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

Performance

XVOL vs. UVIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Acruence Active Hedge U.S. Equity ETF (XVOL) and Volatility Shares 2x Long VIX Futures ETF (UVIX). The values are adjusted to include any dividend payments, if applicable.

-50.00%0.00%50.00%100.00%150.00%200.00%JuneJulyAugustSeptemberOctoberNovember
17.32%
-39.24%
XVOL
UVIX

Returns By Period

In the year-to-date period, XVOL achieves a 30.22% return, which is significantly higher than UVIX's -72.98% return.


XVOL

YTD

30.22%

1M

9.31%

6M

17.33%

1Y

36.35%

5Y (annualized)

N/A

10Y (annualized)

N/A

UVIX

YTD

-72.98%

1M

-30.78%

6M

-38.88%

1Y

-80.89%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


XVOLUVIX
Sharpe Ratio1.87-0.53
Sortino Ratio2.69-0.73
Omega Ratio1.470.92
Calmar Ratio1.86-0.81
Martin Ratio7.65-1.39
Ulcer Index4.75%58.21%
Daily Std Dev19.43%152.55%
Max Drawdown-25.82%-99.74%
Current Drawdown0.00%-99.72%

Compare stocks, funds, or ETFs

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


XVOL vs. UVIX - Expense Ratio Comparison

XVOL has a 0.83% expense ratio, which is lower than UVIX's 2.78% expense ratio.


UVIX
Volatility Shares 2x Long VIX Futures ETF
Expense ratio chart for UVIX: current value at 2.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.78%
Expense ratio chart for XVOL: current value at 0.83% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.83%

Correlation

-0.50.00.51.0-0.6

The correlation between XVOL and UVIX is -0.56. 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

XVOL vs. UVIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Acruence Active Hedge U.S. Equity ETF (XVOL) and Volatility Shares 2x Long VIX Futures ETF (UVIX). 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 XVOL, currently valued at 1.87, compared to the broader market0.002.004.001.87-0.53
The chart of Sortino ratio for XVOL, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.0012.002.69-0.73
The chart of Omega ratio for XVOL, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.470.92
The chart of Calmar ratio for XVOL, currently valued at 2.32, compared to the broader market0.005.0010.0015.0020.002.32-0.81
The chart of Martin ratio for XVOL, currently valued at 7.65, compared to the broader market0.0020.0040.0060.0080.00100.007.65-1.39
XVOL
UVIX

The current XVOL Sharpe Ratio is 1.87, which is higher than the UVIX Sharpe Ratio of -0.53. The chart below compares the historical Sharpe Ratios of XVOL and UVIX, 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-1.00-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.87
-0.53
XVOL
UVIX

Dividends

XVOL vs. UVIX - Dividend Comparison

XVOL's dividend yield for the trailing twelve months is around 0.84%, while UVIX has not paid dividends to shareholders.


TTM202320222021
XVOL
Acruence Active Hedge U.S. Equity ETF
0.84%1.09%2.86%0.29%
UVIX
Volatility Shares 2x Long VIX Futures ETF
0.00%0.00%0.00%0.00%

Drawdowns

XVOL vs. UVIX - Drawdown Comparison

The maximum XVOL drawdown since its inception was -25.82%, smaller than the maximum UVIX drawdown of -99.74%. Use the drawdown chart below to compare losses from any high point for XVOL and UVIX. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-99.72%
XVOL
UVIX

Volatility

XVOL vs. UVIX - Volatility Comparison

The current volatility for Acruence Active Hedge U.S. Equity ETF (XVOL) is 4.44%, while Volatility Shares 2x Long VIX Futures ETF (UVIX) has a volatility of 39.67%. This indicates that XVOL experiences smaller price fluctuations and is considered to be less risky than UVIX 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%100.00%JuneJulyAugustSeptemberOctoberNovember
4.44%
39.67%
XVOL
UVIX