UVIX vs. SVOL
Compare and contrast key facts about Volatility Shares 2x Long VIX Futures ETF (UVIX) and Simplify Volatility Premium ETF (SVOL).
UVIX and SVOL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. UVIX is a passively managed fund by Volatility Shares that tracks the performance of the Long VIX Futures Index – Benchmark TR Gross (200%). It was launched on Mar 28, 2022. 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: UVIX or SVOL.
Key characteristics
| UVIX | SVOL | |
|---|---|---|
| YTD Return | -73.85% | 9.76% |
| 1Y Return | -84.65% | 13.27% |
| Sharpe Ratio | -0.57 | 1.15 |
| Sortino Ratio | -1.11 | 1.54 |
| Omega Ratio | 0.87 | 1.28 |
| Calmar Ratio | -0.86 | 1.25 |
| Martin Ratio | -1.34 | 8.18 |
| Ulcer Index | 64.27% | 1.67% |
| Daily Std Dev | 151.62% | 11.96% |
| Max Drawdown | -99.73% | -15.68% |
| Current Drawdown | -99.73% | 0.00% |
Correlation
The correlation between UVIX and SVOL is -0.85. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
UVIX vs. SVOL - Performance Comparison
In the year-to-date period, UVIX achieves a -73.85% return, which is significantly lower than SVOL's 9.76% 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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UVIX vs. SVOL - Expense Ratio Comparison
UVIX has a 2.78% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
UVIX vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Volatility Shares 2x Long VIX Futures ETF (UVIX) 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
UVIX vs. SVOL - Dividend Comparison
UVIX has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 16.28%.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
UVIX Volatility Shares 2x Long VIX Futures ETF | 0.00% | 0.00% | 0.00% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.28% | 16.37% | 18.31% | 4.65% |
Drawdowns
UVIX vs. SVOL - Drawdown Comparison
The maximum UVIX drawdown since its inception was -99.73%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for UVIX and SVOL. For additional features, visit the drawdowns tool.
Volatility
UVIX vs. SVOL - Volatility Comparison
Volatility Shares 2x Long VIX Futures ETF (UVIX) has a higher volatility of 37.04% compared to Simplify Volatility Premium ETF (SVOL) at 3.42%. This indicates that UVIX'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.