FBRT vs. SVOL
Compare and contrast key facts about Franklin BSP Realty Trust, Inc. (FBRT) and Simplify Volatility Premium ETF (SVOL).
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: FBRT or SVOL.
Key characteristics
| FBRT | SVOL | |
|---|---|---|
| YTD Return | 6.17% | 8.26% |
| 1Y Return | 11.58% | 11.87% |
| 3Y Return (Ann) | 3.04% | 8.22% |
| Sharpe Ratio | 0.45 | 1.02 |
| Sortino Ratio | 0.78 | 1.39 |
| Omega Ratio | 1.10 | 1.25 |
| Calmar Ratio | 0.83 | 1.12 |
| Martin Ratio | 1.73 | 7.31 |
| Ulcer Index | 6.49% | 1.67% |
| Daily Std Dev | 25.08% | 11.94% |
| Max Drawdown | -31.33% | -15.68% |
| Current Drawdown | -3.22% | -1.36% |
Correlation
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.
Performance
FBRT vs. SVOL - Performance Comparison
In the year-to-date period, FBRT achieves a 6.17% return, which is significantly lower than SVOL's 8.26% 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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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.
Dividends
FBRT vs. SVOL - Dividend Comparison
FBRT's dividend yield for the trailing twelve months is around 10.75%, less than SVOL's 16.51% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
FBRT Franklin BSP Realty Trust, Inc. | 10.75% | 10.51% | 11.01% | 1.91% |
SVOL Simplify Volatility Premium ETF | 16.51% | 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.
Volatility
FBRT vs. SVOL - Volatility Comparison
Franklin BSP Realty Trust, Inc. (FBRT) has a higher volatility of 5.55% compared to Simplify Volatility Premium ETF (SVOL) at 3.35%. 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.