RYLD vs. SVOL
RYLD (Global X Russell 2000 Covered Call ETF) and SVOL (Simplify Volatility Premium ETF) are both exchange-traded funds - RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index, while SVOL is a Volatility fund actively managed by Simplify. RYLD is passively managed, while SVOL is actively managed. Over the past 5 years, RYLD returned 3.18%/yr vs 6.70%/yr for SVOL. Their 0.64 correlation means they have sometimes moved together and sometimes differently. RYLD charges 0.60%/yr vs 0.50%/yr for SVOL.
Performance
RYLD vs. SVOL - Performance Comparison
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Returns By Period
In the year-to-date period, RYLD achieves a 12.50% return, which is significantly higher than SVOL's 0.66% return.
RYLD
- 1D
- 1.07%
- 1M
- 1.32%
- 6M
- 9.44%
- YTD
- 12.50%
- 1Y
- 22.37%
- 3Y*
- 8.15%
- 5Y*
- 3.18%
- 10Y*
- —
- ALL TIME*
- 5.84%
SVOL
- 1D
- 1.56%
- 1M
- -0.81%
- 6M
- -0.97%
- YTD
- 0.66%
- 1Y
- 13.16%
- 3Y*
- 5.47%
- 5Y*
- 6.70%
- 10Y*
- —
- ALL TIME*
- 7.73%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.51M | $9.39M | $9.11M | |
| $4.59M | $3.81M | $4.54M |
RYLD vs. SVOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
RYLD Global X Russell 2000 Covered Call ETF | 12.50% | 5.65% | 10.13% | 0.27% | -13.03% | 10.90% |
SVOL Simplify Volatility Premium ETF | 0.66% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
Correlation
The correlation between RYLD and SVOL is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.63 |
Correlation (3Y) Balances recent behavior with more history. | 0.61 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.63 |
Correlation (All Time) Calculated using the full available price history since May 13, 2021 | 0.64 |
The correlation between RYLD and SVOL has been stable across timeframes, ranging from 0.61 to 0.64 - a consistent structural relationship.
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Return for Risk
RYLD vs. SVOL — Risk / Return Rank
RYLD
SVOL
RYLD vs. SVOL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call ETF (RYLD) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| RYLD | SVOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.34 | ||
| Sortino ratioReturn per unit of downside risk | +1.78 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.16 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 3.57 | 1.16 | +2.41 |
| Martin ratioReturn relative to average drawdown | 14.60 | 3.37 | +11.24 |
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Drawdowns
RYLD vs. SVOL - Drawdown Comparison
The maximum RYLD drawdown since its inception was -41.53%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for RYLD and SVOL.
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Drawdown Indicators
| RYLD | SVOL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.53% | -33.50% | -8.03% |
Max Drawdown (1Y)Largest decline over 1 year | -6.29% | -11.42% | +5.13% |
Max Drawdown (3Y)Largest decline over 3 years | -19.05% | -33.50% | +14.45% |
Max Drawdown (5Y)Largest decline over 5 years | -21.33% | -33.50% | +12.17% |
Current DrawdownCurrent decline from peak | -0.19% | -2.46% | +2.27% |
Average DrawdownAverage peak-to-trough decline | -8.66% | -4.68% | -3.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.54% | 3.92% | -2.38% |
Volatility
RYLD vs. SVOL - Volatility Comparison
The current volatility for Global X Russell 2000 Covered Call ETF (RYLD) is 2.07%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 4.00%. This indicates that RYLD 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.
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Volatility by Period
| RYLD | SVOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.07% | 4.00% | -1.93% |
Volatility (6M)Calculated over the trailing 6-month period | 7.73% | 9.61% | -1.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.67% | 17.22% | -6.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.97% | 21.96% | -7.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.05% | 21.75% | -4.70% |
RYLD vs. SVOL - Expense Ratio Comparison
RYLD has a 0.60% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Dividends
RYLD vs. SVOL - Dividend Comparison
RYLD's dividend yield for the trailing twelve months is around 11.60%, less than SVOL's 22.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
RYLD Global X Russell 2000 Covered Call ETF | 11.60% | 12.00% | 12.03% | 12.64% | 13.49% | 12.35% | 10.76% | 6.43% |
SVOL Simplify Volatility Premium ETF | 22.39% | 19.82% | 16.79% | 16.36% | 18.32% | 4.65% | 0.00% | 0.00% |
Frequently Asked Questions
RYLD and SVOL have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SVOL has higher volatility (4.00%) compared to RYLD (2.07%). In terms of maximum drawdown, RYLD dropped -41.53% vs SVOL's -33.50%.
On 5-year performance, SVOL leads with 6.70% vs 3.18% for RYLD. On fees, SVOL is cheaper at 0.50% per year. On volatility, RYLD has been the lower-risk option at 2.07%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SVOL has performed better with a 6.70% return vs 3.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SVOL is cheaper with a 0.50% expense ratio, compared with 0.60% for RYLD.
SVOL has the higher dividend yield at 22.39%, compared with 11.60% for RYLD.
RYLD is categorized as Derivative Income, while SVOL is Volatility. They also come from different issuers: Global X and Simplify. Their fees differ too: 0.60% for RYLD and 0.50% for SVOL.
RYLD currently has the higher Sharpe Ratio (2.11 vs 0.77), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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