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

Correlation

The correlation between TLTD and SVOL is 0.61, 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.


-0.50.00.51.00.6

Performance

TLTD vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
7.47%
43.20%
TLTD
SVOL

Key characteristics

Sharpe Ratio

TLTD:

0.52

SVOL:

0.62

Sortino Ratio

TLTD:

0.78

SVOL:

0.88

Omega Ratio

TLTD:

1.10

SVOL:

1.16

Calmar Ratio

TLTD:

0.79

SVOL:

0.75

Martin Ratio

TLTD:

2.13

SVOL:

4.58

Ulcer Index

TLTD:

3.10%

SVOL:

1.78%

Daily Std Dev

TLTD:

12.74%

SVOL:

13.21%

Max Drawdown

TLTD:

-40.62%

SVOL:

-15.62%

Current Drawdown

TLTD:

-8.32%

SVOL:

-3.79%

Returns By Period

In the year-to-date period, TLTD achieves a 3.78% return, which is significantly lower than SVOL's 6.93% return.


TLTD

YTD

3.78%

1M

-1.41%

6M

0.15%

1Y

4.60%

5Y*

4.42%

10Y*

4.81%

SVOL

YTD

6.93%

1M

-1.91%

6M

0.43%

1Y

7.67%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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TLTD vs. SVOL - Expense Ratio Comparison

TLTD has a 0.39% 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 TLTD: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Risk-Adjusted Performance

TLTD vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) 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.


Sharpe ratio
The chart of Sharpe ratio for TLTD, currently valued at 0.52, compared to the broader market0.002.004.000.520.62
The chart of Sortino ratio for TLTD, currently valued at 0.78, compared to the broader market-2.000.002.004.006.008.0010.000.780.88
The chart of Omega ratio for TLTD, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.16
The chart of Calmar ratio for TLTD, currently valued at 0.79, compared to the broader market0.005.0010.0015.000.790.75
The chart of Martin ratio for TLTD, currently valued at 2.13, compared to the broader market0.0020.0040.0060.0080.00100.002.134.58
TLTD
SVOL

The current TLTD Sharpe Ratio is 0.52, which is comparable to the SVOL Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of TLTD and SVOL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.52
0.62
TLTD
SVOL

Dividends

TLTD vs. SVOL - Dividend Comparison

TLTD's dividend yield for the trailing twelve months is around 3.91%, less than SVOL's 16.78% yield.


TTM20232022202120202019201820172016201520142013
TLTD
FlexShares Morningstar Developed Markets ex-US Factor Tilt
3.91%3.39%2.76%3.44%2.04%3.46%3.16%2.71%2.93%2.56%3.14%1.14%
SVOL
Simplify Volatility Premium ETF
16.78%16.37%18.32%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

TLTD vs. SVOL - Drawdown Comparison

The maximum TLTD drawdown since its inception was -40.62%, which is greater than SVOL's maximum drawdown of -15.62%. Use the drawdown chart below to compare losses from any high point for TLTD and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.32%
-3.79%
TLTD
SVOL

Volatility

TLTD vs. SVOL - Volatility Comparison

The current volatility for FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) is 3.48%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 5.83%. This indicates that TLTD 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%JulyAugustSeptemberOctoberNovemberDecember
3.48%
5.83%
TLTD
SVOL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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