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

Key characteristics


BTZSVOL
YTD Return14.47%9.86%
1Y Return23.68%13.08%
3Y Return (Ann)-1.86%8.87%
Sharpe Ratio2.571.10
Sortino Ratio3.641.49
Omega Ratio1.491.28
Calmar Ratio1.041.21
Martin Ratio10.427.88
Ulcer Index2.52%1.67%
Daily Std Dev10.20%11.94%
Max Drawdown-74.66%-15.68%
Current Drawdown-7.62%0.00%

Correlation

-0.50.00.51.00.3

The correlation between BTZ and SVOL is 0.30, 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

BTZ vs. SVOL - Performance Comparison

In the year-to-date period, BTZ achieves a 14.47% return, which is significantly higher than SVOL's 9.86% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.35%
3.60%
BTZ
SVOL

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Risk-Adjusted Performance

BTZ vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Credit Allocation Income Trust (BTZ) 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.


BTZ
Sharpe ratio
The chart of Sharpe ratio for BTZ, currently valued at 2.57, compared to the broader market-4.00-2.000.002.004.002.57
Sortino ratio
The chart of Sortino ratio for BTZ, currently valued at 3.64, compared to the broader market-4.00-2.000.002.004.006.003.64
Omega ratio
The chart of Omega ratio for BTZ, currently valued at 1.49, compared to the broader market0.501.001.502.001.49
Calmar ratio
The chart of Calmar ratio for BTZ, currently valued at 1.04, compared to the broader market0.002.004.006.001.04
Martin ratio
The chart of Martin ratio for BTZ, currently valued at 10.42, compared to the broader market0.0010.0020.0030.0010.42
SVOL
Sharpe ratio
The chart of Sharpe ratio for SVOL, currently valued at 1.10, compared to the broader market-4.00-2.000.002.004.001.10
Sortino ratio
The chart of Sortino ratio for SVOL, currently valued at 1.49, compared to the broader market-4.00-2.000.002.004.006.001.49
Omega ratio
The chart of Omega ratio for SVOL, currently valued at 1.28, compared to the broader market0.501.001.502.001.28
Calmar ratio
The chart of Calmar ratio for SVOL, currently valued at 1.21, compared to the broader market0.002.004.006.001.21
Martin ratio
The chart of Martin ratio for SVOL, currently valued at 7.88, compared to the broader market0.0010.0020.0030.007.88

BTZ vs. SVOL - Sharpe Ratio Comparison

The current BTZ Sharpe Ratio is 2.57, which is higher than the SVOL Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of BTZ 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.57
1.10
BTZ
SVOL

Dividends

BTZ vs. SVOL - Dividend Comparison

BTZ's dividend yield for the trailing twelve months is around 8.45%, less than SVOL's 16.27% yield.


TTM20232022202120202019201820172016201520142013
BTZ
BlackRock Credit Allocation Income Trust
8.45%9.77%9.15%6.70%6.85%6.24%7.19%6.28%6.92%7.88%7.52%7.32%
SVOL
Simplify Volatility Premium ETF
16.27%16.37%18.31%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

BTZ vs. SVOL - Drawdown Comparison

The maximum BTZ drawdown since its inception was -74.66%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for BTZ and SVOL. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.62%
0
BTZ
SVOL

Volatility

BTZ vs. SVOL - Volatility Comparison

BlackRock Credit Allocation Income Trust (BTZ) and Simplify Volatility Premium ETF (SVOL) have volatilities of 3.21% and 3.37%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
3.21%
3.37%
BTZ
SVOL