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SVXY vs. VIXM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SVXY vs. VIXM - Performance Comparison

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

-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-14.29%
1.56%
SVXY
VIXM

Returns By Period

In the year-to-date period, SVXY achieves a 0.22% return, which is significantly higher than VIXM's -16.12% return. Over the past 10 years, SVXY has outperformed VIXM with an annualized return of -3.56%, while VIXM has yielded a comparatively lower -13.70% annualized return.


SVXY

YTD

0.22%

1M

5.81%

6M

-13.50%

1Y

9.50%

5Y (annualized)

11.23%

10Y (annualized)

-3.56%

VIXM

YTD

-16.12%

1M

-3.83%

6M

1.22%

1Y

-20.53%

5Y (annualized)

-9.02%

10Y (annualized)

-13.70%

Key characteristics


SVXYVIXM
Sharpe Ratio0.27-0.55
Sortino Ratio0.56-0.71
Omega Ratio1.110.91
Calmar Ratio0.12-0.22
Martin Ratio0.82-1.20
Ulcer Index12.69%17.54%
Daily Std Dev38.40%38.09%
Max Drawdown-95.25%-96.20%
Current Drawdown-81.25%-96.14%

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SVXY vs. VIXM - Expense Ratio Comparison

SVXY has a 1.38% expense ratio, which is higher than VIXM's 0.85% 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 VIXM: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%

Correlation

-0.50.00.51.0-0.9

The correlation between SVXY and VIXM is -0.89. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

SVXY vs. VIXM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short VIX Short-Term Futures ETF (SVXY) and ProShares VIX Mid-Term Futures ETF (VIXM). 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 0.27, compared to the broader market0.002.004.000.27-0.55
The chart of Sortino ratio for SVXY, currently valued at 0.56, compared to the broader market-2.000.002.004.006.008.0010.000.56-0.71
The chart of Omega ratio for SVXY, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.110.91
The chart of Calmar ratio for SVXY, currently valued at 0.12, compared to the broader market0.005.0010.0015.000.12-0.22
The chart of Martin ratio for SVXY, currently valued at 0.82, compared to the broader market0.0020.0040.0060.0080.00100.000.82-1.20
SVXY
VIXM

The current SVXY Sharpe Ratio is 0.27, which is higher than the VIXM Sharpe Ratio of -0.55. The chart below compares the historical Sharpe Ratios of SVXY and VIXM, 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-2.00-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.27
-0.55
SVXY
VIXM

Dividends

SVXY vs. VIXM - Dividend Comparison

Neither SVXY nor VIXM has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SVXY vs. VIXM - Drawdown Comparison

The maximum SVXY drawdown since its inception was -95.25%, roughly equal to the maximum VIXM drawdown of -96.20%. Use the drawdown chart below to compare losses from any high point for SVXY and VIXM. For additional features, visit the drawdowns tool.


-95.00%-90.00%-85.00%-80.00%JuneJulyAugustSeptemberOctoberNovember
-81.25%
-96.09%
SVXY
VIXM

Volatility

SVXY vs. VIXM - Volatility Comparison

ProShares Short VIX Short-Term Futures ETF (SVXY) has a higher volatility of 9.84% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 8.78%. This indicates that SVXY's price experiences larger fluctuations and is considered to be riskier than VIXM 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
9.84%
8.78%
SVXY
VIXM