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 7.13%/yr vs -3.21%/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 3.19% return, which is significantly lower than ^VIX's 4.82% return.
SVOL
- 1D
- 0.62%
- 1M
- 1.90%
- 6M
- 2.03%
- YTD
- 3.19%
- 1Y
- 17.03%
- 3Y*
- 6.40%
- 5Y*
- 7.13%
- 10Y*
- —
^VIX
- 1D
- -5.03%
- 1M
- -3.27%
- 6M
- -6.45%
- YTD
- 4.82%
- 1Y
- -9.84%
- 3Y*
- 5.51%
- 5Y*
- -3.21%
- 10Y*
- 2.15%
SVOL vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 3.19% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
^VIX CBOE Volatility Index | 4.82% | -13.83% | 39.36% | -42.55% | 25.84% | -37.59% |
Correlation
The correlation between SVOL and ^VIX is -0.79, 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 | -0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.78 |
Correlation (All Time) Calculated using the full available price history since May 13, 2021 | -0.78 |
The correlation between SVOL and ^VIX has been stable across timeframes, ranging from -0.79 to -0.76 - 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.
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.
| SVOL | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.09 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.50 | -0.19 | +1.69 |
| Martin ratioReturn relative to average drawdown | 4.31 | -0.30 | +4.62 |
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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 | -11.42% | -51.59% | +40.17% |
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 | 0.00% | -81.05% | +81.05% |
Average DrawdownAverage peak-to-trough decline | -4.71% | -64.10% | +59.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.96% | 32.63% | -28.67% |
Volatility
SVOL vs. ^VIX - Volatility Comparison
The current volatility for Simplify Volatility Premium ETF (SVOL) is 3.73%, while CBOE Volatility Index (^VIX) has a volatility of 31.68%. 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 | 3.73% | 31.68% | -27.95% |
Volatility (6M)Calculated over the trailing 6-month period | 10.37% | 92.41% | -82.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.33% | 124.40% | -107.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.02% | 127.59% | -105.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.78% | 136.47% | -114.69% |
Frequently Asked Questions
SVOL and ^VIX have a correlation of -0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (31.68%) compared to SVOL (3.73%). In terms of maximum drawdown, SVOL dropped -33.50% vs ^VIX's -88.70%.
SVOL currently has the higher Sharpe Ratio (1.00 vs -0.08), 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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