PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SVIX vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SVIXJEPI
YTD Return-24.54%16.00%
1Y Return-6.10%20.33%
Sharpe Ratio-0.033.04
Sortino Ratio0.454.23
Omega Ratio1.081.62
Calmar Ratio-0.035.53
Martin Ratio-0.0721.64
Ulcer Index25.85%0.99%
Daily Std Dev70.67%7.01%
Max Drawdown-62.55%-13.71%
Current Drawdown-43.88%0.00%

Correlation

-0.50.00.51.00.7

The correlation between SVIX and JEPI is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SVIX vs. JEPI - Performance Comparison

In the year-to-date period, SVIX achieves a -24.54% return, which is significantly lower than JEPI's 16.00% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-34.63%
9.28%
SVIX
JEPI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SVIX vs. JEPI - Expense Ratio Comparison

SVIX has a 1.47% expense ratio, which is higher than JEPI's 0.35% expense ratio.


SVIX
Volatility Shares -1x Short VIX Futures ETF
Expense ratio chart for SVIX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

SVIX vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Shares -1x Short VIX Futures ETF (SVIX) and JPMorgan Equity Premium Income ETF (JEPI). 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.


SVIX
Sharpe ratio
The chart of Sharpe ratio for SVIX, currently valued at -0.03, compared to the broader market-2.000.002.004.006.00-0.03
Sortino ratio
The chart of Sortino ratio for SVIX, currently valued at 0.45, compared to the broader market0.005.0010.000.45
Omega ratio
The chart of Omega ratio for SVIX, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for SVIX, currently valued at -0.03, compared to the broader market0.005.0010.0015.00-0.03
Martin ratio
The chart of Martin ratio for SVIX, currently valued at -0.07, compared to the broader market0.0020.0040.0060.0080.00100.00-0.07
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.23, compared to the broader market0.005.0010.004.23
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.62, compared to the broader market1.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 5.53, compared to the broader market0.005.0010.0015.005.53
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 21.64, compared to the broader market0.0020.0040.0060.0080.00100.0021.64

SVIX vs. JEPI - Sharpe Ratio Comparison

The current SVIX Sharpe Ratio is -0.03, which is lower than the JEPI Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of SVIX and JEPI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.03
3.04
SVIX
JEPI

Dividends

SVIX vs. JEPI - Dividend Comparison

SVIX has not paid dividends to shareholders, while JEPI's dividend yield for the trailing twelve months is around 7.05%.


TTM2023202220212020
SVIX
Volatility Shares -1x Short VIX Futures ETF
0.00%0.00%0.00%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.05%8.40%11.67%6.59%5.79%

Drawdowns

SVIX vs. JEPI - Drawdown Comparison

The maximum SVIX drawdown since its inception was -62.55%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SVIX and JEPI. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-43.88%
0
SVIX
JEPI

Volatility

SVIX vs. JEPI - Volatility Comparison

Volatility Shares -1x Short VIX Futures ETF (SVIX) has a higher volatility of 17.68% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.99%. This indicates that SVIX's price experiences larger fluctuations and is considered to be riskier than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
17.68%
1.99%
SVIX
JEPI