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

Performance

BOCT vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator U.S. Equity Buffer ETF - October (BOCT) 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%JuneJulyAugustSeptemberOctoberNovember
4.84%
2.71%
BOCT
SVOL

Returns By Period

In the year-to-date period, BOCT achieves a 12.01% return, which is significantly higher than SVOL's 9.01% return.


BOCT

YTD

12.01%

1M

0.37%

6M

4.84%

1Y

16.52%

5Y (annualized)

10.98%

10Y (annualized)

N/A

SVOL

YTD

9.01%

1M

0.96%

6M

2.71%

1Y

11.37%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BOCTSVOL
Sharpe Ratio3.020.97
Sortino Ratio4.401.32
Omega Ratio1.701.24
Calmar Ratio6.181.07
Martin Ratio33.016.93
Ulcer Index0.51%1.67%
Daily Std Dev5.53%12.03%
Max Drawdown-24.54%-15.68%
Current Drawdown-0.99%-0.78%

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BOCT vs. SVOL - Expense Ratio Comparison

BOCT has a 0.79% expense ratio, which is higher than SVOL's 0.50% expense ratio.


BOCT
Innovator U.S. Equity Buffer ETF - October
Expense ratio chart for BOCT: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
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%

Correlation

-0.50.00.51.00.7

The correlation between BOCT and SVOL is 0.67, 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

BOCT vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Equity Buffer ETF - October (BOCT) 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 BOCT, currently valued at 3.02, compared to the broader market0.002.004.003.020.97
The chart of Sortino ratio for BOCT, currently valued at 4.40, compared to the broader market-2.000.002.004.006.008.0010.004.401.32
The chart of Omega ratio for BOCT, currently valued at 1.70, compared to the broader market0.501.001.502.002.503.001.701.24
The chart of Calmar ratio for BOCT, currently valued at 6.18, compared to the broader market0.005.0010.0015.006.181.07
The chart of Martin ratio for BOCT, currently valued at 33.01, compared to the broader market0.0020.0040.0060.0080.00100.0033.016.93
BOCT
SVOL

The current BOCT Sharpe Ratio is 3.02, which is higher than the SVOL Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of BOCT 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
3.02
0.97
BOCT
SVOL

Dividends

BOCT vs. SVOL - Dividend Comparison

BOCT has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 16.40%.


TTM20232022202120202019
BOCT
Innovator U.S. Equity Buffer ETF - October
0.00%0.00%0.00%0.00%0.00%0.20%
SVOL
Simplify Volatility Premium ETF
16.40%16.37%18.31%4.65%0.00%0.00%

Drawdowns

BOCT vs. SVOL - Drawdown Comparison

The maximum BOCT drawdown since its inception was -24.54%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for BOCT and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.99%
-0.78%
BOCT
SVOL

Volatility

BOCT vs. SVOL - Volatility Comparison

The current volatility for Innovator U.S. Equity Buffer ETF - October (BOCT) is 2.68%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.58%. This indicates that BOCT 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.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.68%
3.58%
BOCT
SVOL