^VVIX vs. SVOL
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) 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: ^VVIX or SVOL.
Performance
^VVIX vs. SVOL - Performance Comparison
Returns By Period
In the year-to-date period, ^VVIX achieves a 16.49% return, which is significantly higher than SVOL's 9.01% return.
^VVIX
16.49%
0.80%
19.71%
21.49%
1.41%
2.48%
SVOL
9.01%
1.37%
2.89%
11.17%
N/A
N/A
Key characteristics
| ^VVIX | SVOL | |
|---|---|---|
| Sharpe Ratio | 0.19 | 0.93 |
| Sortino Ratio | 1.10 | 1.27 |
| Omega Ratio | 1.12 | 1.23 |
| Calmar Ratio | 0.28 | 1.02 |
| Martin Ratio | 0.68 | 6.63 |
| Ulcer Index | 26.44% | 1.68% |
| Daily Std Dev | 94.96% | 12.01% |
| Max Drawdown | -78.10% | -15.68% |
| Current Drawdown | -51.20% | -0.78% |
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Correlation
The correlation between ^VVIX and SVOL is -0.70. 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.
Risk-Adjusted Performance
^VVIX vs. SVOL - Risk-Adjusted Performance Comparison
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.
Drawdowns
^VVIX vs. SVOL - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for ^VVIX and SVOL. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. SVOL - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 27.49% compared to Simplify Volatility Premium ETF (SVOL) at 3.23%. 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.