TLTE vs. SVOL
Compare and contrast key facts about FlexShares Morningstar Emerging Markets Factor Tilt Index (TLTE) and Simplify Volatility Premium ETF (SVOL).
TLTE and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TLTE is a passively managed fund by Northern Trust that tracks the performance of the Morningstar Emerging Markets 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: TLTE or SVOL.
Key characteristics
| TLTE | SVOL | |
|---|---|---|
| YTD Return | 5.24% | 9.86% |
| 1Y Return | 11.53% | 13.08% |
| 3Y Return (Ann) | -1.33% | 8.87% |
| Sharpe Ratio | 1.00 | 1.10 |
| Sortino Ratio | 1.45 | 1.49 |
| Omega Ratio | 1.18 | 1.28 |
| Calmar Ratio | 0.75 | 1.21 |
| Martin Ratio | 5.10 | 7.88 |
| Ulcer Index | 2.79% | 1.67% |
| Daily Std Dev | 14.29% | 11.94% |
| Max Drawdown | -44.21% | -15.68% |
| Current Drawdown | -9.57% | 0.00% |
Correlation
The correlation between TLTE and SVOL is 0.52, 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
TLTE vs. SVOL - Performance Comparison
In the year-to-date period, TLTE achieves a 5.24% return, which is significantly lower than SVOL's 9.86% 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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TLTE vs. SVOL - Expense Ratio Comparison
TLTE has a 0.59% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
TLTE vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FlexShares Morningstar Emerging Markets Factor Tilt Index (TLTE) 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
TLTE vs. SVOL - Dividend Comparison
TLTE's dividend yield for the trailing twelve months is around 2.77%, less than SVOL's 16.27% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TLTE FlexShares Morningstar Emerging Markets Factor Tilt Index | 2.77% | 4.03% | 4.42% | 3.21% | 1.95% | 3.22% | 3.02% | 2.12% | 2.30% | 2.00% | 2.06% | 0.83% |
SVOL Simplify Volatility Premium ETF | 16.27% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
TLTE vs. SVOL - Drawdown Comparison
The maximum TLTE drawdown since its inception was -44.21%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for TLTE and SVOL. For additional features, visit the drawdowns tool.
Volatility
TLTE vs. SVOL - Volatility Comparison
FlexShares Morningstar Emerging Markets Factor Tilt Index (TLTE) has a higher volatility of 4.65% compared to Simplify Volatility Premium ETF (SVOL) at 3.37%. This indicates that TLTE'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.