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

Key characteristics


SVIXQQQ
YTD Return-22.61%25.63%
1Y Return-5.04%33.85%
Sharpe Ratio-0.072.12
Sortino Ratio0.402.79
Omega Ratio1.071.38
Calmar Ratio-0.072.71
Martin Ratio-0.189.88
Ulcer Index26.13%3.72%
Daily Std Dev70.56%17.31%
Max Drawdown-62.55%-82.98%
Current Drawdown-42.44%-0.37%

Correlation

-0.50.00.51.00.7

The correlation between SVIX and QQQ 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. QQQ - Performance Comparison

In the year-to-date period, SVIX achieves a -22.61% return, which is significantly lower than QQQ's 25.63% 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
-36.65%
13.44%
SVIX
QQQ

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SVIX vs. QQQ - Expense Ratio Comparison

SVIX has a 1.47% expense ratio, which is higher than QQQ's 0.20% 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SVIX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Shares -1x Short VIX Futures ETF (SVIX) and Invesco QQQ (QQQ). 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 -0.07, compared to the broader market-2.000.002.004.00-0.07
Sortino ratio
The chart of Sortino ratio for SVIX, currently valued at 0.40, compared to the broader market-2.000.002.004.006.008.0010.0012.000.40
Omega ratio
The chart of Omega ratio for SVIX, currently valued at 1.07, compared to the broader market1.001.502.002.503.001.07
Calmar ratio
The chart of Calmar ratio for SVIX, currently valued at -0.07, compared to the broader market0.005.0010.0015.00-0.07
Martin ratio
The chart of Martin ratio for SVIX, currently valued at -0.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.18
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.12, compared to the broader market-2.000.002.004.002.12
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.79, compared to the broader market-2.000.002.004.006.008.0010.0012.002.79
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.71, compared to the broader market0.005.0010.0015.002.71
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.88

SVIX vs. QQQ - Sharpe Ratio Comparison

The current SVIX Sharpe Ratio is -0.07, which is lower than the QQQ Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of SVIX and QQQ, 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
-0.07
2.12
SVIX
QQQ

Dividends

SVIX vs. QQQ - Dividend Comparison

SVIX has not paid dividends to shareholders, while QQQ's dividend yield for the trailing twelve months is around 0.59%.


TTM20232022202120202019201820172016201520142013
SVIX
Volatility Shares -1x Short VIX Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SVIX vs. QQQ - Drawdown Comparison

The maximum SVIX drawdown since its inception was -62.55%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SVIX and QQQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-42.44%
-0.37%
SVIX
QQQ

Volatility

SVIX vs. QQQ - Volatility Comparison

Volatility Shares -1x Short VIX Futures ETF (SVIX) has a higher volatility of 16.92% compared to Invesco QQQ (QQQ) at 4.91%. This indicates that SVIX's price experiences larger fluctuations and is considered to be riskier than QQQ 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
16.92%
4.91%
SVIX
QQQ