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

Key characteristics


THTASVOL
YTD Return5.17%9.71%
Daily Std Dev11.90%11.94%
Max Drawdown-11.94%-15.68%
Current Drawdown-2.57%-0.05%

Correlation

-0.50.00.51.00.4

The correlation between THTA and SVOL is 0.43, 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.

Performance

THTA vs. SVOL - Performance Comparison

In the year-to-date period, THTA achieves a 5.17% return, which is significantly lower than SVOL's 9.71% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.24%
4.06%
THTA
SVOL

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


THTA vs. SVOL - Expense Ratio Comparison

THTA has a 0.49% expense ratio, which is lower than SVOL's 0.50% 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 THTA: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

THTA vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SoFi Enhanced Yield ETF (THTA) 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.


THTA
Sharpe ratio
No data
SVOL
Sharpe ratio
The chart of Sharpe ratio for SVOL, currently valued at 1.11, compared to the broader market-2.000.002.004.006.001.11
Sortino ratio
The chart of Sortino ratio for SVOL, currently valued at 1.49, compared to the broader market-2.000.002.004.006.008.0010.0012.001.49
Omega ratio
The chart of Omega ratio for SVOL, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for SVOL, currently valued at 1.21, compared to the broader market0.005.0010.0015.001.21
Martin ratio
The chart of Martin ratio for SVOL, currently valued at 7.91, compared to the broader market0.0020.0040.0060.0080.00100.007.91

THTA vs. SVOL - Sharpe Ratio Comparison


Chart placeholderNot enough data

Dividends

THTA vs. SVOL - Dividend Comparison

THTA's dividend yield for the trailing twelve months is around 11.06%, less than SVOL's 16.29% yield.


TTM202320222021
THTA
SoFi Enhanced Yield ETF
11.06%0.58%0.00%0.00%
SVOL
Simplify Volatility Premium ETF
16.29%16.37%18.31%4.65%

Drawdowns

THTA vs. SVOL - Drawdown Comparison

The maximum THTA drawdown since its inception was -11.94%, smaller than the maximum SVOL drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for THTA and SVOL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.57%
-0.05%
THTA
SVOL

Volatility

THTA vs. SVOL - Volatility Comparison

The current volatility for SoFi Enhanced Yield ETF (THTA) is 1.26%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.40%. This indicates that THTA experiences smaller price fluctuations and is considered to be less risky than SVOL 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%12.00%JuneJulyAugustSeptemberOctoberNovember
1.26%
3.40%
THTA
SVOL