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 -12.71%/yr vs 6.70%/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 1.50% return, which is significantly higher than SVOL's -0.40% return.
VXZ
- 1D
- 0.09%
- 1M
- -2.11%
- YTD
- 1.50%
- 6M
- -2.57%
- 1Y
- -7.63%
- 3Y*
- -12.46%
- 5Y*
- -12.71%
- 10Y*
- —
SVOL
- 1D
- -0.12%
- 1M
- 2.98%
- YTD
- -0.40%
- 6M
- 1.29%
- 1Y
- 10.62%
- 3Y*
- 6.58%
- 5Y*
- 6.70%
- 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 | 1.50% | 5.73% | -12.65% | -43.98% | 0.47% | -12.48% |
SVOL Simplify Volatility Premium ETF | -0.40% | 2.41% | 6.77% | 22.88% | -3.30% | 12.25% |
Correlation
The correlation between VXZ and SVOL is -0.65, 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 | -0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.76 |
Correlation (All Time) Calculated using the full available price history since May 14, 2021 | -0.77 |
The correlation between VXZ and SVOL shifts across timeframes, from -0.77 (all time) to -0.65 (1 year), reflecting how their relationship changes across market environments.
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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.
| VXZ | SVOL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.91 | ||
| Sortino ratioReturn per unit of downside risk | -1.29 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.12 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | -0.52 | 0.82 | -1.34 |
| Martin ratioReturn relative to average drawdown | -0.90 | 1.94 | -2.83 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| VXZ | SVOL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.40 | 0.51 | -0.91 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.44 | 0.31 | -0.74 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.08 | 0.35 | -0.43 |
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 | -14.67% | -13.01% | -1.66% |
Max Drawdown (3Y)Largest decline over 3 years | -40.59% | -33.50% | -7.09% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -33.50% | -28.55% |
Current DrawdownCurrent decline from peak | -64.78% | -2.98% | -61.80% |
Average DrawdownAverage peak-to-trough decline | -36.78% | -4.77% | -32.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.54% | 5.49% | +3.05% |
Volatility
VXZ vs. SVOL - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 3.69% compared to Simplify Volatility Premium ETF (SVOL) at 1.41%. This indicates that VXZ'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.
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Volatility by Period
| VXZ | SVOL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.69% | 1.41% | +2.28% |
Volatility (6M)Calculated over the trailing 6-month period | 13.51% | 9.57% | +3.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.11% | 20.90% | -1.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.16% | 21.99% | +7.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.11% | 21.92% | +12.19% |
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 -0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXZ has higher volatility (3.69%) compared to SVOL (1.41%). In terms of maximum drawdown, VXZ dropped -69.00% vs SVOL's -33.50%.
SVOL currently has the higher Sharpe Ratio (0.51 vs -0.40), 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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