TWO vs. SVOL

Last updated Apr 2, 2026

Compare and contrast key facts about Two Harbors Investment Corp. (TWO) and Simplify Volatility Premium ETF (SVOL).

SVOL is an actively managed fund by Simplify. It was launched on May 12, 2021.

Performance

TWO vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Two Harbors Investment Corp. (TWO) and Simplify Volatility Premium ETF (SVOL). The values are adjusted to include any dividend payments, if applicable.

TWO vs. SVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
TWO Two Harbors Investment Corp.	11.29%	2.52%	-2.73%	2.31%	-23.25%	-11.31%
SVOL Simplify Volatility Premium ETF	-7.62%	2.41%	6.77%	22.88%	-3.30%	12.25%

Returns By Period

In the year-to-date period, TWO achieves a 11.29% return, which is significantly higher than SVOL's -7.62% return.

TWO

• 1D: -0.96%
• 1M: 10.77%
• YTD: 11.29%
• 6M: 19.15%
• 1Y: -1.95%
• 3Y*: 5.44%
• 5Y*: -5.97%
• 10Y*: -2.99%

SVOL

• 1D: 0.33%
• 1M: -6.42%
• YTD: -7.62%
• 6M: -5.90%
• 1Y: 3.26%
• 3Y*: 6.17%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

TWO vs. SVOL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TWO

TWO Risk / Return Rank: 37
TWO Sharpe Ratio Rank: 38
TWO Sortino Ratio Rank: 35
TWO Omega Ratio Rank: 34
TWO Calmar Ratio Rank: 38
TWO Martin Ratio Rank: 38

SVOL

SVOL Risk / Return Rank: 16
SVOL Sharpe Ratio Rank: 13
SVOL Sortino Ratio Rank: 17
SVOL Omega Ratio Rank: 17
SVOL Calmar Ratio Rank: 15
SVOL Martin Ratio Rank: 16

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TWO vs. SVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Two Harbors Investment Corp. (TWO) 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.

	TWO	SVOL	Difference
Sharpe ratio Return per unit of total volatility	-0.05	0.08	-0.13
Sortino ratio Return per unit of downside risk	0.25	0.43	-0.18
Omega ratio Gain probability vs. loss probability	1.03	1.06	-0.03
Calmar ratio Return relative to maximum drawdown	-0.08	0.16	-0.24
Martin ratio Return relative to average drawdown	-0.16	0.53	-0.69
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TWO vs. SVOL - Sharpe Ratio Comparison

The current TWO Sharpe Ratio is -0.05, which is lower than the SVOL Sharpe Ratio of 0.08. The chart below compares the historical Sharpe Ratios of TWO 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.

Sharpe Ratios by Period

	TWO	SVOL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.05	0.08	-0.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.18	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.06	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.06	0.28	-0.23

Correlation

The correlation between TWO and SVOL is 0.46, 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.

Dividends

TWO vs. SVOL - Dividend Comparison

TWO's dividend yield for the trailing twelve months is around 13.44%, less than SVOL's 23.07% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
TWO Two Harbors Investment Corp.	13.44%	15.52%	15.22%	15.08%	12.94%	11.79%	7.85%	11.42%	14.64%	23.31%	10.67%	12.84%
SVOL Simplify Volatility Premium ETF	23.07%	19.82%	16.79%	16.36%	18.32%	4.65%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

TWO vs. SVOL - Drawdown Comparison

The maximum TWO drawdown since its inception was -84.71%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for TWO and SVOL.

Drawdown Indicators

	TWO	SVOL	Difference
Max Drawdown Largest peak-to-trough decline	-84.71%	-33.50%	-51.21%
Max Drawdown (1Y) Largest decline over 1 year	-36.81%	-24.73%	-12.08%
Max Drawdown (5Y) Largest decline over 5 years	-57.23%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-84.71%	—	—
Current Drawdown Current decline from peak	-61.51%	-10.01%	-51.50%
Average Drawdown Average peak-to-trough decline	-28.24%	-4.74%	-23.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	17.68%	7.49%	+10.19%

Volatility

TWO vs. SVOL - Volatility Comparison

Two Harbors Investment Corp. (TWO) has a higher volatility of 16.89% compared to Simplify Volatility Premium ETF (SVOL) at 4.20%. This indicates that TWO'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.

Volatility by Period

	TWO	SVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	16.89%	4.20%	+12.69%
Volatility (6M) Calculated over the trailing 6-month period	36.84%	13.82%	+23.02%
Volatility (1Y) Calculated over the trailing 1-year period	43.19%	38.84%	+4.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	33.58%	22.27%	+11.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	47.91%	22.27%	+25.64%