SVOL vs. ^VIX
SVOL (Simplify Volatility Premium ETF) is Volatility fund actively managed by Simplify, while ^VIX (CBOE Volatility Index) is an index. Over the past 5 years, SVOL returned 6.50%/yr vs 5.55%/yr for ^VIX. At a correlation of -0.78, they often move in opposite directions.
Performance
SVOL vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, SVOL achieves a -1.34% return, which is significantly lower than ^VIX's 43.88% return.
SVOL
- 1D
- -1.98%
- 1M
- 2.02%
- YTD
- -1.34%
- 6M
- 0.46%
- 1Y
- 11.78%
- 3Y*
- 5.84%
- 5Y*
- 6.50%
- 10Y*
- —
^VIX
- 1D
- 39.68%
- 1M
- 23.69%
- YTD
- 43.88%
- 6M
- 39.58%
- 1Y
- 16.40%
- 3Y*
- 15.50%
- 5Y*
- 5.55%
- 10Y*
- 4.35%
SVOL vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | -1.34% | 2.41% | 6.77% | 22.88% | -3.30% | 12.25% |
^VIX CBOE Volatility Index | 43.88% | -13.83% | 39.36% | -42.55% | 25.84% | -25.55% |
Correlation
The correlation between SVOL and ^VIX is -0.71, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.75 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.78 |
Correlation (All Time) Calculated using the full available price history since May 14, 2021 | -0.78 |
The correlation between SVOL and ^VIX has been stable across timeframes, ranging from -0.78 to -0.71 - a consistent structural relationship.
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Return for Risk
SVOL vs. ^VIX — Risk / Return Rank
SVOL
^VIX
SVOL vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and CBOE Volatility Index (^VIX). 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.
| SVOL | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.43 | ||
| Sortino ratioReturn per unit of downside risk | -0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 1.14 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 0.91 | 0.32 | +0.59 |
| Martin ratioReturn relative to average drawdown | 2.15 | 0.53 | +1.62 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SVOL | ^VIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.57 | 0.13 | +0.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.30 | 0.04 | +0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.03 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.01 | +0.34 |
Drawdowns
SVOL vs. ^VIX - Drawdown Comparison
The maximum SVOL drawdown since its inception was -33.50%, smaller than the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for SVOL and ^VIX.
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Drawdown Indicators
| SVOL | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.50% | -88.70% | +55.20% |
Max Drawdown (1Y)Largest decline over 1 year | -13.01% | -50.66% | +37.65% |
Max Drawdown (3Y)Largest decline over 3 years | -33.50% | -74.26% | +40.76% |
Max Drawdown (5Y)Largest decline over 5 years | -33.50% | -74.26% | +40.76% |
Max Drawdown (10Y)Largest decline over 10 years | — | -85.66% | — |
Current DrawdownCurrent decline from peak | -3.89% | -73.99% | +70.10% |
Average DrawdownAverage peak-to-trough decline | -4.77% | -64.06% | +59.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.49% | 31.08% | -25.59% |
Volatility
SVOL vs. ^VIX - Volatility Comparison
The current volatility for Simplify Volatility Premium ETF (SVOL) is 2.74%, while CBOE Volatility Index (^VIX) has a volatility of 37.34%. This indicates that SVOL experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SVOL | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.74% | 37.34% | -34.60% |
Volatility (6M)Calculated over the trailing 6-month period | 9.81% | 87.29% | -77.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.95% | 122.25% | -101.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.00% | 127.40% | -105.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.93% | 137.59% | -115.66% |
Frequently Asked Questions
SVOL and ^VIX have a correlation of -0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (37.34%) compared to SVOL (2.74%). In terms of maximum drawdown, SVOL dropped -33.50% vs ^VIX's -88.70%.
SVOL currently has the higher Sharpe Ratio (0.57 vs 0.13), 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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