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BBLU vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BBLU vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ea Bridgeway Blue Chip ETF (BBLU) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.10%
2.39%
BBLU
SVOL

Returns By Period

In the year-to-date period, BBLU achieves a 26.78% return, which is significantly higher than SVOL's 8.76% return.


BBLU

YTD

26.78%

1M

1.86%

6M

12.10%

1Y

31.58%

5Y (annualized)

N/A

10Y (annualized)

N/A

SVOL

YTD

8.76%

1M

1.37%

6M

2.39%

1Y

10.87%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BBLUSVOL
Sharpe Ratio2.710.92
Sortino Ratio3.721.26
Omega Ratio1.491.23
Calmar Ratio3.511.01
Martin Ratio15.516.57
Ulcer Index2.05%1.68%
Daily Std Dev11.73%12.01%
Max Drawdown-9.07%-15.68%
Current Drawdown-1.35%-1.00%

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BBLU vs. SVOL - Expense Ratio Comparison

BBLU has a 0.15% expense ratio, which is lower than SVOL's 0.50% expense ratio.


SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for BBLU: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.6

The correlation between BBLU and SVOL is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

BBLU vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ea Bridgeway Blue Chip ETF (BBLU) 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
The chart of Sharpe ratio for BBLU, currently valued at 2.71, compared to the broader market0.002.004.002.710.92
The chart of Sortino ratio for BBLU, currently valued at 3.72, compared to the broader market-2.000.002.004.006.008.0010.0012.003.721.26
The chart of Omega ratio for BBLU, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.23
The chart of Calmar ratio for BBLU, currently valued at 3.51, compared to the broader market0.005.0010.0015.003.511.01
The chart of Martin ratio for BBLU, currently valued at 15.51, compared to the broader market0.0020.0040.0060.0080.00100.0015.516.57
BBLU
SVOL

The current BBLU Sharpe Ratio is 2.71, which is higher than the SVOL Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of BBLU 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.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.71
0.92
BBLU
SVOL

Dividends

BBLU vs. SVOL - Dividend Comparison

BBLU's dividend yield for the trailing twelve months is around 1.32%, less than SVOL's 16.43% yield.


TTM202320222021
BBLU
Ea Bridgeway Blue Chip ETF
1.32%1.68%32.07%0.00%
SVOL
Simplify Volatility Premium ETF
16.43%16.37%18.31%4.65%

Drawdowns

BBLU vs. SVOL - Drawdown Comparison

The maximum BBLU drawdown since its inception was -9.07%, smaller than the maximum SVOL drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for BBLU and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.35%
-1.00%
BBLU
SVOL

Volatility

BBLU vs. SVOL - Volatility Comparison

Ea Bridgeway Blue Chip ETF (BBLU) has a higher volatility of 4.06% compared to Simplify Volatility Premium ETF (SVOL) at 3.52%. This indicates that BBLU'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.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.06%
3.52%
BBLU
SVOL