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

Performance

SVIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Volatility Shares -1x Short VIX Futures ETF (SVIX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-41.03%
12.12%
SVIX
SPY

Returns By Period

In the year-to-date period, SVIX achieves a -27.86% return, which is significantly lower than SPY's 25.36% return.


SVIX

YTD

-27.86%

1M

6.20%

6M

-42.45%

1Y

-16.45%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

25.36%

1M

0.98%

6M

11.79%

1Y

31.70%

5Y (annualized)

15.55%

10Y (annualized)

13.07%

Key characteristics


SVIXSPY
Sharpe Ratio-0.232.69
Sortino Ratio0.193.59
Omega Ratio1.031.50
Calmar Ratio-0.263.89
Martin Ratio-0.6017.53
Ulcer Index26.74%1.87%
Daily Std Dev71.00%12.15%
Max Drawdown-62.55%-55.19%
Current Drawdown-46.34%-1.41%

Compare stocks, funds, or ETFs

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SVIX vs. SPY - Expense Ratio Comparison

SVIX has a 1.47% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.7

The correlation between SVIX and SPY is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

SVIX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Shares -1x Short VIX Futures ETF (SVIX) and SPDR S&P 500 ETF (SPY). 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 -0.23, compared to the broader market0.002.004.006.00-0.232.69
The chart of Sortino ratio for SVIX, currently valued at 0.19, compared to the broader market-2.000.002.004.006.008.0010.0012.000.193.59
The chart of Omega ratio for SVIX, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.031.50
The chart of Calmar ratio for SVIX, currently valued at -0.26, compared to the broader market0.005.0010.0015.00-0.263.89
The chart of Martin ratio for SVIX, currently valued at -0.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.6017.53
SVIX
SPY

The current SVIX Sharpe Ratio is -0.23, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of SVIX and SPY, 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
-0.23
2.69
SVIX
SPY

Dividends

SVIX vs. SPY - Dividend Comparison

SVIX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.19%.


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%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SVIX vs. SPY - Drawdown Comparison

The maximum SVIX drawdown since its inception was -62.55%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SVIX and SPY. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-46.34%
-1.41%
SVIX
SPY

Volatility

SVIX vs. SPY - Volatility Comparison

Volatility Shares -1x Short VIX Futures ETF (SVIX) has a higher volatility of 19.23% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that SVIX's price experiences larger fluctuations and is considered to be riskier than SPY 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
19.23%
4.09%
SVIX
SPY