Performance Comparison
Portfolio Performance Comparison
| Name | YTD Return | 1Yr AR | 3Yr AR | 5Yr AR | 10Yr AR | 15Yr AR | 20Yr AR | Common | Inception |
|---|---|---|---|---|---|---|---|---|---|
| ^VIX (VOLATILITY S&P 500) | NA | -23.33% | 11.39% | 6.74% | -7.22% | 2.19% | -1.29% | … | … |
Data as of 08/23/2021, Common starting date is 01/02/1990
More Performance Analytics Comparison
| Name | Start Date | End Date |
|---|---|---|
| ^VIX (VOLATILITY S&P 500) | 01/02/1990 | 08/23/2021 |
| Last 1 Week | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Common | Inception | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | 1990 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return (%) | 6.39 | -23.33 | 11.39 | 6.74 | -7.22 | 2.19 | -1.29 | … | … | -24.62 | 65.09 | -45.79 | 130.25 | -21.37 | -22.90 | -5.16 | 39.94 | -23.86 | -22.99 | 31.83 | -18.13 | -45.80 | 77.78 | 94.64 | -4.23 | -9.18 | -27.42 | -36.02 | 20.25 | -11.36 | 8.97 | 0.90 | 1.71 | 14.77 | 67.09 | -5.15 | 13.21 | -7.24 | -34.90 | -26.80 | 53.02 |
| Sharpe Ratio | NA | -0.19 | 0.08 | 0.04 | -0.06 | NA | NA | … | … | -0.25 | 0.46 | -0.58 | 0.68 | -0.37 | -0.46 | -0.17 | 0.18 | -0.39 | -0.43 | 0.10 | -0.32 | -0.72 | 0.47 | 0.55 | -0.28 | -0.36 | -0.61 | -0.90 | 0.01 | -0.38 | -0.68 | 0.29 | 0.35 | -0.39 | 0.75 | -0.90 | 0.15 | -0.08 | -0.50 | -0.27 | 0.45 |
| Standard Deviation(%) | NA | 128.15 | 134.16 | 133.76 | 125.64 | NA | NA | … | … | 141.91 | 140.30 | 118.90 | 159.42 | 108.84 | 122.37 | 137.30 | 117.36 | 108.59 | 97.91 | 132.40 | 115.78 | 88.93 | 124.17 | 131.95 | 94.16 | 83.31 | 77.31 | 61.79 | 90.97 | 86.85 | 87.68 | 90.51 | 101.03 | 82.19 | 91.26 | 75.08 | 99.70 | 84.86 | 69.92 | 99.44 | 116.56 |
| Draw Down(%) | NA | 62.59 | 81.78 | 81.78 | 81.78 | NA | NA | … | … | 59.50 | 75.12 | 54.66 | 70.93 | 43.02 | 59.95 | 65.27 | 52.95 | 42.22 | 49.55 | 56.81 | 66.26 | 65.63 | 50.53 | 47.71 | 58.42 | 42.33 | 47.96 | 55.09 | 48.62 | 51.07 | 50.64 | 47.18 | 55.82 | 40.71 | 36.38 | 34.18 | 53.54 | 46.18 | 45.24 | 61.46 | 45.98 |
| Yield(%) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | … | … | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Data as of 08/23/2021, Common starting date is 01/02/1990
Performance Comparison Chart
Annualized Rolling Returns Comparison (Minimum)
| Ticker/Portfolio Name | 3 Year | 5 Year | 10 Year | 15 Year |
|---|---|---|---|---|
| ^VIX (VOLATILITY S&P 500) |
-33.03%
Sep 2002 – Sep 2005 |
-25.49%
Oct 2008 – Oct 2013 |
-11.12%
Sep 2008 – Sep 2018 |
-9.09%
Sep 2002 – Sep 2017 |
Annualized Rolling Returns Comparison (Maximum)
| Ticker/Portfolio Name | 3 Year | 5 Year | 10 Year | 15 Year |
|---|---|---|---|---|
| ^VIX (VOLATILITY S&P 500) |
66.11%
Nov 2005 – Nov 2008 |
30.17%
Aug 1993 – Aug 1998 |
11.77%
Mar 2010 – Mar 2020 |
11.65%
Oct 1993 – Oct 2008 |
Annualized Rolling Returns Comparison Chart