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XXXX vs. ^VVIX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XXXX and ^VVIX is -0.60. 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.


-0.50.00.51.0-0.6

Performance

XXXX vs. ^VVIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MAX S&P 500 4X Leveraged ETN (XXXX) and CBOE VIX Volatility Index (^VVIX). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
339.83%
29.91%
XXXX
^VVIX

Key characteristics

Sharpe Ratio

XXXX:

1.20

^VVIX:

0.29

Sortino Ratio

XXXX:

1.67

^VVIX:

1.30

Omega Ratio

XXXX:

1.23

^VVIX:

1.15

Calmar Ratio

XXXX:

1.86

^VVIX:

0.45

Martin Ratio

XXXX:

6.78

^VVIX:

1.01

Ulcer Index

XXXX:

8.77%

^VVIX:

29.21%

Daily Std Dev

XXXX:

49.62%

^VVIX:

100.58%

Max Drawdown

XXXX:

-31.99%

^VVIX:

-78.10%

Current Drawdown

XXXX:

-15.10%

^VVIX:

-45.08%

Returns By Period

In the year-to-date period, XXXX achieves a 61.29% return, which is significantly higher than ^VVIX's 31.11% return.


XXXX

YTD

61.29%

1M

-7.83%

6M

10.06%

1Y

62.30%

5Y*

N/A

10Y*

N/A

^VVIX

YTD

31.11%

1M

11.56%

6M

36.85%

1Y

26.89%

5Y*

2.78%

10Y*

1.86%

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Risk-Adjusted Performance

XXXX vs. ^VVIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MAX S&P 500 4X Leveraged ETN (XXXX) and CBOE VIX Volatility Index (^VVIX). 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 XXXX, currently valued at 1.34, compared to the broader market0.002.004.001.340.29
The chart of Sortino ratio for XXXX, currently valued at 1.80, compared to the broader market-2.000.002.004.006.008.0010.001.801.30
The chart of Omega ratio for XXXX, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.15
The chart of Calmar ratio for XXXX, currently valued at 2.05, compared to the broader market0.005.0010.0015.002.050.59
The chart of Martin ratio for XXXX, currently valued at 7.30, compared to the broader market0.0020.0040.0060.0080.00100.007.301.01
XXXX
^VVIX

The current XXXX Sharpe Ratio is 1.20, which is higher than the ^VVIX Sharpe Ratio of 0.29. The chart below compares the historical Sharpe Ratios of XXXX and ^VVIX, 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 Ratio0.000.501.001.502.00Wed 27Fri 29DecemberTue 03Thu 05Sat 07Mon 09Wed 11Fri 13Dec 15Tue 17Thu 19
1.34
0.29
XXXX
^VVIX

Drawdowns

XXXX vs. ^VVIX - Drawdown Comparison

The maximum XXXX drawdown since its inception was -31.99%, smaller than the maximum ^VVIX drawdown of -78.10%. Use the drawdown chart below to compare losses from any high point for XXXX and ^VVIX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.10%
-34.22%
XXXX
^VVIX

Volatility

XXXX vs. ^VVIX - Volatility Comparison

The current volatility for MAX S&P 500 4X Leveraged ETN (XXXX) is 14.80%, while CBOE VIX Volatility Index (^VVIX) has a volatility of 34.95%. This indicates that XXXX experiences smaller price fluctuations and is considered to be less risky than ^VVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
14.80%
34.95%
XXXX
^VVIX
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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.

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