SVOL vs. SCHD
Compare and contrast key facts about Simplify Volatility Premium ETF (SVOL) and Schwab US Dividend Equity ETF (SCHD).
SVOL and SCHD 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. SCHD is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Dividend 100 Index. It was launched on Oct 20, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVOL or SCHD.
Performance
SVOL vs. SCHD - Performance Comparison
Returns By Period
In the year-to-date period, SVOL achieves a 9.01% return, which is significantly lower than SCHD's 17.35% return.
SVOL
9.01%
1.37%
2.89%
11.17%
N/A
N/A
SCHD
17.35%
2.29%
13.68%
26.18%
12.87%
11.54%
Key characteristics
| SVOL | SCHD | |
|---|---|---|
| Sharpe Ratio | 0.93 | 2.40 |
| Sortino Ratio | 1.27 | 3.44 |
| Omega Ratio | 1.23 | 1.42 |
| Calmar Ratio | 1.02 | 3.63 |
| Martin Ratio | 6.63 | 12.99 |
| Ulcer Index | 1.68% | 2.05% |
| Daily Std Dev | 12.01% | 11.09% |
| Max Drawdown | -15.68% | -33.37% |
| Current Drawdown | -0.78% | -0.62% |
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SVOL vs. SCHD - Expense Ratio Comparison
SVOL has a 0.50% expense ratio, which is higher than SCHD's 0.06% expense ratio.
Correlation
The correlation between SVOL and SCHD is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
SVOL vs. SCHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and Schwab US Dividend Equity ETF (SCHD). 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. SCHD - Dividend Comparison
SVOL's dividend yield for the trailing twelve months is around 16.40%, more than SCHD's 3.37% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 16.40% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SCHD Schwab US Dividend Equity ETF | 3.37% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
Drawdowns
SVOL vs. SCHD - Drawdown Comparison
The maximum SVOL drawdown since its inception was -15.68%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for SVOL and SCHD. For additional features, visit the drawdowns tool.
Volatility
SVOL vs. SCHD - Volatility Comparison
The current volatility for Simplify Volatility Premium ETF (SVOL) is 3.23%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.48%. This indicates that SVOL experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.