LQDW vs. SVOL
Compare and contrast key facts about iShares Investment Grade Corporate Bond Buywrite Strategy ETF (LQDW) and Simplify Volatility Premium ETF (SVOL).
LQDW and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. LQDW is a passively managed fund by iShares that tracks the performance of the CBOE LQD BuyWrite Index. It was launched on Aug 18, 2022. 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: LQDW or SVOL.
Key characteristics
| LQDW | SVOL | |
|---|---|---|
| YTD Return | 3.73% | 9.76% |
| 1Y Return | 5.49% | 13.27% |
| Sharpe Ratio | 1.25 | 1.15 |
| Sortino Ratio | 1.71 | 1.54 |
| Omega Ratio | 1.24 | 1.28 |
| Calmar Ratio | 1.03 | 1.25 |
| Martin Ratio | 4.95 | 8.18 |
| Ulcer Index | 1.12% | 1.67% |
| Daily Std Dev | 4.42% | 11.96% |
| Max Drawdown | -9.20% | -15.68% |
| Current Drawdown | -1.74% | 0.00% |
Correlation
The correlation between LQDW 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
LQDW vs. SVOL - Performance Comparison
In the year-to-date period, LQDW achieves a 3.73% return, which is significantly lower than SVOL's 9.76% 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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LQDW vs. SVOL - Expense Ratio Comparison
LQDW has a 0.34% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
LQDW vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Investment Grade Corporate Bond Buywrite Strategy ETF (LQDW) 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
LQDW vs. SVOL - Dividend Comparison
LQDW's dividend yield for the trailing twelve months is around 16.31%, which matches SVOL's 16.28% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
LQDW iShares Investment Grade Corporate Bond Buywrite Strategy ETF | 16.31% | 19.28% | 8.85% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.28% | 16.37% | 18.31% | 4.65% |
Drawdowns
LQDW vs. SVOL - Drawdown Comparison
The maximum LQDW drawdown since its inception was -9.20%, smaller than the maximum SVOL drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for LQDW and SVOL. For additional features, visit the drawdowns tool.
Volatility
LQDW vs. SVOL - Volatility Comparison
The current volatility for iShares Investment Grade Corporate Bond Buywrite Strategy ETF (LQDW) is 2.16%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.42%. This indicates that LQDW 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.