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SVOL vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SVOL and SPY is 0.68, 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.


-0.50.00.51.00.7

Performance

SVOL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Volatility Premium ETF (SVOL) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%55.00%JulyAugustSeptemberOctoberNovemberDecember
43.20%
51.55%
SVOL
SPY

Key characteristics

Sharpe Ratio

SVOL:

0.62

SPY:

2.21

Sortino Ratio

SVOL:

0.88

SPY:

2.93

Omega Ratio

SVOL:

1.16

SPY:

1.41

Calmar Ratio

SVOL:

0.75

SPY:

3.26

Martin Ratio

SVOL:

4.58

SPY:

14.43

Ulcer Index

SVOL:

1.78%

SPY:

1.90%

Daily Std Dev

SVOL:

13.21%

SPY:

12.41%

Max Drawdown

SVOL:

-15.62%

SPY:

-55.19%

Current Drawdown

SVOL:

-3.79%

SPY:

-2.74%

Returns By Period

In the year-to-date period, SVOL achieves a 6.93% return, which is significantly lower than SPY's 25.54% return.


SVOL

YTD

6.93%

1M

-1.91%

6M

0.43%

1Y

7.67%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SVOL vs. SPY - Expense Ratio Comparison

SVOL has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.


SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

SVOL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for SVOL, currently valued at 0.62, compared to the broader market0.002.004.000.622.21
The chart of Sortino ratio for SVOL, currently valued at 0.88, compared to the broader market-2.000.002.004.006.008.0010.000.882.93
The chart of Omega ratio for SVOL, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.41
The chart of Calmar ratio for SVOL, currently valued at 0.75, compared to the broader market0.005.0010.0015.000.753.26
The chart of Martin ratio for SVOL, currently valued at 4.58, compared to the broader market0.0020.0040.0060.0080.00100.004.5814.43
SVOL
SPY

The current SVOL Sharpe Ratio is 0.62, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SVOL and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.62
2.21
SVOL
SPY

Dividends

SVOL vs. SPY - Dividend Comparison

SVOL's dividend yield for the trailing twelve months is around 16.78%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
SVOL
Simplify Volatility Premium ETF
16.78%16.37%18.32%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SVOL vs. SPY - Drawdown Comparison

The maximum SVOL drawdown since its inception was -15.62%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SVOL and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.79%
-2.74%
SVOL
SPY

Volatility

SVOL vs. SPY - Volatility Comparison

Simplify Volatility Premium ETF (SVOL) has a higher volatility of 5.83% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that SVOL's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.83%
3.72%
SVOL
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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