^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 4.06%/yr vs 6.24%/yr for SVOL. At a correlation of -0.78, they often move in opposite directions.
Performance
^VIX vs. SVOL - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 30.37% return, which is significantly higher than SVOL's -0.40% return.
^VIX
- 1D
- 12.79%
- 1M
- 16.71%
- YTD
- 30.37%
- 6M
- 39.21%
- 1Y
- -1.71%
- 3Y*
- 13.19%
- 5Y*
- 4.06%
- 10Y*
- -2.75%
SVOL
- 1D
- -1.35%
- 1M
- 0.75%
- YTD
- -0.40%
- 6M
- -0.86%
- 1Y
- 18.10%
- 3Y*
- 5.79%
- 5Y*
- 6.24%
- 10Y*
- —
^VIX vs. SVOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 30.37% | -13.83% | 39.36% | -42.55% | 25.84% | -37.59% |
SVOL Simplify Volatility Premium ETF | -0.40% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
Correlation
The correlation between ^VIX and SVOL is -0.74, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.75 |
Correlation (5Y) Calculated over the trailing 5-year 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 -0.78 to -0.74 - 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 | -0.90 | ||
| Sortino ratioReturn per unit of downside risk | -0.40 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.19 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 1.40 | -1.43 |
| Martin ratioReturn relative to average drawdown | -0.06 | 3.33 | -3.39 |
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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 | -50.66% | -13.01% | -37.65% |
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 | -76.43% | -2.98% | -73.45% |
Average DrawdownAverage peak-to-trough decline | -64.07% | -4.75% | -59.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.70% | 5.44% | +25.26% |
Volatility
^VIX vs. SVOL - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 49.16% compared to Simplify Volatility Premium ETF (SVOL) at 4.40%. 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 | 49.16% | 4.40% | +44.76% |
Volatility (6M)Calculated over the trailing 6-month period | 91.13% | 10.20% | +80.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.01% | 20.52% | +103.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.78% | 22.02% | +105.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.67% | 21.88% | +114.79% |
Frequently Asked Questions
^VIX and SVOL have a correlation of -0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (49.16%) compared to SVOL (4.40%). In terms of maximum drawdown, ^VIX dropped -88.70% vs SVOL's -33.50%.
SVOL currently has the higher Sharpe Ratio (0.89 vs -0.01), 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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