PortfoliosLab logo
ITT vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ITT and SVOL is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

ITT vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ITT Inc. (ITT) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

ITT:

0.26

SVOL:

-0.16

Sortino Ratio

ITT:

0.58

SVOL:

0.02

Omega Ratio

ITT:

1.08

SVOL:

1.00

Calmar Ratio

ITT:

0.27

SVOL:

-0.17

Martin Ratio

ITT:

0.85

SVOL:

-0.67

Ulcer Index

ITT:

9.40%

SVOL:

8.63%

Daily Std Dev

ITT:

31.87%

SVOL:

36.68%

Max Drawdown

ITT:

-54.68%

SVOL:

-33.50%

Current Drawdown

ITT:

-6.19%

SVOL:

-10.86%

Returns By Period

In the year-to-date period, ITT achieves a 4.59% return, which is significantly higher than SVOL's -6.29% return.


ITT

YTD

4.59%

1M

18.87%

6M

-1.61%

1Y

8.12%

3Y*

30.75%

5Y*

23.77%

10Y*

14.44%

SVOL

YTD

-6.29%

1M

27.48%

6M

-8.01%

1Y

-5.97%

3Y*

9.76%

5Y*

N/A

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

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


ITT Inc.

Simplify Volatility Premium ETF

Risk-Adjusted Performance

ITT vs. SVOL — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ITT
The Risk-Adjusted Performance Rank of ITT is 5959
Overall Rank
The Sharpe Ratio Rank of ITT is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of ITT is 5353
Sortino Ratio Rank
The Omega Ratio Rank of ITT is 5353
Omega Ratio Rank
The Calmar Ratio Rank of ITT is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ITT is 6363
Martin Ratio Rank

SVOL
The Risk-Adjusted Performance Rank of SVOL is 1111
Overall Rank
The Sharpe Ratio Rank of SVOL is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of SVOL is 1313
Sortino Ratio Rank
The Omega Ratio Rank of SVOL is 1313
Omega Ratio Rank
The Calmar Ratio Rank of SVOL is 99
Calmar Ratio Rank
The Martin Ratio Rank of SVOL is 88
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ITT vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ITT Inc. (ITT) 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.


The current ITT Sharpe Ratio is 0.26, which is higher than the SVOL Sharpe Ratio of -0.16. The chart below compares the historical Sharpe Ratios of ITT 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.


Loading data...

Dividends

ITT vs. SVOL - Dividend Comparison

ITT's dividend yield for the trailing twelve months is around 0.88%, less than SVOL's 18.30% yield.


TTM20242023202220212020201920182017201620152014
ITT
ITT Inc.
0.88%0.89%0.97%1.30%0.86%0.88%0.80%1.11%0.96%1.29%1.30%1.09%
SVOL
Simplify Volatility Premium ETF
18.30%16.79%16.37%18.32%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

ITT vs. SVOL - Drawdown Comparison

The maximum ITT drawdown since its inception was -54.68%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for ITT and SVOL. For additional features, visit the drawdowns tool.


Loading data...

Volatility

ITT vs. SVOL - Volatility Comparison

The current volatility for ITT Inc. (ITT) is 7.30%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 16.84%. This indicates that ITT 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.


Loading data...