Implied Volatility

The chart shows the growth of an initial investment of $10,000 in Implied Volatility, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is never rebalanced.

Based on dividend-adjusted daily data since Jan 12, 2024, Implied Volatility's average daily return is +0.26%, while the average monthly return is +5.60%. At this rate, your investment would double in approximately 1.1 years.

Historically, 46% of months were positive and 54% were negative. The best month was Feb 2024 with a return of +81.1%, while the worst month was Apr 2024 at -32.6%. The longest winning streak lasted 3 consecutive months, and the longest losing streak was 8 months.

On a daily basis, Implied Volatility closed higher 49% of trading days. The best single day was Nov 11, 2024 with a return of +23.5%, while the worst single day was Mar 5, 2024 at -17.7%.

Implied Volatility has an annualized alpha of 33.04%, beta of 2.29, and R² of 0.19 versus S&P 500 Index. Calculated based on daily prices since January 12, 2024.

• This portfolio captured 291.61% of S&P 500 Index gains and 202.11% of its losses — amplifying both gains and losses, but participating more in upside than downside.
• R² of 0.19 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Implied Volatility has an expense ratio of 0.10%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Implied Volatility ranks 1 for risk / return — in the bottom 1% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Implied Volatility Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

• 1-Year: -0.76
• All Time: 0.46

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.99 to 1.69, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Implied Volatility compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the Implied Volatility. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Implied Volatility was 71.58%, occurring on Feb 5, 2026. The portfolio has not yet recovered.

The current Implied Volatility drawdown is 68.77%.

The chart below shows the rolling one-month volatility.