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SVXY vs. SVOL
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SVXY vs. SVOL - Performance Comparison

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

-30.00%-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-15.77%
2.65%
SVXY
SVOL

Returns By Period

In the year-to-date period, SVXY achieves a -3.21% return, which is significantly lower than SVOL's 8.76% return.


SVXY

YTD

-3.21%

1M

2.23%

6M

-16.38%

1Y

4.29%

5Y (annualized)

10.16%

10Y (annualized)

-3.89%

SVOL

YTD

8.76%

1M

1.37%

6M

2.39%

1Y

10.87%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


SVXYSVOL
Sharpe Ratio0.140.92
Sortino Ratio0.411.26
Omega Ratio1.081.23
Calmar Ratio0.061.01
Martin Ratio0.426.57
Ulcer Index12.82%1.68%
Daily Std Dev38.41%12.01%
Max Drawdown-95.25%-15.68%
Current Drawdown-81.90%-1.00%

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SVXY vs. SVOL - Expense Ratio Comparison

SVXY has a 1.38% expense ratio, which is higher than SVOL's 0.50% expense ratio.


SVXY
ProShares Short VIX Short-Term Futures ETF
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%
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Correlation

-0.50.00.51.00.9

The correlation between SVXY and SVOL is 0.87, 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

SVXY vs. SVOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short VIX Short-Term Futures ETF (SVXY) and Simplify Volatility Premium ETF (SVOL). 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 0.14, compared to the broader market0.002.004.000.140.92
The chart of Sortino ratio for SVXY, currently valued at 0.41, compared to the broader market-2.000.002.004.006.008.0010.0012.000.411.26
The chart of Omega ratio for SVXY, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.23
The chart of Calmar ratio for SVXY, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.141.01
The chart of Martin ratio for SVXY, currently valued at 0.42, compared to the broader market0.0020.0040.0060.0080.00100.000.426.57
SVXY
SVOL

The current SVXY Sharpe Ratio is 0.14, which is lower than the SVOL Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of SVXY and SVOL, 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
0.14
0.92
SVXY
SVOL

Dividends

SVXY vs. SVOL - Dividend Comparison

SVXY has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 16.43%.


TTM202320222021
SVXY
ProShares Short VIX Short-Term Futures ETF
0.00%0.00%0.00%0.00%
SVOL
Simplify Volatility Premium ETF
16.43%16.37%18.31%4.65%

Drawdowns

SVXY vs. SVOL - Drawdown Comparison

The maximum SVXY drawdown since its inception was -95.25%, which is greater than SVOL's maximum drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for SVXY and SVOL. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-21.51%
-1.00%
SVXY
SVOL

Volatility

SVXY vs. SVOL - Volatility Comparison

ProShares Short VIX Short-Term Futures ETF (SVXY) has a higher volatility of 10.22% compared to Simplify Volatility Premium ETF (SVOL) at 3.52%. This indicates that SVXY's price experiences larger fluctuations and is considered to be riskier than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%JuneJulyAugustSeptemberOctoberNovember
10.22%
3.52%
SVXY
SVOL