PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^VVIX vs. REW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VVIX and REW is 0.51, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^VVIX vs. REW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE VIX Volatility Index (^VVIX) and ProShares UltraShort Technology (REW). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
63.59%
-6.57%
^VVIX
REW

Key characteristics

Sharpe Ratio

^VVIX:

0.56

REW:

-0.74

Sortino Ratio

^VVIX:

1.68

REW:

-0.98

Omega Ratio

^VVIX:

1.19

REW:

0.89

Calmar Ratio

^VVIX:

0.88

REW:

-0.33

Martin Ratio

^VVIX:

1.95

REW:

-1.17

Ulcer Index

^VVIX:

29.13%

REW:

28.62%

Daily Std Dev

^VVIX:

99.29%

REW:

45.02%

Max Drawdown

^VVIX:

-78.10%

REW:

-99.98%

Current Drawdown

^VVIX:

-34.35%

REW:

-99.98%

Returns By Period

In the year-to-date period, ^VVIX achieves a 56.73% return, which is significantly higher than REW's -33.52% return. Over the past 10 years, ^VVIX has outperformed REW with an annualized return of 3.17%, while REW has yielded a comparatively lower -39.46% annualized return.


^VVIX

YTD

56.73%

1M

39.97%

6M

58.99%

1Y

47.85%

5Y*

6.49%

10Y*

3.17%

REW

YTD

-33.52%

1M

-0.76%

6M

-6.00%

1Y

-35.28%

5Y*

-43.96%

10Y*

-39.46%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^VVIX vs. REW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and ProShares UltraShort Technology (REW). 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 ^VVIX, currently valued at 0.56, compared to the broader market-1.000.001.002.000.56-0.75
The chart of Sortino ratio for ^VVIX, currently valued at 1.68, compared to the broader market-1.000.001.002.003.001.68-0.99
The chart of Omega ratio for ^VVIX, currently valued at 1.19, compared to the broader market0.800.901.001.101.201.301.401.190.89
The chart of Calmar ratio for ^VVIX, currently valued at 0.88, compared to the broader market0.001.002.003.004.000.88-0.34
The chart of Martin ratio for ^VVIX, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.95-1.15
^VVIX
REW

The current ^VVIX Sharpe Ratio is 0.56, which is higher than the REW Sharpe Ratio of -0.74. The chart below compares the historical Sharpe Ratios of ^VVIX and REW, 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.56
-0.75
^VVIX
REW

Drawdowns

^VVIX vs. REW - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum REW drawdown of -99.98%. Use the drawdown chart below to compare losses from any high point for ^VVIX and REW. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-34.35%
-99.98%
^VVIX
REW

Volatility

^VVIX vs. REW - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 29.34% compared to ProShares UltraShort Technology (REW) at 9.90%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than REW 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
29.34%
9.90%
^VVIX
REW
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