YCGEX vs. SVPFX
YCGEX (YCG Enhanced Fund) and SVPFX (Goldman Sachs Strategic Volatility Premium Fund) are both Large Cap Blend Equities funds. Over the past 5 years, YCGEX returned 3.21%/yr vs 2.14%/yr for SVPFX. At a 0.14 correlation, their price movements are largely independent. YCGEX charges 1.19%/yr vs 0.38%/yr for SVPFX.
Performance
YCGEX vs. SVPFX - Performance Comparison
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Returns By Period
In the year-to-date period, YCGEX achieves a -11.09% return, which is significantly lower than SVPFX's 1.59% return.
YCGEX
- 1D
- -1.69%
- 1M
- -3.67%
- YTD
- -11.09%
- 6M
- -11.52%
- 1Y
- -10.39%
- 3Y*
- 4.11%
- 5Y*
- 3.21%
- 10Y*
- 10.84%
SVPFX
- 1D
- -0.10%
- 1M
- 0.51%
- YTD
- 1.59%
- 6M
- 1.80%
- 1Y
- 4.43%
- 3Y*
- 4.55%
- 5Y*
- 2.14%
- 10Y*
- —
YCGEX vs. SVPFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
YCGEX YCG Enhanced Fund | -11.09% | 4.14% | 11.99% | 30.15% | -22.38% | 20.03% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 1.59% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
Correlation
The correlation between YCGEX and SVPFX is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Apr 7, 2021 | 0.14 |
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Return for Risk
YCGEX vs. SVPFX — Risk / Return Rank
YCGEX
SVPFX
YCGEX vs. SVPFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for YCG Enhanced Fund (YCGEX) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX). 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.
| YCGEX | SVPFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.84 | ||
| Sortino ratioReturn per unit of downside risk | -3.88 | ||
| Omega ratioGain probability vs. loss probability | 0.89 | 1.47 | -0.58 |
| Calmar ratioReturn relative to maximum drawdown | -0.62 | 3.74 | -4.36 |
| Martin ratioReturn relative to average drawdown | -1.47 | 12.55 | -14.01 |
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Drawdowns
YCGEX vs. SVPFX - Drawdown Comparison
The maximum YCGEX drawdown since its inception was -35.90%, which is greater than SVPFX's maximum drawdown of -6.37%. Use the drawdown chart below to compare losses from any high point for YCGEX and SVPFX.
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Drawdown Indicators
| YCGEX | SVPFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.90% | -6.37% | -29.53% |
Max Drawdown (1Y)Largest decline over 1 year | -15.35% | -1.33% | -14.02% |
Max Drawdown (3Y)Largest decline over 3 years | -15.96% | -5.32% | -10.64% |
Max Drawdown (5Y)Largest decline over 5 years | -30.75% | -6.37% | -24.38% |
Max Drawdown (10Y)Largest decline over 10 years | -35.90% | — | — |
Current DrawdownCurrent decline from peak | -13.39% | -0.20% | -13.19% |
Average DrawdownAverage peak-to-trough decline | -4.54% | -1.91% | -2.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.47% | 0.39% | +6.08% |
Volatility
YCGEX vs. SVPFX - Volatility Comparison
YCG Enhanced Fund (YCGEX) has a higher volatility of 4.37% compared to Goldman Sachs Strategic Volatility Premium Fund (SVPFX) at 1.01%. This indicates that YCGEX's price experiences larger fluctuations and is considered to be riskier than SVPFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| YCGEX | SVPFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.37% | 1.01% | +3.36% |
Volatility (6M)Calculated over the trailing 6-month period | 10.05% | 1.71% | +8.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.56% | 2.40% | +10.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.22% | 5.61% | +11.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.99% | 5.50% | +12.49% |
YCGEX vs. SVPFX - Expense Ratio Comparison
YCGEX has a 1.19% expense ratio, which is higher than SVPFX's 0.38% expense ratio.
Dividends
YCGEX vs. SVPFX - Dividend Comparison
YCGEX's dividend yield for the trailing twelve months is around 5.53%, more than SVPFX's 2.47% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.47% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
YCGEX YCG Enhanced Fund | 5.53% | 4.92% | 4.31% | 1.96% | 0.00% | 9.49% | 0.00% | 0.56% | 3.53% | 3.66% | 3.38% | 2.13% |
Frequently Asked Questions
YCGEX and SVPFX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
YCGEX has higher volatility (4.37%) compared to SVPFX (1.01%). In terms of maximum drawdown, YCGEX dropped -35.90% vs SVPFX's -6.37%.
SVPFX currently has the higher Sharpe Ratio (2.08 vs -0.76), 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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