SVXY vs. VIXM
Compare and contrast key facts about ProShares Short VIX Short-Term Futures ETF (SVXY) and ProShares VIX Mid-Term Futures ETF (VIXM).
SVXY and VIXM 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. VIXM is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Mid-Term Futures Index. It was launched on Jan 4, 2011. Both SVXY and VIXM 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 VIXM.
Key characteristics
| SVXY | VIXM | |
|---|---|---|
| YTD Return | 0.75% | -15.94% |
| 1Y Return | 13.40% | -22.59% |
| 3Y Return (Ann) | 18.38% | -22.31% |
| 5Y Return (Ann) | 11.64% | -8.88% |
| 10Y Return (Ann) | -3.26% | -13.56% |
| Sharpe Ratio | 0.37 | -0.59 |
| Sortino Ratio | 0.66 | -0.79 |
| Omega Ratio | 1.13 | 0.90 |
| Calmar Ratio | 0.16 | -0.23 |
| Martin Ratio | 1.13 | -1.22 |
| Ulcer Index | 12.47% | 18.40% |
| Daily Std Dev | 38.12% | 37.92% |
| Max Drawdown | -95.25% | -96.20% |
| Current Drawdown | -81.16% | -96.13% |
Correlation
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.
Performance
SVXY vs. VIXM - Performance Comparison
In the year-to-date period, SVXY achieves a 0.75% return, which is significantly higher than VIXM's -15.94% return. Over the past 10 years, SVXY has outperformed VIXM with an annualized return of -3.26%, while VIXM has yielded a comparatively lower -13.56% 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. VIXM - Expense Ratio Comparison
SVXY has a 1.38% expense ratio, which is higher than VIXM's 0.85% expense ratio.
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.
Dividends
SVXY vs. VIXM - Dividend Comparison
Neither SVXY nor VIXM has paid dividends to shareholders.
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.
Volatility
SVXY vs. VIXM - Volatility Comparison
ProShares Short VIX Short-Term Futures ETF (SVXY) has a higher volatility of 9.06% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 8.59%. 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.