SVOL vs. BNDW
Compare and contrast key facts about Simplify Volatility Premium ETF (SVOL) and Vanguard Total World Bond ETF (BNDW).
SVOL and BNDW are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021. BNDW is a passively managed fund by Vanguard that tracks the performance of the Bloomberg Barclays Global Aggregate Float Adjusted TR Index. It was launched on Sep 4, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVOL or BNDW.
Performance
SVOL vs. BNDW - Performance Comparison
Returns By Period
In the year-to-date period, SVOL achieves a 9.01% return, which is significantly higher than BNDW's 2.34% return.
SVOL
9.01%
1.37%
2.89%
11.17%
N/A
N/A
BNDW
2.34%
-0.36%
3.63%
6.60%
-0.15%
N/A
Key characteristics
| SVOL | BNDW | |
|---|---|---|
| Sharpe Ratio | 0.93 | 1.41 |
| Sortino Ratio | 1.27 | 2.09 |
| Omega Ratio | 1.23 | 1.25 |
| Calmar Ratio | 1.02 | 0.53 |
| Martin Ratio | 6.63 | 4.87 |
| Ulcer Index | 1.68% | 1.37% |
| Daily Std Dev | 12.01% | 4.74% |
| Max Drawdown | -15.68% | -17.22% |
| Current Drawdown | -0.78% | -6.44% |
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SVOL vs. BNDW - Expense Ratio Comparison
SVOL has a 0.50% expense ratio, which is higher than BNDW's 0.06% expense ratio.
Correlation
The correlation between SVOL and BNDW is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
SVOL vs. BNDW - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and Vanguard Total World Bond ETF (BNDW). 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
SVOL vs. BNDW - Dividend Comparison
SVOL's dividend yield for the trailing twelve months is around 16.40%, more than BNDW's 4.16% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 16.40% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% |
BNDW Vanguard Total World Bond ETF | 4.16% | 3.73% | 2.02% | 2.58% | 1.56% | 3.05% | 1.66% |
Drawdowns
SVOL vs. BNDW - Drawdown Comparison
The maximum SVOL drawdown since its inception was -15.68%, smaller than the maximum BNDW drawdown of -17.22%. Use the drawdown chart below to compare losses from any high point for SVOL and BNDW. For additional features, visit the drawdowns tool.
Volatility
SVOL vs. BNDW - Volatility Comparison
Simplify Volatility Premium ETF (SVOL) has a higher volatility of 3.23% compared to Vanguard Total World Bond ETF (BNDW) at 1.07%. This indicates that SVOL's price experiences larger fluctuations and is considered to be riskier than BNDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.