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VFFSX vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VFFSXSVOL
YTD Return27.27%9.76%
1Y Return37.85%13.27%
3Y Return (Ann)10.35%8.86%
Sharpe Ratio3.241.15
Sortino Ratio4.291.54
Omega Ratio1.611.28
Calmar Ratio4.741.25
Martin Ratio21.468.18
Ulcer Index1.87%1.67%
Daily Std Dev12.30%11.96%
Max Drawdown-52.30%-15.68%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between VFFSX and SVOL is 0.68, 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

VFFSX vs. SVOL - Performance Comparison

In the year-to-date period, VFFSX achieves a 27.27% return, which is significantly higher 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.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.70%
4.51%
VFFSX
SVOL

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VFFSX vs. SVOL - Expense Ratio Comparison

VFFSX has a 0.01% 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 VFFSX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Risk-Adjusted Performance

VFFSX vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard 500 Index Fund Institutional Select Shares (VFFSX) 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.


VFFSX
Sharpe ratio
The chart of Sharpe ratio for VFFSX, currently valued at 3.24, compared to the broader market0.002.004.003.24
Sortino ratio
The chart of Sortino ratio for VFFSX, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Omega ratio
The chart of Omega ratio for VFFSX, currently valued at 1.61, compared to the broader market1.002.003.004.001.61
Calmar ratio
The chart of Calmar ratio for VFFSX, currently valued at 4.74, compared to the broader market0.005.0010.0015.0020.0025.004.74
Martin ratio
The chart of Martin ratio for VFFSX, currently valued at 21.46, compared to the broader market0.0020.0040.0060.0080.00100.0021.46
SVOL
Sharpe ratio
The chart of Sharpe ratio for SVOL, currently valued at 1.15, compared to the broader market0.002.004.001.15
Sortino ratio
The chart of Sortino ratio for SVOL, currently valued at 1.54, compared to the broader market0.005.0010.001.54
Omega ratio
The chart of Omega ratio for SVOL, currently valued at 1.28, compared to the broader market1.002.003.004.001.28
Calmar ratio
The chart of Calmar ratio for SVOL, currently valued at 1.25, compared to the broader market0.005.0010.0015.0020.0025.001.25
Martin ratio
The chart of Martin ratio for SVOL, currently valued at 8.18, compared to the broader market0.0020.0040.0060.0080.00100.008.18

VFFSX vs. SVOL - Sharpe Ratio Comparison

The current VFFSX Sharpe Ratio is 3.24, which is higher than the SVOL Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of VFFSX 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.24
1.15
VFFSX
SVOL

Dividends

VFFSX vs. SVOL - Dividend Comparison

VFFSX's dividend yield for the trailing twelve months is around 1.23%, less than SVOL's 16.28% yield.


TTM20232022202120202019201820172016
VFFSX
Vanguard 500 Index Fund Institutional Select Shares
1.23%1.46%1.70%1.26%1.56%1.90%2.09%1.81%1.08%
SVOL
Simplify Volatility Premium ETF
16.28%16.37%18.31%4.65%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VFFSX vs. SVOL - Drawdown Comparison

The maximum VFFSX drawdown since its inception was -52.30%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for VFFSX and SVOL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VFFSX
SVOL

Volatility

VFFSX vs. SVOL - Volatility Comparison

Vanguard 500 Index Fund Institutional Select Shares (VFFSX) has a higher volatility of 3.88% compared to Simplify Volatility Premium ETF (SVOL) at 3.42%. This indicates that VFFSX'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
3.88%
3.42%
VFFSX
SVOL