PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ECCC vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ECCCSVOL
YTD Return15.83%9.21%
1Y Return21.20%12.36%
3Y Return (Ann)4.72%8.63%
Sharpe Ratio3.011.07
Sortino Ratio4.551.45
Omega Ratio1.631.27
Calmar Ratio2.691.18
Martin Ratio23.687.69
Ulcer Index0.90%1.67%
Daily Std Dev7.09%11.96%
Max Drawdown-19.15%-15.68%
Current Drawdown0.00%-0.50%

Correlation

-0.50.00.51.00.1

The correlation between ECCC and SVOL is 0.13, 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

ECCC vs. SVOL - Performance Comparison

In the year-to-date period, ECCC achieves a 15.83% return, which is significantly higher than SVOL's 9.21% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.38%
4.13%
ECCC
SVOL

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ECCC vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eagle Point Credit Company Inc. (ECCC) 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.


ECCC
Sharpe ratio
The chart of Sharpe ratio for ECCC, currently valued at 3.01, compared to the broader market-4.00-2.000.002.004.003.01
Sortino ratio
The chart of Sortino ratio for ECCC, currently valued at 4.55, compared to the broader market-4.00-2.000.002.004.006.004.55
Omega ratio
The chart of Omega ratio for ECCC, currently valued at 1.63, compared to the broader market0.501.001.502.001.63
Calmar ratio
The chart of Calmar ratio for ECCC, currently valued at 2.69, compared to the broader market0.002.004.006.002.69
Martin ratio
The chart of Martin ratio for ECCC, currently valued at 23.68, compared to the broader market-10.000.0010.0020.0030.0023.68
SVOL
Sharpe ratio
The chart of Sharpe ratio for SVOL, currently valued at 1.07, compared to the broader market-4.00-2.000.002.004.001.07
Sortino ratio
The chart of Sortino ratio for SVOL, currently valued at 1.45, compared to the broader market-4.00-2.000.002.004.006.001.45
Omega ratio
The chart of Omega ratio for SVOL, currently valued at 1.27, compared to the broader market0.501.001.502.001.27
Calmar ratio
The chart of Calmar ratio for SVOL, currently valued at 1.18, compared to the broader market0.002.004.006.001.18
Martin ratio
The chart of Martin ratio for SVOL, currently valued at 7.69, compared to the broader market-10.000.0010.0020.0030.007.69

ECCC vs. SVOL - Sharpe Ratio Comparison

The current ECCC Sharpe Ratio is 3.01, which is higher than the SVOL Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of ECCC 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
3.01
1.07
ECCC
SVOL

Dividends

ECCC vs. SVOL - Dividend Comparison

ECCC's dividend yield for the trailing twelve months is around 6.88%, less than SVOL's 16.37% yield.


TTM202320222021
ECCC
Eagle Point Credit Company Inc.
6.88%7.51%7.93%3.47%
SVOL
Simplify Volatility Premium ETF
16.37%16.37%18.31%4.65%

Drawdowns

ECCC vs. SVOL - Drawdown Comparison

The maximum ECCC drawdown since its inception was -19.15%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for ECCC and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.50%
ECCC
SVOL

Volatility

ECCC vs. SVOL - Volatility Comparison

The current volatility for Eagle Point Credit Company Inc. (ECCC) is 2.73%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.45%. This indicates that ECCC 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
2.73%
3.45%
ECCC
SVOL