SVXY vs. SVOL
Compare and contrast key facts about ProShares Short VIX Short-Term Futures ETF (SVXY) and Simplify Volatility Premium ETF (SVOL).
SVXY and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SVXY is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Short-Term Futures Index (-100%). It was launched on Oct 3, 2011. 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: SVXY or SVOL.
Key characteristics
| SVXY | SVOL | |
|---|---|---|
| YTD Return | 0.70% | 9.76% |
| 1Y Return | 14.02% | 13.27% |
| 3Y Return (Ann) | 18.38% | 8.86% |
| Sharpe Ratio | 0.43 | 1.15 |
| Sortino Ratio | 0.72 | 1.54 |
| Omega Ratio | 1.14 | 1.28 |
| Calmar Ratio | 0.19 | 1.25 |
| Martin Ratio | 1.31 | 8.18 |
| Ulcer Index | 12.42% | 1.67% |
| Daily Std Dev | 38.20% | 11.96% |
| Max Drawdown | -95.25% | -15.68% |
| Current Drawdown | -81.17% | 0.00% |
Correlation
The correlation between SVXY and SVOL is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
SVXY vs. SVOL - Performance Comparison
In the year-to-date period, SVXY achieves a 0.70% return, which is significantly lower than SVOL's 9.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SVXY vs. SVOL - Expense Ratio Comparison
SVXY has a 1.38% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
SVXY vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short VIX Short-Term Futures ETF (SVXY) and Simplify Volatility Premium ETF (SVOL). 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
SVXY vs. SVOL - Dividend Comparison
SVXY has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 16.28%.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
SVXY ProShares Short VIX Short-Term Futures ETF | 0.00% | 0.00% | 0.00% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.28% | 16.37% | 18.31% | 4.65% |
Drawdowns
SVXY vs. SVOL - Drawdown Comparison
The maximum SVXY drawdown since its inception was -95.25%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for SVXY and SVOL. For additional features, visit the drawdowns tool.
Volatility
SVXY vs. SVOL - Volatility Comparison
ProShares Short VIX Short-Term Futures ETF (SVXY) has a higher volatility of 9.17% compared to Simplify Volatility Premium ETF (SVOL) at 3.42%. This indicates that SVXY's price experiences larger fluctuations and is considered to be riskier than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.