PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
USSG vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

USSG vs. SVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) 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%10.00%JuneJulyAugustSeptemberOctoberNovember
11.75%
2.39%
USSG
SVOL

Returns By Period

In the year-to-date period, USSG achieves a 25.43% return, which is significantly higher than SVOL's 8.76% return.


USSG

YTD

25.43%

1M

1.66%

6M

11.75%

1Y

32.07%

5Y (annualized)

16.04%

10Y (annualized)

N/A

SVOL

YTD

8.76%

1M

1.37%

6M

2.39%

1Y

10.87%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


USSGSVOL
Sharpe Ratio2.410.92
Sortino Ratio3.251.26
Omega Ratio1.451.23
Calmar Ratio3.381.01
Martin Ratio14.336.57
Ulcer Index2.23%1.68%
Daily Std Dev13.27%12.01%
Max Drawdown-34.10%-15.68%
Current Drawdown-1.82%-1.00%

Compare stocks, funds, or ETFs

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


USSG vs. SVOL - Expense Ratio Comparison

USSG has a 0.10% 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 USSG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.7

The correlation between USSG and SVOL is 0.66, 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.

Risk-Adjusted Performance

USSG vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) 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 USSG, currently valued at 2.41, compared to the broader market0.002.004.006.002.410.92
The chart of Sortino ratio for USSG, currently valued at 3.25, compared to the broader market-2.000.002.004.006.008.0010.0012.003.251.26
The chart of Omega ratio for USSG, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.23
The chart of Calmar ratio for USSG, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.381.01
The chart of Martin ratio for USSG, currently valued at 14.33, compared to the broader market0.0020.0040.0060.0080.00100.0014.336.57
USSG
SVOL

The current USSG Sharpe Ratio is 2.41, which is higher than the SVOL Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of USSG 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.41
0.92
USSG
SVOL

Dividends

USSG vs. SVOL - Dividend Comparison

USSG's dividend yield for the trailing twelve months is around 1.19%, less than SVOL's 16.43% yield.


TTM20232022202120202019
USSG
Xtrackers MSCI USA ESG Leaders Equity ETF
1.19%1.60%1.52%1.14%1.42%1.21%
SVOL
Simplify Volatility Premium ETF
16.43%16.37%18.31%4.65%0.00%0.00%

Drawdowns

USSG vs. SVOL - Drawdown Comparison

The maximum USSG drawdown since its inception was -34.10%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for USSG and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.82%
-1.00%
USSG
SVOL

Volatility

USSG vs. SVOL - Volatility Comparison

Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) has a higher volatility of 4.39% compared to Simplify Volatility Premium ETF (SVOL) at 3.52%. This indicates that USSG'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.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.39%
3.52%
USSG
SVOL