SVOL vs. ^VIX
Compare and contrast key facts about Simplify Volatility Premium ETF (SVOL) and CBOE Volatility Index (^VIX).
SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVOL or ^VIX.
Performance
SVOL vs. ^VIX - Performance Comparison
Returns By Period
In the year-to-date period, SVOL achieves a 8.76% return, which is significantly lower than ^VIX's 37.83% return.
SVOL
8.76%
1.37%
2.39%
10.87%
N/A
N/A
^VIX
37.83%
-6.59%
39.63%
28.54%
6.58%
2.80%
Key characteristics
| SVOL | ^VIX | |
|---|---|---|
| Sharpe Ratio | 0.92 | 0.25 |
| Sortino Ratio | 1.26 | 1.43 |
| Omega Ratio | 1.23 | 1.17 |
| Calmar Ratio | 1.01 | 0.36 |
| Martin Ratio | 6.57 | 0.91 |
| Ulcer Index | 1.68% | 34.15% |
| Daily Std Dev | 12.01% | 120.59% |
| Max Drawdown | -15.68% | -88.70% |
| Current Drawdown | -1.00% | -79.25% |
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Correlation
The correlation between SVOL and ^VIX is -0.79. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Risk-Adjusted Performance
SVOL vs. ^VIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) and CBOE Volatility Index (^VIX). 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.
Drawdowns
SVOL vs. ^VIX - Drawdown Comparison
The maximum SVOL drawdown since its inception was -15.68%, smaller than the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for SVOL and ^VIX. For additional features, visit the drawdowns tool.
Volatility
SVOL vs. ^VIX - Volatility Comparison
The current volatility for Simplify Volatility Premium ETF (SVOL) is 3.52%, while CBOE Volatility Index (^VIX) has a volatility of 35.10%. This indicates that SVOL experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.