^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 | 12.61% | 9.86% |
| 1Y Return | -0.99% | 13.08% |
| 3Y Return (Ann) | -4.71% | 8.87% |
| Sharpe Ratio | 0.09 | 1.10 |
| Sortino Ratio | 1.16 | 1.49 |
| Omega Ratio | 1.14 | 1.28 |
| Calmar Ratio | 0.12 | 1.21 |
| Martin Ratio | 0.32 | 7.88 |
| Ulcer Index | 33.14% | 1.67% |
| Daily Std Dev | 119.90% | 11.94% |
| Max Drawdown | -88.70% | -15.68% |
| Current Drawdown | -83.05% | 0.00% |
Correlation
The correlation between ^VIX and SVOL is -0.79. 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.
Performance
^VIX vs. SVOL - Performance Comparison
In the year-to-date period, ^VIX achieves a 12.61% return, which is significantly higher than SVOL's 9.86% 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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Risk-Adjusted Performance
^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.
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 -15.68%. Use the drawdown chart below to compare losses from any high point for ^VIX and SVOL. For additional features, visit the drawdowns tool.
Volatility
^VIX vs. SVOL - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 31.87% compared to Simplify Volatility Premium ETF (SVOL) at 3.37%. 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.