TWO vs. SVOL
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 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: TWO or SVOL.
Key characteristics
| TWO | SVOL | |
|---|---|---|
| YTD Return | -2.32% | 9.56% |
| 1Y Return | 5.81% | 13.47% |
| 3Y Return (Ann) | -10.34% | 9.00% |
| Sharpe Ratio | 0.16 | 1.06 |
| Sortino Ratio | 0.36 | 1.44 |
| Omega Ratio | 1.05 | 1.26 |
| Calmar Ratio | 0.05 | 1.17 |
| Martin Ratio | 0.62 | 7.61 |
| Ulcer Index | 5.99% | 1.67% |
| Daily Std Dev | 22.76% | 11.96% |
| Max Drawdown | -84.71% | -15.68% |
| Current Drawdown | -66.13% | -0.18% |
Correlation
The correlation between TWO and SVOL is 0.49, 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
TWO vs. SVOL - Performance Comparison
In the year-to-date period, TWO achieves a -2.32% return, which is significantly lower than SVOL's 9.56% 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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Risk-Adjusted Performance
TWO vs. SVOL - Risk-Adjusted Performance 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.
Dividends
TWO vs. SVOL - Dividend Comparison
TWO's dividend yield for the trailing twelve months is around 15.15%, less than SVOL's 16.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TWO Two Harbors Investment Corp. | 15.15% | 15.08% | 12.94% | 11.79% | 7.85% | 11.42% | 14.64% | 10.65% | 10.67% | 12.84% | 10.38% | 12.61% |
SVOL Simplify Volatility Premium ETF | 16.31% | 16.37% | 18.31% | 4.65% | 0.00% | 0.00% | 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 -15.68%. Use the drawdown chart below to compare losses from any high point for TWO and SVOL. For additional features, visit the drawdowns tool.
Volatility
TWO vs. SVOL - Volatility Comparison
Two Harbors Investment Corp. (TWO) has a higher volatility of 8.54% compared to Simplify Volatility Premium ETF (SVOL) at 3.43%. 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.