CCRV vs. SVOL
Compare and contrast key facts about iShares Commodity Curve Carry Strategy ETF (CCRV) and Simplify Volatility Premium ETF (SVOL).
CCRV and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CCRV is a passively managed fund by iShares that tracks the performance of the CCRV-US - ICE BofA Commodity Enhanced Carry Index. It was launched on Sep 1, 2020. 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: CCRV or SVOL.
Key characteristics
| CCRV | SVOL | |
|---|---|---|
| YTD Return | 7.14% | 6.56% |
| 1Y Return | 2.15% | 10.45% |
| 3Y Return (Ann) | 10.94% | 7.66% |
| Sharpe Ratio | 0.21 | 0.91 |
| Sortino Ratio | 0.39 | 1.24 |
| Omega Ratio | 1.04 | 1.23 |
| Calmar Ratio | 0.25 | 0.99 |
| Martin Ratio | 0.70 | 6.47 |
| Ulcer Index | 4.29% | 1.67% |
| Daily Std Dev | 14.42% | 11.84% |
| Max Drawdown | -24.81% | -15.68% |
| Current Drawdown | -4.45% | -2.92% |
Correlation
The correlation between CCRV and SVOL is 0.17, 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
CCRV vs. SVOL - Performance Comparison
In the year-to-date period, CCRV achieves a 7.14% return, which is significantly higher than SVOL's 6.56% 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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CCRV vs. SVOL - Expense Ratio Comparison
CCRV has a 0.40% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
CCRV vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Commodity Curve Carry Strategy ETF (CCRV) 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
CCRV vs. SVOL - Dividend Comparison
CCRV's dividend yield for the trailing twelve months is around 6.77%, less than SVOL's 16.77% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
CCRV iShares Commodity Curve Carry Strategy ETF | 6.77% | 7.26% | 33.27% | 26.22% |
SVOL Simplify Volatility Premium ETF | 16.77% | 16.36% | 18.21% | 4.65% |
Drawdowns
CCRV vs. SVOL - Drawdown Comparison
The maximum CCRV drawdown since its inception was -24.81%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for CCRV and SVOL. For additional features, visit the drawdowns tool.
Volatility
CCRV vs. SVOL - Volatility Comparison
iShares Commodity Curve Carry Strategy ETF (CCRV) has a higher volatility of 5.02% compared to Simplify Volatility Premium ETF (SVOL) at 3.10%. This indicates that CCRV'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.