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 6.74%/yr vs -0.92%/yr for ^VIX. Their -0.78 correlation means they have often moved in opposite directions in the past.
Performance
SVOL vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, SVOL achieves a 1.56% return, which is significantly lower than ^VIX's 10.37% return.
SVOL
- 1D
- 0.00%
- 1M
- 0.32%
- 6M
- 1.07%
- YTD
- 1.56%
- 1Y
- 15.39%
- 3Y*
- 5.96%
- 5Y*
- 6.74%
- 10Y*
- —
- ALL TIME*
- 7.89%
^VIX
- 1D
- 4.04%
- 1M
- 2.17%
- 6M
- -8.33%
- YTD
- 10.37%
- 1Y
- -5.82%
- 3Y*
- -1.18%
- 5Y*
- -0.92%
- 10Y*
- 3.78%
- ALL TIME*
- -0.12%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $4.56M | $3.75M | $4.33M |
SVOL vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 1.56% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
^VIX CBOE Volatility Index | 10.37% | -13.83% | 39.36% | -42.55% | 25.84% | -37.59% |
Correlation
The correlation between SVOL and ^VIX is -0.80, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.80 |
Correlation (3Y) Balances recent behavior with more history. | -0.77 |
Correlation (5Y) Shows whether the relationship held over a longer 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 -0.80 to -0.77 - 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 | +0.96 | ||
| Sortino ratioReturn per unit of downside risk | +0.48 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.10 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.35 | -0.11 | +1.47 |
| Martin ratioReturn relative to average drawdown | 3.94 | -0.18 | +4.11 |
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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 | -1.58% | -80.05% | +78.47% |
Average DrawdownAverage peak-to-trough decline | -4.68% | -64.12% | +59.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.92% | 33.09% | -29.17% |
Volatility
SVOL vs. ^VIX - Volatility Comparison
The current volatility for Simplify Volatility Premium ETF (SVOL) is 3.99%, while CBOE Volatility Index (^VIX) has a volatility of 37.01%. 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 | 3.99% | 37.01% | -33.02% |
Volatility (6M)Calculated over the trailing 6-month period | 9.57% | 91.57% | -82.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.06% | 125.63% | -108.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.96% | 127.53% | -105.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.73% | 136.71% | -114.98% |
Frequently Asked Questions
SVOL and ^VIX have a correlation of -0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (37.01%) compared to SVOL (3.99%). In terms of maximum drawdown, SVOL dropped -33.50% vs ^VIX's -88.70%.
SVOL currently has the higher Sharpe Ratio (0.91 vs -0.05), 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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