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

Correlation

The correlation between TLTW and SVOL is 0.23, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

TLTW vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-2.56%
-0.19%
TLTW
SVOL

Key characteristics

Sharpe Ratio

TLTW:

-0.19

SVOL:

0.58

Sortino Ratio

TLTW:

-0.18

SVOL:

0.83

Omega Ratio

TLTW:

0.98

SVOL:

1.15

Calmar Ratio

TLTW:

-0.11

SVOL:

0.70

Martin Ratio

TLTW:

-0.49

SVOL:

4.25

Ulcer Index

TLTW:

4.09%

SVOL:

1.79%

Daily Std Dev

TLTW:

10.73%

SVOL:

13.23%

Max Drawdown

TLTW:

-18.59%

SVOL:

-15.62%

Current Drawdown

TLTW:

-13.22%

SVOL:

-3.88%

Returns By Period

In the year-to-date period, TLTW achieves a -2.27% return, which is significantly lower than SVOL's 6.83% return.


TLTW

YTD

-2.27%

1M

-1.86%

6M

-2.41%

1Y

-1.88%

5Y*

N/A

10Y*

N/A

SVOL

YTD

6.83%

1M

-2.32%

6M

0.12%

1Y

7.57%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


TLTW vs. SVOL - Expense Ratio Comparison

TLTW has a 0.35% 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 TLTW: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

TLTW vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) 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 TLTW, currently valued at -0.19, compared to the broader market0.002.004.00-0.190.58
The chart of Sortino ratio for TLTW, currently valued at -0.18, compared to the broader market-2.000.002.004.006.008.0010.00-0.180.83
The chart of Omega ratio for TLTW, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.981.15
The chart of Calmar ratio for TLTW, currently valued at -0.11, compared to the broader market0.005.0010.0015.00-0.110.70
The chart of Martin ratio for TLTW, currently valued at -0.49, compared to the broader market0.0020.0040.0060.0080.00100.00-0.494.25
TLTW
SVOL

The current TLTW Sharpe Ratio is -0.19, which is lower than the SVOL Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of TLTW 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.19
0.58
TLTW
SVOL

Dividends

TLTW vs. SVOL - Dividend Comparison

TLTW's dividend yield for the trailing twelve months is around 14.49%, less than SVOL's 16.80% yield.


TTM202320222021
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
14.49%19.59%8.71%0.00%
SVOL
Simplify Volatility Premium ETF
16.80%16.36%18.32%4.65%

Drawdowns

TLTW vs. SVOL - Drawdown Comparison

The maximum TLTW drawdown since its inception was -18.59%, which is greater than SVOL's maximum drawdown of -15.62%. Use the drawdown chart below to compare losses from any high point for TLTW and SVOL. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.22%
-3.88%
TLTW
SVOL

Volatility

TLTW vs. SVOL - Volatility Comparison

The current volatility for iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) is 2.94%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 5.82%. This indicates that TLTW 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
2.94%
5.82%
TLTW
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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