IVOL vs. SH
Compare and contrast key facts about Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and ProShares Short S&P500 (SH).
IVOL and SH are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IVOL is an actively managed fund by CICC. It was launched on May 13, 2019. SH is a passively managed fund by ProShares that tracks the performance of the S&P 500 (-100%). It was launched on Jun 19, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IVOL or SH.
Key characteristics
| IVOL | SH | |
|---|---|---|
| YTD Return | -10.16% | -15.65% |
| 1Y Return | -10.44% | -19.74% |
| 3Y Return (Ann) | -9.98% | -6.12% |
| 5Y Return (Ann) | -3.11% | -14.27% |
| Sharpe Ratio | -0.90 | -1.76 |
| Sortino Ratio | -1.19 | -2.57 |
| Omega Ratio | 0.86 | 0.72 |
| Calmar Ratio | -0.30 | -0.23 |
| Martin Ratio | -1.20 | -1.76 |
| Ulcer Index | 7.27% | 12.10% |
| Daily Std Dev | 9.69% | 12.11% |
| Max Drawdown | -29.47% | -93.65% |
| Current Drawdown | -29.04% | -93.63% |
Correlation
The correlation between IVOL and SH is -0.08. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
IVOL vs. SH - Performance Comparison
In the year-to-date period, IVOL achieves a -10.16% return, which is significantly higher than SH's -15.65% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IVOL vs. SH - Expense Ratio Comparison
IVOL has a 0.99% expense ratio, which is higher than SH's 0.90% expense ratio.
Risk-Adjusted Performance
IVOL vs. SH - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and ProShares Short S&P500 (SH). 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.
Dividends
IVOL vs. SH - Dividend Comparison
IVOL's dividend yield for the trailing twelve months is around 3.86%, less than SH's 6.81% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF | 3.86% | 3.73% | 3.91% | 3.93% | 3.44% | 2.02% | 0.00% | 0.00% |
SH ProShares Short S&P500 | 6.81% | 5.37% | 0.32% | 0.00% | 0.16% | 1.49% | 1.01% | 0.06% |
Drawdowns
IVOL vs. SH - Drawdown Comparison
The maximum IVOL drawdown since its inception was -29.47%, smaller than the maximum SH drawdown of -93.65%. Use the drawdown chart below to compare losses from any high point for IVOL and SH. For additional features, visit the drawdowns tool.
Volatility
IVOL vs. SH - Volatility Comparison
The current volatility for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) is 2.33%, while ProShares Short S&P500 (SH) has a volatility of 3.77%. This indicates that IVOL experiences smaller price fluctuations and is considered to be less risky than SH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.