TYA vs. SVOL
Compare and contrast key facts about Simplify Intermediate Term Treasury Futures Strategy ETF (TYA) and Simplify Volatility Premium ETF (SVOL).
TYA and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TYA is an actively managed fund by Simplify. It was launched on Sep 27, 2021. 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: TYA or SVOL.
Key characteristics
| TYA | SVOL | |
|---|---|---|
| YTD Return | -8.15% | 9.71% |
| 1Y Return | 5.37% | 13.02% |
| 3Y Return (Ann) | -17.22% | 8.83% |
| Sharpe Ratio | 0.29 | 1.11 |
| Sortino Ratio | 0.54 | 1.49 |
| Omega Ratio | 1.06 | 1.28 |
| Calmar Ratio | 0.11 | 1.21 |
| Martin Ratio | 0.73 | 7.91 |
| Ulcer Index | 7.22% | 1.67% |
| Daily Std Dev | 18.12% | 11.94% |
| Max Drawdown | -51.15% | -15.68% |
| Current Drawdown | -45.23% | -0.05% |
Correlation
The correlation between TYA and SVOL is 0.11, 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.
Performance
TYA vs. SVOL - Performance Comparison
In the year-to-date period, TYA achieves a -8.15% 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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TYA vs. SVOL - Expense Ratio Comparison
TYA has a 0.17% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
TYA vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Intermediate Term Treasury Futures Strategy ETF (TYA) 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
TYA vs. SVOL - Dividend Comparison
TYA's dividend yield for the trailing twelve months is around 4.99%, less than SVOL's 16.29% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
TYA Simplify Intermediate Term Treasury Futures Strategy ETF | 4.99% | 4.29% | 2.24% | 0.11% |
SVOL Simplify Volatility Premium ETF | 16.29% | 16.37% | 18.31% | 4.65% |
Drawdowns
TYA vs. SVOL - Drawdown Comparison
The maximum TYA drawdown since its inception was -51.15%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for TYA and SVOL. For additional features, visit the drawdowns tool.
Volatility
TYA vs. SVOL - Volatility Comparison
Simplify Intermediate Term Treasury Futures Strategy ETF (TYA) has a higher volatility of 5.27% compared to Simplify Volatility Premium ETF (SVOL) at 3.40%. This indicates that TYA'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.