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

Performance

FBRT vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin BSP Realty Trust, Inc. (FBRT) 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%10.00%JuneJulyAugustSeptemberOctoberNovember
4.94%
2.38%
FBRT
SVOL

Returns By Period

In the year-to-date period, FBRT achieves a 3.12% return, which is significantly lower than SVOL's 8.76% return.


FBRT

YTD

3.12%

1M

0.08%

6M

4.93%

1Y

10.98%

5Y (annualized)

N/A

10Y (annualized)

N/A

SVOL

YTD

8.76%

1M

1.37%

6M

2.39%

1Y

10.87%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FBRTSVOL
Sharpe Ratio0.380.92
Sortino Ratio0.681.26
Omega Ratio1.091.23
Calmar Ratio0.681.01
Martin Ratio1.426.57
Ulcer Index6.52%1.68%
Daily Std Dev24.74%12.01%
Max Drawdown-31.33%-15.68%
Current Drawdown-6.01%-1.00%

Compare stocks, funds, or ETFs

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Correlation

-0.50.00.51.00.4

The correlation between FBRT and SVOL is 0.36, 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.

Risk-Adjusted Performance

FBRT vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin BSP Realty Trust, Inc. (FBRT) 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 FBRT, currently valued at 0.38, compared to the broader market-4.00-2.000.002.004.000.380.92
The chart of Sortino ratio for FBRT, currently valued at 0.68, compared to the broader market-4.00-2.000.002.004.000.681.26
The chart of Omega ratio for FBRT, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.23
The chart of Calmar ratio for FBRT, currently valued at 0.68, compared to the broader market0.002.004.006.000.681.01
The chart of Martin ratio for FBRT, currently valued at 1.42, compared to the broader market-10.000.0010.0020.0030.001.426.57
FBRT
SVOL

The current FBRT Sharpe Ratio is 0.38, which is lower than the SVOL Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of FBRT 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.38
0.92
FBRT
SVOL

Dividends

FBRT vs. SVOL - Dividend Comparison

FBRT's dividend yield for the trailing twelve months is around 11.07%, less than SVOL's 16.43% yield.


TTM202320222021
FBRT
Franklin BSP Realty Trust, Inc.
11.07%10.51%11.01%1.91%
SVOL
Simplify Volatility Premium ETF
16.43%16.37%18.31%4.65%

Drawdowns

FBRT vs. SVOL - Drawdown Comparison

The maximum FBRT drawdown since its inception was -31.33%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for FBRT and SVOL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.01%
-1.00%
FBRT
SVOL

Volatility

FBRT vs. SVOL - Volatility Comparison

Franklin BSP Realty Trust, Inc. (FBRT) has a higher volatility of 5.51% compared to Simplify Volatility Premium ETF (SVOL) at 3.52%. This indicates that FBRT'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.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
5.51%
3.52%
FBRT
SVOL