PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SVXY vs. SVIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SVXY and SVIX is 0.99, 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.


-0.50.00.51.01.0

Performance

SVXY vs. SVIX - Performance Comparison

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

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
78.20%
64.47%
SVXY
SVIX

Key characteristics

Sharpe Ratio

SVXY:

0.02

SVIX:

-0.37

Sortino Ratio

SVXY:

0.28

SVIX:

-0.01

Omega Ratio

SVXY:

1.05

SVIX:

1.00

Calmar Ratio

SVXY:

0.01

SVIX:

-0.44

Martin Ratio

SVXY:

0.04

SVIX:

-0.92

Ulcer Index

SVXY:

13.89%

SVIX:

29.81%

Daily Std Dev

SVXY:

40.23%

SVIX:

74.73%

Max Drawdown

SVXY:

-95.25%

SVIX:

-62.55%

Current Drawdown

SVXY:

-82.23%

SVIX:

-51.37%

Returns By Period

In the year-to-date period, SVXY achieves a -4.99% return, which is significantly higher than SVIX's -34.61% return.


SVXY

YTD

-4.99%

1M

-2.29%

6M

-18.62%

1Y

-1.74%

5Y*

8.49%

10Y*

-3.33%

SVIX

YTD

-34.61%

1M

-7.01%

6M

-46.61%

1Y

-30.33%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SVXY vs. SVIX - Expense Ratio Comparison

SVXY has a 1.38% expense ratio, which is lower than SVIX's 1.47% 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 SVXY: current value at 1.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.38%

Risk-Adjusted Performance

SVXY vs. SVIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short VIX Short-Term Futures ETF (SVXY) and Volatility Shares -1x Short VIX Futures ETF (SVIX). 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 SVXY, currently valued at 0.01, compared to the broader market0.002.004.000.02-0.37
The chart of Sortino ratio for SVXY, currently valued at 0.28, compared to the broader market-2.000.002.004.006.008.0010.000.28-0.01
The chart of Omega ratio for SVXY, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.00
The chart of Calmar ratio for SVXY, currently valued at 0.02, compared to the broader market0.005.0010.0015.000.02-0.44
The chart of Martin ratio for SVXY, currently valued at 0.04, compared to the broader market0.0020.0040.0060.0080.00100.000.04-0.92
SVXY
SVIX

The current SVXY Sharpe Ratio is 0.02, which is higher than the SVIX Sharpe Ratio of -0.37. The chart below compares the historical Sharpe Ratios of SVXY and SVIX, 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 Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.02
-0.37
SVXY
SVIX

Dividends

SVXY vs. SVIX - Dividend Comparison

Neither SVXY nor SVIX has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SVXY vs. SVIX - Drawdown Comparison

The maximum SVXY drawdown since its inception was -95.25%, which is greater than SVIX's maximum drawdown of -62.55%. Use the drawdown chart below to compare losses from any high point for SVXY and SVIX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-22.95%
-51.37%
SVXY
SVIX

Volatility

SVXY vs. SVIX - Volatility Comparison

The current volatility for ProShares Short VIX Short-Term Futures ETF (SVXY) is 13.40%, while Volatility Shares -1x Short VIX Futures ETF (SVIX) has a volatility of 26.22%. This indicates that SVXY experiences smaller price fluctuations and is considered to be less risky than SVIX 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%JulyAugustSeptemberOctoberNovemberDecember
13.40%
26.22%
SVXY
SVIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab