^VIX vs. VIXM
^VIX (CBOE Volatility Index) is an index, while VIXM (ProShares VIX Mid-Term Futures ETF) is Volatility fund tracking the S&P 500 VIX Mid-Term Futures Index. Over the past 10 years, ^VIX returned 3.08%/yr vs -11.64%/yr for VIXM. A 0.77 correlation means they provide meaningful diversification when combined.
Performance
^VIX vs. VIXM - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 14.78% return, which is significantly higher than VIXM's -5.83% return. Over the past 10 years, ^VIX has outperformed VIXM with an annualized return of 3.08%, while VIXM has yielded a comparatively lower -11.64% annualized return.
^VIX
- 1D
- 14.17%
- 1M
- -2.94%
- 6M
- 13.49%
- YTD
- 14.78%
- 1Y
- 4.63%
- 3Y*
- 8.76%
- 5Y*
- 1.00%
- 10Y*
- 3.08%
VIXM
- 1D
- 0.49%
- 1M
- -5.64%
- 6M
- -3.49%
- YTD
- -5.83%
- 1Y
- -13.43%
- 3Y*
- -9.98%
- 5Y*
- -14.38%
- 10Y*
- -11.64%
^VIX vs. VIXM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 14.78% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
VIXM ProShares VIX Mid-Term Futures ETF | -5.83% | 5.60% | -13.67% | -44.83% | -0.69% | -16.70% | 72.38% | -20.38% | 26.43% | -50.05% |
Correlation
The correlation between ^VIX and VIXM is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2011 | 0.77 |
The correlation between ^VIX and VIXM has been stable across timeframes, ranging from 0.77 to 0.80 - a consistent structural relationship.
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Return for Risk
^VIX vs. VIXM — Risk / Return Rank
^VIX
VIXM
^VIX vs. VIXM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and ProShares VIX Mid-Term Futures ETF (VIXM). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^VIX | VIXM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.76 | ||
| Sortino ratioReturn per unit of downside risk | +1.95 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 0.89 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 0.09 | -0.70 | +0.79 |
| Martin ratioReturn relative to average drawdown | 0.14 | -1.46 | +1.60 |
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Drawdowns
^VIX vs. VIXM - Drawdown Comparison
The maximum ^VIX drawdown since its inception was -88.70%, smaller than the maximum VIXM drawdown of -96.23%. Use the drawdown chart below to compare losses from any high point for ^VIX and VIXM.
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Drawdown Indicators
| ^VIX | VIXM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.70% | -96.23% | +7.53% |
Max Drawdown (1Y)Largest decline over 1 year | -51.59% | -19.16% | -32.43% |
Max Drawdown (3Y)Largest decline over 3 years | -74.26% | -37.26% | -37.00% |
Max Drawdown (5Y)Largest decline over 5 years | -74.26% | -63.40% | -10.86% |
Max Drawdown (10Y)Largest decline over 10 years | -85.66% | -72.55% | -13.11% |
Current DrawdownCurrent decline from peak | -79.25% | -96.05% | +16.80% |
Average DrawdownAverage peak-to-trough decline | -64.09% | -81.59% | +17.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 32.36% | 9.23% | +23.13% |
Volatility
^VIX vs. VIXM - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 34.86% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 3.55%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than VIXM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VIX | VIXM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 34.86% | 3.55% | +31.31% |
Volatility (6M)Calculated over the trailing 6-month period | 92.44% | 14.02% | +78.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.55% | 18.66% | +105.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.59% | 30.60% | +96.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.48% | 32.63% | +103.85% |
Frequently Asked Questions
^VIX and VIXM have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (34.86%) compared to VIXM (3.55%). In terms of maximum drawdown, ^VIX dropped -88.70% vs VIXM's -96.23%.
^VIX currently has the higher Sharpe Ratio (0.04 vs -0.72), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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