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

Key characteristics


SVIXPSMJ
YTD Return-24.54%14.32%
1Y Return-6.10%20.38%
Sharpe Ratio-0.033.36
Sortino Ratio0.454.69
Omega Ratio1.081.71
Calmar Ratio-0.034.68
Martin Ratio-0.0726.45
Ulcer Index25.85%0.82%
Daily Std Dev70.67%6.37%
Max Drawdown-62.55%-8.40%
Current Drawdown-43.88%-0.12%

Correlation

-0.50.00.51.00.7

The correlation between SVIX and PSMJ is 0.67, 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. PSMJ - Performance Comparison

In the year-to-date period, SVIX achieves a -24.54% return, which is significantly lower than PSMJ's 14.32% 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%
7.60%
SVIX
PSMJ

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SVIX vs. PSMJ - Expense Ratio Comparison

SVIX has a 1.47% expense ratio, which is higher than PSMJ's 0.75% 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 PSMJ: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

SVIX vs. PSMJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Shares -1x Short VIX Futures ETF (SVIX) and Pacer Swan SOS Moderate (July) ETF (PSMJ). 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
PSMJ
Sharpe ratio
The chart of Sharpe ratio for PSMJ, currently valued at 3.36, compared to the broader market-2.000.002.004.006.003.36
Sortino ratio
The chart of Sortino ratio for PSMJ, currently valued at 4.69, compared to the broader market0.005.0010.004.69
Omega ratio
The chart of Omega ratio for PSMJ, currently valued at 1.71, compared to the broader market1.001.502.002.503.001.71
Calmar ratio
The chart of Calmar ratio for PSMJ, currently valued at 4.68, compared to the broader market0.005.0010.0015.004.68
Martin ratio
The chart of Martin ratio for PSMJ, currently valued at 26.45, compared to the broader market0.0020.0040.0060.0080.00100.0026.45

SVIX vs. PSMJ - Sharpe Ratio Comparison

The current SVIX Sharpe Ratio is -0.03, which is lower than the PSMJ Sharpe Ratio of 3.36. The chart below compares the historical Sharpe Ratios of SVIX and PSMJ, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.03
3.36
SVIX
PSMJ

Dividends

SVIX vs. PSMJ - Dividend Comparison

Neither SVIX nor PSMJ has paid dividends to shareholders.


TTM202320222021
SVIX
Volatility Shares -1x Short VIX Futures ETF
0.00%0.00%0.00%0.00%
PSMJ
Pacer Swan SOS Moderate (July) ETF
0.00%0.00%0.00%0.02%

Drawdowns

SVIX vs. PSMJ - Drawdown Comparison

The maximum SVIX drawdown since its inception was -62.55%, which is greater than PSMJ's maximum drawdown of -8.40%. Use the drawdown chart below to compare losses from any high point for SVIX and PSMJ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-43.88%
-0.12%
SVIX
PSMJ

Volatility

SVIX vs. PSMJ - Volatility Comparison

Volatility Shares -1x Short VIX Futures ETF (SVIX) has a higher volatility of 17.68% compared to Pacer Swan SOS Moderate (July) ETF (PSMJ) at 2.03%. This indicates that SVIX's price experiences larger fluctuations and is considered to be riskier than PSMJ 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%
2.03%
SVIX
PSMJ