ProShares Short VIX ETF Volatility
| SVXY ETF | USD 50.91 -0.30 -0.59% |
Sharpe Ratio = -0.0321
Expected Return ↓
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← Lower RiskHigher Risk →
ProShares Short VIX posted a Market Risk Adjusted Performance of -0.02%, a Risk of 2.23, and a Risk Adjusted Performance of -0.01% for the reported period. Based on monthly moving averages, the ETF is not performing at its full potential.
Key indicators related to ProShares Short's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for ProShares Short (3 Months):
Beta 1.89 | Alpha -0.05 | Risk 2.23 | Sharpe Ratio -0.03 | Expected Return -0.07 |
Assets With Similar Volatility
| 0.9 | UDN | Invesco DB Dollar | PairCorr |
| 0.9 | CEFD | ETRACS Monthly Pay | PairCorr |
| 0.63 | DECT | AIM ETF Products | PairCorr |
| 0.68 | EPSB | Harbor SMID Cap | PairCorr |
| 0.78 | RSEE | Collaborative Investment Series | PairCorr |
| 0.68 | PPTY | US Diversified Real | PairCorr |
| 0.71 | HYEM | VanEck Emerging Markets | PairCorr |
| 0.63 | ESGV | Vanguard ESG Stock | PairCorr |
Lower Correlation Assets
| 0.97 | VIXM | ProShares VIX Mid Term | PairCorr |
| 0.97 | VXZ | iPath Series B | PairCorr |
| 0.95 | VXX | iPath Series B | PairCorr |
| 0.95 | VIXY | ProShares VIX Short Term | PairCorr |
| 0.9 | UUP | Invesco DB Dollar | PairCorr |
| 0.88 | EUO | ProShares UltraShort Euro | PairCorr |
| 0.7 | YCS | ProShares UltraShort Yen | PairCorr |
Sensitivity To Market
ProShares Short beta coefficient measures the volatility of ProShares Short ETF relative to the systematic risk of the broad market benchmark. A beta of 1.89 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 2.23%. ProShares Short VIX has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 2.28%, which summarize how widely returns have moved. For ProShares Short VIX, measured volatility may combine index movement with premium/discount dynamics. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |ProShares Short VIX Demand TrendCurrent 90-day ProShares Short correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far ProShares Short returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 2.23 |
It is essential to understand the difference between upside risk and downside risk for ProShares Short. Total volatility includes favorable moves, while downside deviation isolates the loss risk in ProShares Short's daily returns. ProShares Short VIX posted a Maximum Drawdown of 10.26 for the reported period.
ETF Volatility Analysis
Volatility refers to the frequency at which ProShares Short ETF price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same ETF.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between ProShares Short VIX's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
Given a 90-day horizon, ProShares Short has a beta of 1.8901. This usually implies when the benchmark rises, SVXY tends to outperform it on average. However, when benchmark returns turn negative, ProShares Short tends to underperform.ProShares Short is exposed to both systematic and unsystematic risk. Systematic risk reflects broader ETF market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. ProShares Short VIX posted a Mean Deviation of 1.73 and a Standard Deviation of 2.28 for the reported period.
Predicted Return Distribution |
| Density |
What Drives ProShares Short's Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Trading--Miscellaneous category can influence ProShares Short's price dispersion even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for ProShares Short.ProShares Short's Fund-Specific Factors
Flows in and out of the fund, tracking error, and premium-to-NAV shifts are common drivers of short-term price movement in ProShares Short's shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of ProShares Short is -3120.04. The daily returns are distributed with a variance of 4.97 and standard deviation of 2.23. The mean deviation of ProShares Short VIX is currently at 1.65. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0522 | |
β | Beta against Dow Jones | 1.89 | |
σ | Overall volatility | 2.23 | |
Ir | Information ratio | -0.0237 |
ETF Return Volatility
ProShares Short historical daily return volatility represents how much of ProShares Short ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF reported 2.2294% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9166% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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ProShares Short Competition Risk-Adjusted Indicators
Strong recent returns in ProShares Short ETF do not always mean ProShares Short ETF is outperforming peers on business quality. Risk-adjusted metrics help compare ProShares Short's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.69 | -0.12 | 0.00 | -0.10 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.36 | 0.01 | 0.01 | 0.02 | 1.76 | 3.11 | 8.57 | |||
| UBER | 1.66 | 0.05 | 0.02 | 0.05 | 2.00 | 3.61 | 11.61 | |||
| F | 1.54 | -0.14 | 0.00 | -0.11 | 0.00 | 4.11 | 9.26 | |||
| T | 1.16 | -0.10 | 0.00 | 0.33 | 0.00 | 2.34 | 7.75 | |||
| A | 1.43 | -0.20 | 0.00 | -0.21 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.09 | -0.11 | 0.00 | -1.46 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.13 | -0.06 | 0.00 | -0.05 | 0.00 | 2.16 | 8.17 | |||
| MRK | 1.15 | -0.08 | 0.00 | -0.17 | 0.00 | 2.73 | 7.67 | |||
| XOM | 1.40 | -0.02 | 0.00 | 0.02 | 0.00 | 2.67 | 8.59 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for ProShares Short identifies whether the fund is currently in a high, low, or transitioning dispersion state. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
ProShares Short VIX values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that ProShares Short VIX is more volatile than Dow Jones Industrial by approximately 2.42x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 20% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.ProShares Short VIX exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View ProShares Short probability analysis.
Minimal diversification benefit
For the present investment horizon, the measured correlation between ProShares Short and Dow Jones stands at 0.93, or Minimal diversification benefit. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
A broader risk-indicator set for ProShares Short VIX extends the analysis beyond standard volatility and risk measures. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | -0.02 | |||
| Mean Deviation | 1.73 | |||
| Coefficient Of Variation | -4,933 | |||
| Standard Deviation | 2.28 | |||
| Variance | 5.2 | |||
| Information Ratio | -0.02 |
ProShares Short Suggested Diversification Pairs
A paired position built around ProShares Short VIX reduces directional market exposure while expressing a relative-value view. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against ProShares Short as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. ProShares Short's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, ProShares Short's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to ProShares Short VIX.
More Resources for ProShares Short ETF Analysis
NAV captures ProShares Short portfolio value, while market price captures the collective view of trading participants. Key evaluation factors for ProShares Short include expense ratio, premium-to-NAV history, and holdings diversification.
ProShares Short market price and NAV can differ because they are formed through different mechanisms. Analysis looks at fund structure, cost efficiency, portfolio composition, and tracking deviation.