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UVXY vs. SPXS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

UVXY vs. SPXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra VIX Short-Term Futures ETF (UVXY) and Direxion Daily S&P 500 Bear 3X Shares (SPXS). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-25.00%
UVXY
SPXS

Returns By Period

The year-to-date returns for both investments are quite close, with UVXY having a -46.04% return and SPXS slightly higher at -45.11%. Over the past 10 years, UVXY has underperformed SPXS with an annualized return of -65.74%, while SPXS has yielded a comparatively higher -39.61% annualized return.


UVXY

YTD

-46.04%

1M

-11.98%

6M

-12.42%

1Y

-57.83%

5Y (annualized)

-69.07%

10Y (annualized)

-65.74%

SPXS

YTD

-45.11%

1M

-4.55%

6M

-28.69%

1Y

-51.66%

5Y (annualized)

-46.44%

10Y (annualized)

-39.61%

Key characteristics


UVXYSPXS
Sharpe Ratio-0.52-1.44
Sortino Ratio-0.47-2.49
Omega Ratio0.940.73
Calmar Ratio-0.57-0.52
Martin Ratio-1.24-1.50
Ulcer Index46.37%34.63%
Daily Std Dev110.92%36.29%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

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UVXY vs. SPXS - Expense Ratio Comparison

UVXY has a 0.95% expense ratio, which is lower than SPXS's 1.08% expense ratio.


SPXS
Direxion Daily S&P 500 Bear 3X Shares
Expense ratio chart for SPXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for UVXY: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Correlation

-0.50.00.51.00.6

The correlation between UVXY and SPXS is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

UVXY vs. SPXS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra VIX Short-Term Futures ETF (UVXY) and Direxion Daily S&P 500 Bear 3X Shares (SPXS). 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 UVXY, currently valued at -0.52, compared to the broader market0.002.004.00-0.52-1.44
The chart of Sortino ratio for UVXY, currently valued at -0.47, compared to the broader market-2.000.002.004.006.008.0010.00-0.47-2.49
The chart of Omega ratio for UVXY, currently valued at 0.94, compared to the broader market0.501.001.502.002.503.000.940.73
The chart of Calmar ratio for UVXY, currently valued at -0.57, compared to the broader market0.005.0010.0015.00-0.57-0.52
The chart of Martin ratio for UVXY, currently valued at -1.24, compared to the broader market0.0020.0040.0060.0080.00100.00-1.24-1.50
UVXY
SPXS

The current UVXY Sharpe Ratio is -0.52, which is higher than the SPXS Sharpe Ratio of -1.44. The chart below compares the historical Sharpe Ratios of UVXY and SPXS, 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-1.50-1.00-0.50JuneJulyAugustSeptemberOctoberNovember
-0.52
-1.44
UVXY
SPXS

Dividends

UVXY vs. SPXS - Dividend Comparison

UVXY has not paid dividends to shareholders, while SPXS's dividend yield for the trailing twelve months is around 7.27%.


TTM202320222021202020192018
UVXY
ProShares Ultra VIX Short-Term Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPXS
Direxion Daily S&P 500 Bear 3X Shares
7.27%5.66%0.00%0.00%0.51%1.74%0.58%

Drawdowns

UVXY vs. SPXS - Drawdown Comparison

The maximum UVXY drawdown since its inception was -100.00%, roughly equal to the maximum SPXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for UVXY and SPXS. For additional features, visit the drawdowns tool.


-100.00%-99.98%-99.96%-99.94%-99.92%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-99.94%
UVXY
SPXS

Volatility

UVXY vs. SPXS - Volatility Comparison

ProShares Ultra VIX Short-Term Futures ETF (UVXY) has a higher volatility of 29.34% compared to Direxion Daily S&P 500 Bear 3X Shares (SPXS) at 12.14%. This indicates that UVXY's price experiences larger fluctuations and is considered to be riskier than SPXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
29.34%
12.14%
UVXY
SPXS