PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VXX vs. SVXY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VXX and SVXY is -0.97. 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.


-0.50.00.51.0-1.0

Performance

VXX vs. SVXY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Short VIX Short-Term Futures ETF (SVXY). The values are adjusted to include any dividend payments, if applicable.

-95.00%-90.00%-85.00%-80.00%-75.00%JulyAugustSeptemberOctoberNovemberDecember
-97.24%
-81.44%
VXX
SVXY

Key characteristics

Sharpe Ratio

VXX:

-0.40

SVXY:

0.02

Sortino Ratio

VXX:

-0.20

SVXY:

0.28

Omega Ratio

VXX:

0.98

SVXY:

1.05

Calmar Ratio

VXX:

-0.31

SVXY:

0.01

Martin Ratio

VXX:

-0.93

SVXY:

0.04

Ulcer Index

VXX:

33.49%

SVXY:

13.89%

Daily Std Dev

VXX:

78.04%

SVXY:

40.23%

Max Drawdown

VXX:

-99.08%

SVXY:

-95.25%

Current Drawdown

VXX:

-98.91%

SVXY:

-82.23%

Returns By Period

In the year-to-date period, VXX achieves a -22.55% return, which is significantly lower than SVXY's -4.99% return.


VXX

YTD

-22.55%

1M

0.90%

6M

6.47%

1Y

-27.63%

5Y*

-45.20%

10Y*

N/A

SVXY

YTD

-4.99%

1M

-2.29%

6M

-18.62%

1Y

-1.74%

5Y*

8.49%

10Y*

-3.33%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VXX vs. SVXY - Expense Ratio Comparison

VXX has a 0.89% expense ratio, which is lower than SVXY's 1.38% 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 VXX: current value at 0.89% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.89%

Risk-Adjusted Performance

VXX vs. SVXY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Short VIX Short-Term Futures ETF (SVXY). 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 VXX, currently valued at -0.40, compared to the broader market0.002.004.00-0.400.02
The chart of Sortino ratio for VXX, currently valued at -0.20, compared to the broader market-2.000.002.004.006.008.0010.00-0.200.28
The chart of Omega ratio for VXX, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.981.05
The chart of Calmar ratio for VXX, currently valued at -0.31, compared to the broader market0.005.0010.0015.00-0.310.01
The chart of Martin ratio for VXX, currently valued at -0.93, compared to the broader market0.0020.0040.0060.0080.00100.00-0.930.04
VXX
SVXY

The current VXX Sharpe Ratio is -0.40, which is lower than the SVXY Sharpe Ratio of 0.02. The chart below compares the historical Sharpe Ratios of VXX and SVXY, 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-1.000.001.002.00JulyAugustSeptemberOctoberNovemberDecember
-0.40
0.02
VXX
SVXY

Dividends

VXX vs. SVXY - Dividend Comparison

Neither VXX nor SVXY has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

VXX vs. SVXY - Drawdown Comparison

The maximum VXX drawdown since its inception was -99.08%, roughly equal to the maximum SVXY drawdown of -95.25%. Use the drawdown chart below to compare losses from any high point for VXX and SVXY. For additional features, visit the drawdowns tool.


-100.00%-95.00%-90.00%-85.00%-80.00%JulyAugustSeptemberOctoberNovemberDecember
-98.91%
-81.93%
VXX
SVXY

Volatility

VXX vs. SVXY - Volatility Comparison

iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 25.29% compared to ProShares Short VIX Short-Term Futures ETF (SVXY) at 13.40%. This indicates that VXX's price experiences larger fluctuations and is considered to be riskier than SVXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
25.29%
13.40%
VXX
SVXY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab