VXZ vs. SVOL
VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while SVOL (Simplify Volatility Premium ETF) is Volatility fund actively managed by Simplify. VXZ is passively managed, while SVOL is actively managed. Over the past 5 years, VXZ returned -12.28%/yr vs 6.24%/yr for SVOL. At a correlation of -0.77, they often move in opposite directions. VXZ charges 0.89%/yr vs 0.50%/yr for SVOL.
Performance
VXZ vs. SVOL - Performance Comparison
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Returns By Period
In the year-to-date period, VXZ achieves a -1.72% return, which is significantly lower than SVOL's -0.40% return.
VXZ
- 1D
- 0.12%
- 1M
- -4.99%
- YTD
- -1.72%
- 6M
- 0.35%
- 1Y
- -12.57%
- 3Y*
- -11.20%
- 5Y*
- -12.28%
- 10Y*
- —
SVOL
- 1D
- -1.35%
- 1M
- 0.75%
- YTD
- -0.40%
- 6M
- -0.86%
- 1Y
- 18.10%
- 3Y*
- 5.79%
- 5Y*
- 6.24%
- 10Y*
- —
VXZ vs. SVOL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | -1.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.35% |
SVOL Simplify Volatility Premium ETF | -0.40% | 2.41% | 6.77% | 22.88% | -3.30% | 12.70% |
Correlation
The correlation between VXZ and SVOL is -0.67, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.67 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.76 |
Correlation (All Time) Calculated using the full available price history since May 13, 2021 | -0.77 |
The correlation between VXZ and SVOL has been stable across timeframes, ranging from -0.77 to -0.67 - a consistent structural relationship.
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Return for Risk
VXZ vs. SVOL — Risk / Return Rank
VXZ
SVOL
VXZ vs. SVOL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| VXZ | SVOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.56 | ||
| Sortino ratioReturn per unit of downside risk | -2.20 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.19 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.83 | 1.40 | -2.23 |
| Martin ratioReturn relative to average drawdown | -1.54 | 3.33 | -4.87 |
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Drawdowns
VXZ vs. SVOL - Drawdown Comparison
The maximum VXZ drawdown since its inception was -69.00%, which is greater than SVOL's maximum drawdown of -33.50%. Use the drawdown chart below to compare losses from any high point for VXZ and SVOL.
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Drawdown Indicators
| VXZ | SVOL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.00% | -33.50% | -35.50% |
Max Drawdown (1Y)Largest decline over 1 year | -15.13% | -13.01% | -2.12% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -33.50% | -2.95% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -33.50% | -28.55% |
Current DrawdownCurrent decline from peak | -65.90% | -2.98% | -62.92% |
Average DrawdownAverage peak-to-trough decline | -36.93% | -4.75% | -32.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.36% | 5.44% | +2.92% |
Volatility
VXZ vs. SVOL - Volatility Comparison
The current volatility for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) is 4.05%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 4.40%. This indicates that VXZ experiences smaller price fluctuations and is considered to be less risky than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXZ | SVOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.40% | -0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 13.78% | 10.20% | +3.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.74% | 20.52% | -1.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.07% | 22.02% | +7.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.01% | 21.88% | +12.13% |
VXZ vs. SVOL - Expense Ratio Comparison
VXZ has a 0.89% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Dividends
VXZ vs. SVOL - Dividend Comparison
VXZ has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 22.10%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 22.10% | 19.82% | 16.79% | 16.36% | 18.32% | 4.65% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
VXZ and SVOL have a correlation of -0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SVOL has higher volatility (4.40%) compared to VXZ (4.05%). In terms of maximum drawdown, VXZ dropped -69.00% vs SVOL's -33.50%.
SVOL currently has the higher Sharpe Ratio (0.89 vs -0.67), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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