SVXY vs. SPY
Compare and contrast key facts about ProShares Short VIX Short-Term Futures ETF (SVXY) and SPDR S&P 500 ETF (SPY).
SVXY and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SVXY is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Short-Term Futures Index (-100%). It was launched on Oct 3, 2011. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both SVXY and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVXY or SPY.
Key characteristics
| SVXY | SPY | |
|---|---|---|
| YTD Return | 0.70% | 27.16% |
| 1Y Return | 14.02% | 37.73% |
| 3Y Return (Ann) | 18.38% | 10.28% |
| 5Y Return (Ann) | 11.78% | 15.97% |
| 10Y Return (Ann) | -3.27% | 13.38% |
| Sharpe Ratio | 0.43 | 3.25 |
| Sortino Ratio | 0.72 | 4.32 |
| Omega Ratio | 1.14 | 1.61 |
| Calmar Ratio | 0.19 | 4.74 |
| Martin Ratio | 1.31 | 21.51 |
| Ulcer Index | 12.42% | 1.85% |
| Daily Std Dev | 38.20% | 12.20% |
| Max Drawdown | -95.25% | -55.19% |
| Current Drawdown | -81.17% | 0.00% |
Correlation
The correlation between SVXY and SPY is 0.75, 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.
Performance
SVXY vs. SPY - Performance Comparison
In the year-to-date period, SVXY achieves a 0.70% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, SVXY has underperformed SPY with an annualized return of -3.27%, while SPY has yielded a comparatively higher 13.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SVXY vs. SPY - Expense Ratio Comparison
SVXY has a 1.38% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
SVXY vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short VIX Short-Term Futures ETF (SVXY) 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.
Dividends
SVXY vs. SPY - Dividend Comparison
SVXY has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVXY ProShares Short VIX Short-Term 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 | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
SVXY vs. SPY - Drawdown Comparison
The maximum SVXY drawdown since its inception was -95.25%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SVXY and SPY. For additional features, visit the drawdowns tool.
Volatility
SVXY vs. SPY - Volatility Comparison
ProShares Short VIX Short-Term Futures ETF (SVXY) has a higher volatility of 9.17% compared to SPDR S&P 500 ETF (SPY) at 3.92%. This indicates that SVXY'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.