^VVIX vs. SVOL

In the year-to-date period, ^VVIX achieves a -10.35% return, which is significantly lower than SVOL's -7.38% return.

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This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) 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 ^VVIX Sharpe Ratio is 0.09, which is higher than the SVOL Sharpe Ratio of -0.22. The chart below compares the historical Sharpe Ratios of ^VVIX 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.

The correlation between ^VVIX 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.

The maximum ^VVIX drawdown since its inception was -78.10%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for ^VVIX and SVOL.

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 25.38% compared to Simplify Volatility Premium ETF (SVOL) at 12.49%. This indicates that ^VVIX'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.