

The correlation between ^VIX and SVOL is 0.71, 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

^VIX vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE Volatility Index (^VIX) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^VIX:

0.40

SVOL:

-0.47

Sortino Ratio

^VIX:

2.14

SVOL:

-0.49

Omega Ratio

^VIX:

1.26

SVOL:

0.92

Calmar Ratio

^VIX:

0.91

SVOL:

-0.46

Martin Ratio

^VIX:

1.66

SVOL:

-1.80

Ulcer Index

^VIX:

47.23%

SVOL:

8.53%

Daily Std Dev

^VIX:

171.32%

SVOL:

33.34%

Max Drawdown

^VIX:

-88.70%

SVOL:

-33.50%

Current Drawdown

^VIX:

-73.52%

SVOL:

-21.02%

Returns By Period

In the year-to-date period, ^VIX achieves a 26.22% return, which is significantly higher than SVOL's -16.98% return.

^VIX

YTD

26.22%

1M

-46.22%

6M

46.59%

1Y

74.50%

5Y*

-4.35%

10Y*

4.59%

SVOL

YTD

-16.98%

1M

8.44%

6M

-19.09%

1Y

-15.59%

5Y*

N/A

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

^VIX vs. SVOL — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^VIX
The Risk-Adjusted Performance Rank of ^VIX is 8080
Overall Rank
The Sharpe Ratio Rank of ^VIX is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VIX is 9898
Sortino Ratio Rank
The Omega Ratio Rank of ^VIX is 9797
Omega Ratio Rank
The Calmar Ratio Rank of ^VIX is 8989
Calmar Ratio Rank
The Martin Ratio Rank of ^VIX is 6666
Martin Ratio Rank
SVOL
The Risk-Adjusted Performance Rank of SVOL is 44
Overall Rank
The Sharpe Ratio Rank of SVOL is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of SVOL is 66
Sortino Ratio Rank
The Omega Ratio Rank of SVOL is 44
Omega Ratio Rank
The Calmar Ratio Rank of SVOL is 33
Calmar Ratio Rank
The Martin Ratio Rank of SVOL is 00
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^VIX vs. SVOL - Risk-Adjusted Performance 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.

The current ^VIX Sharpe Ratio is 0.40, which is higher than the SVOL Sharpe Ratio of -0.47. The chart below compares the historical Sharpe Ratios of ^VIX and SVOL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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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. For additional features, visit the drawdowns tool.

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Volatility

^VIX vs. SVOL - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 32.84% compared to Simplify Volatility Premium ETF (SVOL) at 15.87%. 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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