Snapshot*
Top 10 Holdings
What is SVOL?
The Fund is an actively managed exchange-traded fund ( ETF ) that seeks daily investment results, before fees and expenses, that correspond to approximately one-fifth to three-tenths the inverse (-0.2x to -0.3x) of the performance of the S&P 500 VIX short-term futures index (the Index ) for a single day, not for any other period. In pursuing its investment objective, the Fund primarily purchases or sells futures contracts, call options, and put options on VIX futures. The Fund will hold cash, cash-like instruments or high-quality short term fixed income securities (collectively, Collateral ). The Collateral may consist of (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; (3) fixed income ETFs; and/or (4) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by companies that are rated investment grade or of comparable quality. The Fund also applies an option overlay strategy in seeking to mitigate against extreme volatility.
SVOLPerformance Measures**
for the time period May 13, 2021 to Jul 23, 2026
1M Trailing Return: 2.1%
The percent change in the value over the most recent 1-month period.
3M Trailing Return: 5.9%
The percent change in the value over the most recent 3-month period.
Max Drawdown: -33.5%
The greatest percent loss from peak to trough in value over the time period.
Standard Deviation: 21.8%
The typical amount that daily returns vary from the mean of the returns over the time period, standardized to a period of a year.
Sharpe Ratio: 0.46
The annualized arithmetic mean of the daily returns divided by the annualized standard deviation of the daily returns for the selected time period.
Calmar Ratio: 0.24
The annualized return divided by the max drawdown for the selected time period.
ETFs related toSVOL
ETFs correlated to SVOL include SVXY, SVIX, AUGW
What is ETF correlation?
Correlation is a measure of the strength of the relationship between two ETFs. It quantifies the degree to which prices of the two ETFs typically move together.
Here, correlation is measured over the past year with the Pearson correlation coefficient (Pearon’s r), which ranges from -1 to 1.
Using ETF correlations in portfolio and strategy construction
ETF correlations can help you create investing strategies and portfolios. Use them to:
- •Build a diversified portfolio from uncorrelated or inversely correlated ETFs with the aim of minimizing portfolio risk.
- •Compare correlated or related ETFs to find one with a lower expense ratio or higher trading volume.
- •Create an investing strategy that hedges an ETF with an uncorrelated or inversely correlated ETF.
Trading Strategies
Related toSVOL
-bk-I 8/13 200d LETF MA Risk On/Off | 09/13/23 mod
Category
Trend-following, Tactical rotation, Leveraged ETFs, Risk-on/off, Sector sleeves, Hedged/short-capable, Multi-asset
OOS Cumulative Return
266.37%
TG 8 - 40-62.5% SVOL
Category
Tactical allocation, mean reversion, volatility hedging, trend filters, leveraged ETFs, risk-managed
OOS Cumulative Return
249.61%
Create your own algorithmic trading strategy with SVOL using Composer
FAQ
Disclaimers
We show information directly obtained from our data provider, Xignite. Data shown here is provided by Xignite, an unaffiliated third party. Composer believes the information shown here is reliable, but has not been verified and there is no guarantee that the information is accurate.
We show information based on calculations performed by Composer using data from our provider. Information provided here is based on calculations performed by Composer using data sourced from Xignite, an unaffiliated third party. Composer believes this information is reliable, but has not verified the data and there is no guarantee that the calculations are accurate.