SH vs. SVOL
Compare and contrast key facts about ProShares Short S&P500 (SH) and Simplify Volatility Premium ETF (SVOL).
SH and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SH is a passively managed fund by ProShares that tracks the performance of the S&P 500 (-100%). It was launched on Jun 19, 2006. 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: SH or SVOL.
Key characteristics
| SH | SVOL | |
|---|---|---|
| YTD Return | -15.65% | 9.86% |
| 1Y Return | -19.74% | 13.08% |
| 3Y Return (Ann) | -6.12% | 8.87% |
| Sharpe Ratio | -1.76 | 1.10 |
| Sortino Ratio | -2.57 | 1.49 |
| Omega Ratio | 0.72 | 1.28 |
| Calmar Ratio | -0.23 | 1.21 |
| Martin Ratio | -1.76 | 7.88 |
| Ulcer Index | 12.10% | 1.67% |
| Daily Std Dev | 12.11% | 11.94% |
| Max Drawdown | -93.65% | -15.68% |
| Current Drawdown | -93.63% | 0.00% |
Correlation
The correlation between SH and SVOL is -0.68. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
SH vs. SVOL - Performance Comparison
In the year-to-date period, SH achieves a -15.65% return, which is significantly lower than SVOL's 9.86% 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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SH vs. SVOL - Expense Ratio Comparison
SH has a 0.90% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
SH vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short S&P500 (SH) 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
SH vs. SVOL - Dividend Comparison
SH's dividend yield for the trailing twelve months is around 6.81%, less than SVOL's 16.27% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
SH ProShares Short S&P500 | 6.81% | 5.37% | 0.32% | 0.00% | 0.16% | 1.49% | 1.01% | 0.06% |
SVOL Simplify Volatility Premium ETF | 16.27% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
SH vs. SVOL - Drawdown Comparison
The maximum SH drawdown since its inception was -93.65%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for SH and SVOL. For additional features, visit the drawdowns tool.
Volatility
SH vs. SVOL - Volatility Comparison
ProShares Short S&P500 (SH) has a higher volatility of 3.77% compared to Simplify Volatility Premium ETF (SVOL) at 3.37%. This indicates that SH'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.