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SVOL vs. VXX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

SVOL vs. VXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Simplify Volatility Premium ETF (SVOL) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SVOL achieves a -0.40% return, which is significantly higher than VXX's -9.82% return.


SVOL

1D
-1.35%
1M
0.75%
YTD
-0.40%
6M
-0.86%
1Y
18.10%
3Y*
5.79%
5Y*
6.24%
10Y*

VXX

1D
5.99%
1M
-9.65%
YTD
-9.82%
6M
-11.92%
1Y
-54.78%
3Y*
-39.15%
5Y*
-45.02%
10Y*
-48.25%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SVOL vs. VXX - Yearly Performance Comparison


2026 (YTD)20252024202320222021
SVOL
Simplify Volatility Premium ETF
-0.40%2.41%6.77%22.88%-3.30%12.70%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
-9.82%-42.21%-26.22%-72.52%-23.80%-61.71%

Correlation

The correlation between SVOL and VXX is -0.77, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.77

Correlation (3Y)
Calculated over the trailing 3-year period

-0.79

Correlation (5Y)
Calculated over the trailing 5-year period

-0.81

Correlation (All Time)
Calculated using the full available price history since May 13, 2021

-0.81

The correlation between SVOL and VXX has been stable across timeframes, ranging from -0.81 to -0.77 - a consistent structural relationship.

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Return for Risk

SVOL vs. VXX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SVOL
SVOL Risk / Return Rank: 2727
Overall Rank
SVOL Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
SVOL Sortino Ratio Rank: 2525
Sortino Ratio Rank
SVOL Omega Ratio Rank: 2828
Omega Ratio Rank
SVOL Calmar Ratio Rank: 2929
Calmar Ratio Rank
SVOL Martin Ratio Rank: 2626
Martin Ratio Rank

VXX
VXX Risk / Return Rank: 11
Overall Rank
VXX Sharpe Ratio Rank: 11
Sharpe Ratio Rank
VXX Sortino Ratio Rank: 11
Sortino Ratio Rank
VXX Omega Ratio Rank: 11
Omega Ratio Rank
VXX Calmar Ratio Rank: 00
Calmar Ratio Rank
VXX Martin Ratio Rank: 11
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SVOL vs. VXX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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.


SVOLVXXDifference
Sharpe ratioReturn per unit of total volatility

+1.86

Sortino ratioReturn per unit of downside risk

+2.96

Omega ratioGain probability vs. loss probability

1.19

0.82

+0.37

Calmar ratioReturn relative to maximum drawdown

1.40

-1.01

+2.41

Martin ratioReturn relative to average drawdown

3.33

-1.55

+4.88

SVOL vs. VXX - Sharpe Ratio Comparison

The current SVOL Sharpe Ratio is 0.89, which is higher than the VXX Sharpe Ratio of -0.98. The chart below compares the historical Sharpe Ratios of SVOL and VXX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

SVOL vs. VXX - Drawdown Comparison

The maximum SVOL drawdown since its inception was -33.50%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SVOL and VXX.


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Drawdown Indicators


SVOLVXXDifference

Max Drawdown

Largest peak-to-trough decline

-33.50%

-100.00%

+66.50%

Max Drawdown (1Y)

Largest decline over 1 year

-13.01%

-54.18%

+41.17%

Max Drawdown (3Y)

Largest decline over 3 years

-33.50%

-79.21%

+45.71%

Max Drawdown (5Y)

Largest decline over 5 years

-33.50%

-95.97%

+62.47%

Max Drawdown (10Y)

Largest decline over 10 years

-99.87%

Current Drawdown

Current decline from peak

-2.98%

-100.00%

+97.02%

Average Drawdown

Average peak-to-trough decline

-4.75%

-95.08%

+90.33%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.44%

39.47%

-34.03%

Volatility

SVOL vs. VXX - Volatility Comparison

The current volatility for Simplify Volatility Premium ETF (SVOL) is 4.40%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 17.21%. This indicates that SVOL experiences smaller price fluctuations and is considered to be less risky than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


SVOLVXXDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.40%

17.21%

-12.81%

Volatility (6M)

Calculated over the trailing 6-month period

10.20%

43.47%

-33.27%

Volatility (1Y)

Calculated over the trailing 1-year period

20.52%

56.26%

-35.74%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.02%

68.03%

-46.01%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.88%

70.41%

-48.53%

SVOL vs. VXX - Expense Ratio Comparison

SVOL has a 0.50% expense ratio, which is lower than VXX's 0.89% expense ratio.


Dividends

SVOL vs. VXX - Dividend Comparison

SVOL's dividend yield for the trailing twelve months is around 22.10%, while VXX has not paid dividends to shareholders.


PositionTTM20252024202320222021
SVOL
Simplify Volatility Premium ETF
22.10%19.82%16.79%16.36%18.32%4.65%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions


SVOL and VXX have a correlation of -0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VXX has higher volatility (17.21%) compared to SVOL (4.40%). In terms of maximum drawdown, SVOL dropped -33.50% vs VXX's -100.00%.

On 5-year performance, SVOL leads with 6.24% vs -45.02% for VXX. On fees, SVOL is cheaper at 0.50% per year. On volatility, SVOL has been the lower-risk option at 4.40%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SVOL has performed better with a 6.24% return vs -45.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SVOL is cheaper with a 0.50% expense ratio, compared with 0.89% for VXX.

SVOL has the higher dividend yield at 22.10%, compared with 0.00% for VXX.

They also come from different issuers: Simplify and Barclays Capital. Their fees differ too: 0.50% for SVOL and 0.89% for VXX.

SVOL currently has the higher Sharpe Ratio (0.89 vs -0.98), 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.

Portfolio Optimizer

Find the right allocation for SVOL and VXX

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

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