VXX vs. SVXY
Compare and contrast key facts about iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Short VIX Short-Term Futures ETF (SVXY).
VXX and SVXY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VXX is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 19, 2018. 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. Both VXX and SVXY 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: VXX or SVXY.
Key characteristics
| VXX | SVXY | |
|---|---|---|
| YTD Return | -28.08% | 0.70% |
| 1Y Return | -43.99% | 14.02% |
| 3Y Return (Ann) | -48.62% | 18.38% |
| 5Y Return (Ann) | -48.18% | 11.78% |
| Sharpe Ratio | -0.62 | 0.43 |
| Sortino Ratio | -0.88 | 0.72 |
| Omega Ratio | 0.90 | 1.14 |
| Calmar Ratio | -0.47 | 0.19 |
| Martin Ratio | -1.31 | 1.31 |
| Ulcer Index | 35.31% | 12.42% |
| Daily Std Dev | 74.22% | 38.20% |
| Max Drawdown | -99.08% | -95.25% |
| Current Drawdown | -98.99% | -81.17% |
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.
Performance
VXX vs. SVXY - Performance Comparison
In the year-to-date period, VXX achieves a -28.08% return, which is significantly lower than SVXY's 0.70% 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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VXX vs. SVXY - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is lower than SVXY's 1.38% expense ratio.
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.
Dividends
VXX vs. SVXY - Dividend Comparison
Neither VXX nor SVXY has paid dividends to shareholders.
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.
Volatility
VXX vs. SVXY - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 17.98% compared to ProShares Short VIX Short-Term Futures ETF (SVXY) at 9.17%. 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.