TLTD vs. SVOL
Compare and contrast key facts about FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and Simplify Volatility Premium ETF (SVOL).
TLTD and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TLTD is a passively managed fund by Northern Trust that tracks the performance of the Morningstar Developed Markets ex-US Factor Tilt Index. It was launched on Sep 28, 2012. 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: TLTD or SVOL.
Key characteristics
| TLTD | SVOL | |
|---|---|---|
| YTD Return | 5.33% | 9.71% |
| 1Y Return | 16.63% | 13.02% |
| 3Y Return (Ann) | 1.60% | 8.83% |
| Sharpe Ratio | 1.30 | 1.11 |
| Sortino Ratio | 1.85 | 1.49 |
| Omega Ratio | 1.23 | 1.28 |
| Calmar Ratio | 1.50 | 1.21 |
| Martin Ratio | 7.20 | 7.91 |
| Ulcer Index | 2.34% | 1.67% |
| Daily Std Dev | 13.02% | 11.94% |
| Max Drawdown | -40.62% | -15.68% |
| Current Drawdown | -6.95% | -0.05% |
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.
Performance
TLTD vs. SVOL - Performance Comparison
In the year-to-date period, TLTD achieves a 5.33% 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.
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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.
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.
Dividends
TLTD vs. SVOL - Dividend Comparison
TLTD's dividend yield for the trailing twelve months is around 3.59%, less than SVOL's 16.29% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt | 3.59% | 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 | 16.29% | 16.37% | 18.31% | 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 -15.68%. Use the drawdown chart below to compare losses from any high point for TLTD and SVOL. For additional features, visit the drawdowns tool.
Volatility
TLTD vs. SVOL - Volatility Comparison
FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) has a higher volatility of 3.79% compared to Simplify Volatility Premium ETF (SVOL) at 3.40%. This indicates that TLTD'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.