SWZ vs. SVPFX
SWZ (Total Return Securities Fund) and SVPFX (Goldman Sachs Strategic Volatility Premium Fund) are both Large Cap Blend Equities funds. Over the past 5 years, SWZ returned 11.58%/yr vs 2.14%/yr for SVPFX. At a 0.19 correlation, their price movements are largely independent. SWZ charges 1.06%/yr vs 0.38%/yr for SVPFX.
Performance
SWZ vs. SVPFX - Performance Comparison
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Returns By Period
In the year-to-date period, SWZ achieves a -5.14% return, which is significantly lower than SVPFX's 1.59% return.
SWZ
- 1D
- -0.17%
- 1M
- -1.09%
- YTD
- -5.14%
- 6M
- -5.14%
- 1Y
- -5.45%
- 3Y*
- 22.04%
- 5Y*
- 11.58%
- 10Y*
- 12.41%
SVPFX
- 1D
- -0.10%
- 1M
- 0.51%
- YTD
- 1.59%
- 6M
- 1.80%
- 1Y
- 4.43%
- 3Y*
- 4.55%
- 5Y*
- 2.14%
- 10Y*
- —
SWZ vs. SVPFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SWZ Total Return Securities Fund | -5.14% | 86.85% | -2.46% | 15.50% | -17.69% | 15.99% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 1.59% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
Correlation
The correlation between SWZ and SVPFX is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Apr 7, 2021 | 0.19 |
The correlation between SWZ and SVPFX shifts across timeframes, from 0.19 (all time) to 0.30 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SWZ vs. SVPFX — Risk / Return Rank
SWZ
SVPFX
SWZ vs. SVPFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Total Return Securities Fund (SWZ) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX). 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.
| SWZ | SVPFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.61 | ||
| Sortino ratioReturn per unit of downside risk | -3.58 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 1.47 | -0.55 |
| Calmar ratioReturn relative to maximum drawdown | -0.71 | 3.74 | -4.45 |
| Martin ratioReturn relative to average drawdown | -1.19 | 12.55 | -13.74 |
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Drawdowns
SWZ vs. SVPFX - Drawdown Comparison
The maximum SWZ drawdown since its inception was -69.62%, which is greater than SVPFX's maximum drawdown of -6.37%. Use the drawdown chart below to compare losses from any high point for SWZ and SVPFX.
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Drawdown Indicators
| SWZ | SVPFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.62% | -6.37% | -63.25% |
Max Drawdown (1Y)Largest decline over 1 year | -7.73% | -1.33% | -6.40% |
Max Drawdown (3Y)Largest decline over 3 years | -15.52% | -5.32% | -10.20% |
Max Drawdown (5Y)Largest decline over 5 years | -30.36% | -6.37% | -23.99% |
Max Drawdown (10Y)Largest decline over 10 years | -31.21% | — | — |
Current DrawdownCurrent decline from peak | -8.10% | -0.20% | -7.90% |
Average DrawdownAverage peak-to-trough decline | -21.94% | -1.91% | -20.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.60% | 0.39% | +4.21% |
Volatility
SWZ vs. SVPFX - Volatility Comparison
Total Return Securities Fund (SWZ) has a higher volatility of 2.08% compared to Goldman Sachs Strategic Volatility Premium Fund (SVPFX) at 1.01%. This indicates that SWZ's price experiences larger fluctuations and is considered to be riskier than SVPFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SWZ | SVPFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.08% | 1.01% | +1.07% |
Volatility (6M)Calculated over the trailing 6-month period | 7.58% | 1.71% | +5.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.26% | 2.40% | +7.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.25% | 5.61% | +21.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.75% | 5.50% | +17.25% |
SWZ vs. SVPFX - Expense Ratio Comparison
SWZ has a 1.06% expense ratio, which is higher than SVPFX's 0.38% expense ratio.
Dividends
SWZ vs. SVPFX - Dividend Comparison
SWZ has not paid dividends to shareholders, while SVPFX's dividend yield for the trailing twelve months is around 2.47%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.47% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SWZ Total Return Securities Fund | 0.00% | 98.81% | 7.11% | 6.07% | 8.23% | 5.83% | 6.25% | 1.67% | 74.09% | 1.02% | 5.00% | 6.72% |
Frequently Asked Questions
SWZ and SVPFX have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SWZ has higher volatility (2.08%) compared to SVPFX (1.01%). In terms of maximum drawdown, SWZ dropped -69.62% vs SVPFX's -6.37%.
SVPFX currently has the higher Sharpe Ratio (2.08 vs -0.53), 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.
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