SVOL vs. IVOL
Compare and contrast key facts about Simplify Volatility Premium ETF (SVOL) and Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL).
SVOL and IVOL 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. IVOL is an actively managed fund by CICC. It was launched on May 13, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVOL or IVOL.
Performance
SVOL vs. IVOL - Performance Comparison
Returns By Period
In the year-to-date period, SVOL achieves a 9.06% return, which is significantly higher than IVOL's -10.21% return.
SVOL
9.06%
1.00%
2.49%
11.32%
N/A
N/A
IVOL
-10.21%
-4.47%
-0.98%
-8.87%
-3.13%
N/A
Key characteristics
| SVOL | IVOL | |
|---|---|---|
| Sharpe Ratio | 0.95 | -0.96 |
| Sortino Ratio | 1.30 | -1.25 |
| Omega Ratio | 1.24 | 0.85 |
| Calmar Ratio | 1.05 | -0.31 |
| Martin Ratio | 6.82 | -1.23 |
| Ulcer Index | 1.68% | 7.40% |
| Daily Std Dev | 12.00% | 9.49% |
| Max Drawdown | -15.68% | -29.67% |
| Current Drawdown | -0.73% | -29.08% |
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SVOL vs. IVOL - Expense Ratio Comparison
SVOL has a 0.50% expense ratio, which is lower than IVOL's 0.99% expense ratio.
Correlation
The correlation between SVOL and IVOL is 0.03, 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. IVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL). 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. IVOL - Dividend Comparison
SVOL's dividend yield for the trailing twelve months is around 16.39%, more than IVOL's 3.86% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 16.39% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% |
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF | 3.86% | 3.73% | 3.91% | 3.93% | 3.44% | 2.02% |
Drawdowns
SVOL vs. IVOL - Drawdown Comparison
The maximum SVOL drawdown since its inception was -15.68%, smaller than the maximum IVOL drawdown of -29.67%. Use the drawdown chart below to compare losses from any high point for SVOL and IVOL. For additional features, visit the drawdowns tool.
Volatility
SVOL vs. IVOL - Volatility Comparison
Simplify Volatility Premium ETF (SVOL) has a higher volatility of 3.51% compared to Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) at 2.51%. This indicates that SVOL's price experiences larger fluctuations and is considered to be riskier than IVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.