SPY vs. SVOL
Compare and contrast key facts about SPDR S&P 500 ETF (SPY) and Simplify Volatility Premium ETF (SVOL).
SPY and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. 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: SPY or SVOL.
Key characteristics
| SPY | SVOL | |
|---|---|---|
| YTD Return | 26.77% | 9.71% |
| 1Y Return | 37.43% | 13.02% |
| 3Y Return (Ann) | 10.15% | 8.83% |
| Sharpe Ratio | 3.06 | 1.11 |
| Sortino Ratio | 4.08 | 1.49 |
| Omega Ratio | 1.58 | 1.28 |
| Calmar Ratio | 4.44 | 1.21 |
| Martin Ratio | 20.11 | 7.91 |
| Ulcer Index | 1.85% | 1.67% |
| Daily Std Dev | 12.18% | 11.94% |
| Max Drawdown | -55.19% | -15.68% |
| Current Drawdown | -0.31% | -0.05% |
Correlation
The correlation between SPY and SVOL is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
SPY vs. SVOL - Performance Comparison
In the year-to-date period, SPY achieves a 26.77% return, which is significantly higher than SVOL's 9.71% 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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SPY vs. SVOL - Expense Ratio Comparison
SPY has a 0.09% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
SPY vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 ETF (SPY) 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
SPY vs. SVOL - Dividend Comparison
SPY's dividend yield for the trailing twelve months is around 1.17%, less than SVOL's 16.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
SVOL Simplify Volatility Premium ETF | 16.29% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
SPY vs. SVOL - Drawdown Comparison
The maximum SPY drawdown since its inception was -55.19%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for SPY and SVOL. For additional features, visit the drawdowns tool.
Volatility
SPY vs. SVOL - Volatility Comparison
SPDR S&P 500 ETF (SPY) has a higher volatility of 3.88% compared to Simplify Volatility Premium ETF (SVOL) at 3.40%. This indicates that SPY'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.