^VIX vs. SVOL
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.
Key characteristics
| ^VIX | SVOL | |
|---|---|---|
| YTD Return | -17.17% | 8.08% |
| 1Y Return | -34.73% | 15.90% |
| 5Y Return (Ann) | 6.28% | 8.33% |
| 10Y Return (Ann) | 2.17% | 8.33% |
| Sharpe Ratio | -0.32 | 1.18 |
| Daily Std Dev | 86.82% | 12.71% |
| Max Drawdown | -88.70% | -15.68% |
Correlation
The correlation between ^VIX and SVOL is -0.82. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
^VIX vs. SVOL - Performance Comparison
In the year-to-date period, ^VIX achieves a -17.17% return, which is significantly lower than SVOL's 8.08% return. Over the past 10 years, ^VIX has underperformed SVOL with an annualized return of 2.17%, while SVOL has yielded a comparatively higher 8.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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^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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
^VIX CBOE Volatility Index | -0.32 | ||||
SVOL Simplify Volatility Premium ETF | 1.18 |
^VIX vs. SVOL - Drawdown Comparison
The maximum ^VIX drawdown for the period was -56.71%, lower than the maximum SVOL drawdown of -8.87%. The drawdown chart below compares losses from any high point along the way for ^VIX and SVOL
^VIX vs. SVOL - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 29.10% compared to Simplify Volatility Premium ETF (SVOL) at 2.71%. 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.