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SVIX vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SVIX vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Volatility Shares -1x Short VIX Futures ETF (SVIX) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-43.00%
7.81%
SVIX
JEPI

Returns By Period

In the year-to-date period, SVIX achieves a -30.27% return, which is significantly lower than JEPI's 14.85% return.


SVIX

YTD

-30.27%

1M

2.89%

6M

-43.00%

1Y

-20.49%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPI

YTD

14.85%

1M

0.36%

6M

7.81%

1Y

17.75%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


SVIXJEPI
Sharpe Ratio-0.272.57
Sortino Ratio0.123.57
Omega Ratio1.021.51
Calmar Ratio-0.314.69
Martin Ratio-0.7218.13
Ulcer Index26.91%1.00%
Daily Std Dev71.08%7.05%
Max Drawdown-62.55%-13.71%
Current Drawdown-48.14%-1.00%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for SVIX, currently valued at -0.27, compared to the broader market0.002.004.00-0.272.57
The chart of Sortino ratio for SVIX, currently valued at 0.12, compared to the broader market-2.000.002.004.006.008.0010.0012.000.123.57
The chart of Omega ratio for SVIX, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.51
The chart of Calmar ratio for SVIX, currently valued at -0.31, compared to the broader market0.005.0010.0015.00-0.314.69
The chart of Martin ratio for SVIX, currently valued at -0.72, compared to the broader market0.0020.0040.0060.0080.00100.00-0.7218.13
SVIX
JEPI

The current SVIX Sharpe Ratio is -0.27, which is lower than the JEPI Sharpe Ratio of 2.57. 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
-0.27
2.57
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 7.12%.


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
7.12%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
-48.14%
-1.00%
SVIX
JEPI

Volatility

SVIX vs. JEPI - Volatility Comparison

Volatility Shares -1x Short VIX Futures ETF (SVIX) has a higher volatility of 19.58% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.14%. 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
19.58%
2.14%
SVIX
JEPI