THTA vs. SVOL
Compare and contrast key facts about SoFi Enhanced Yield ETF (THTA) and Simplify Volatility Premium ETF (SVOL).
THTA and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. THTA is an actively managed fund by SoFi. It was launched on Nov 14, 2023. 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: THTA or SVOL.
Performance
THTA vs. SVOL - Performance Comparison
Returns By Period
In the year-to-date period, THTA achieves a 5.57% return, which is significantly lower than SVOL's 9.01% return.
THTA
5.57%
1.49%
0.54%
6.59%
N/A
N/A
SVOL
9.01%
1.37%
2.89%
11.17%
N/A
N/A
Key characteristics
| THTA | SVOL | |
|---|---|---|
| Sharpe Ratio | 0.55 | 0.93 |
| Sortino Ratio | 0.68 | 1.27 |
| Omega Ratio | 1.27 | 1.23 |
| Calmar Ratio | 0.55 | 1.02 |
| Martin Ratio | 2.29 | 6.63 |
| Ulcer Index | 2.86% | 1.68% |
| Daily Std Dev | 11.84% | 12.01% |
| Max Drawdown | -11.94% | -15.68% |
| Current Drawdown | -2.20% | -0.78% |
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THTA vs. SVOL - Expense Ratio Comparison
THTA has a 0.49% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Correlation
The correlation between THTA and SVOL is 0.44, 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.
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.
Dividends
THTA vs. SVOL - Dividend Comparison
THTA's dividend yield for the trailing twelve months is around 12.13%, less than SVOL's 16.40% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
THTA SoFi Enhanced Yield ETF | 12.13% | 0.58% | 0.00% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.40% | 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.
Volatility
THTA vs. SVOL - Volatility Comparison
The current volatility for SoFi Enhanced Yield ETF (THTA) is 1.29%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.23%. 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.