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

Performance

UVXY vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra VIX Short-Term Futures ETF (UVXY) and SPDR S&P 500 ETF (SPY). 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%
12.12%
UVXY
SPY

Returns By Period

In the year-to-date period, UVXY achieves a -47.94% return, which is significantly lower than SPY's 25.36% return. Over the past 10 years, UVXY has underperformed SPY with an annualized return of -65.88%, while SPY has yielded a comparatively higher 13.07% annualized return.


UVXY

YTD

-47.94%

1M

-15.40%

6M

-11.02%

1Y

-60.05%

5Y (annualized)

-69.61%

10Y (annualized)

-65.88%

SPY

YTD

25.36%

1M

0.98%

6M

11.79%

1Y

31.70%

5Y (annualized)

15.55%

10Y (annualized)

13.07%

Key characteristics


UVXYSPY
Sharpe Ratio-0.552.69
Sortino Ratio-0.603.59
Omega Ratio0.931.50
Calmar Ratio-0.613.89
Martin Ratio-1.3017.53
Ulcer Index46.61%1.87%
Daily Std Dev110.84%12.15%
Max Drawdown-100.00%-55.19%
Current Drawdown-100.00%-1.41%

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UVXY vs. SPY - Expense Ratio Comparison

UVXY has a 0.95% expense ratio, which is higher than SPY's 0.09% expense ratio.


UVXY
ProShares Ultra VIX Short-Term Futures ETF
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.0-0.6

The correlation between UVXY and SPY is -0.57. 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

UVXY vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra VIX Short-Term Futures ETF (UVXY) and SPDR S&P 500 ETF (SPY). 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 -0.55, compared to the broader market0.002.004.006.00-0.552.69
The chart of Sortino ratio for UVXY, currently valued at -0.60, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.603.59
The chart of Omega ratio for UVXY, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.000.931.50
The chart of Calmar ratio for UVXY, currently valued at -0.61, compared to the broader market0.005.0010.0015.0020.00-0.613.89
The chart of Martin ratio for UVXY, currently valued at -1.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.3017.53
UVXY
SPY

The current UVXY Sharpe Ratio is -0.55, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of UVXY and SPY, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.55
2.69
UVXY
SPY

Dividends

UVXY vs. SPY - Dividend Comparison

UVXY has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.19%.


TTM20232022202120202019201820172016201520142013
UVXY
ProShares Ultra VIX Short-Term Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

UVXY vs. SPY - Drawdown Comparison

The maximum UVXY drawdown since its inception was -100.00%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for UVXY and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-1.41%
UVXY
SPY

Volatility

UVXY vs. SPY - Volatility Comparison

ProShares Ultra VIX Short-Term Futures ETF (UVXY) has a higher volatility of 29.92% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that UVXY's price experiences larger fluctuations and is considered to be riskier than SPY 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
29.92%
4.09%
UVXY
SPY