BNDW vs. SVOL
Compare and contrast key facts about Vanguard Total World Bond ETF (BNDW) and Simplify Volatility Premium ETF (SVOL).
BNDW and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. BNDW is a passively managed fund by Vanguard that tracks the performance of the Bloomberg Barclays Global Aggregate Float Adjusted TR Index. It was launched on Sep 4, 2018. 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: BNDW or SVOL.
Key characteristics
| BNDW | SVOL | |
|---|---|---|
| YTD Return | 2.31% | 8.31% |
| 1Y Return | 6.98% | 10.89% |
| 3Y Return (Ann) | -1.46% | 8.17% |
| Sharpe Ratio | 1.58 | 0.93 |
| Sortino Ratio | 2.33 | 1.28 |
| Omega Ratio | 1.28 | 1.23 |
| Calmar Ratio | 0.60 | 1.03 |
| Martin Ratio | 5.56 | 6.68 |
| Ulcer Index | 1.35% | 1.67% |
| Daily Std Dev | 4.77% | 11.99% |
| Max Drawdown | -17.22% | -15.68% |
| Current Drawdown | -6.47% | -1.41% |
Correlation
The correlation between BNDW and SVOL is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
BNDW vs. SVOL - Performance Comparison
In the year-to-date period, BNDW achieves a 2.31% return, which is significantly lower than SVOL's 8.31% 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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BNDW vs. SVOL - Expense Ratio Comparison
BNDW has a 0.06% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
BNDW vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Total World Bond ETF (BNDW) 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.
Dividends
BNDW vs. SVOL - Dividend Comparison
BNDW's dividend yield for the trailing twelve months is around 4.16%, less than SVOL's 16.50% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
BNDW Vanguard Total World Bond ETF | 4.16% | 3.73% | 2.02% | 2.58% | 1.56% | 3.05% | 1.66% |
SVOL Simplify Volatility Premium ETF | 16.50% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% |
Drawdowns
BNDW vs. SVOL - Drawdown Comparison
The maximum BNDW drawdown since its inception was -17.22%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for BNDW and SVOL. For additional features, visit the drawdowns tool.
Volatility
BNDW vs. SVOL - Volatility Comparison
The current volatility for Vanguard Total World Bond ETF (BNDW) is 1.22%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.58%. This indicates that BNDW experiences smaller price fluctuations and is considered to be less risky than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.