^VVIX vs. VIXY
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) and ProShares VIX Short-Term Futures ETF (VIXY).
VIXY is a passively managed fund by ProFund Advisors LLC that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 3, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VVIX or VIXY.
Performance
^VVIX vs. VIXY - Performance Comparison
Returns By Period
In the year-to-date period, ^VVIX achieves a 16.49% return, which is significantly higher than VIXY's -24.29% return. Over the past 10 years, ^VVIX has outperformed VIXY with an annualized return of 2.48%, while VIXY has yielded a comparatively lower -47.49% annualized return.
^VVIX
16.49%
0.80%
19.71%
21.49%
1.41%
2.48%
VIXY
-24.29%
-7.03%
1.84%
-35.37%
-47.20%
-47.49%
Key characteristics
| ^VVIX | VIXY | |
|---|---|---|
| Sharpe Ratio | 0.19 | -0.45 |
| Sortino Ratio | 1.10 | -0.36 |
| Omega Ratio | 1.12 | 0.96 |
| Calmar Ratio | 0.28 | -0.35 |
| Martin Ratio | 0.68 | -1.04 |
| Ulcer Index | 26.44% | 33.56% |
| Daily Std Dev | 94.96% | 77.31% |
| Max Drawdown | -78.10% | -100.00% |
| Current Drawdown | -51.20% | -100.00% |
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Correlation
The correlation between ^VVIX and VIXY is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
^VVIX vs. VIXY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and ProShares VIX Short-Term Futures ETF (VIXY). 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.
Drawdowns
^VVIX vs. VIXY - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum VIXY drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VVIX and VIXY. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. VIXY - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 27.49% compared to ProShares VIX Short-Term Futures ETF (VIXY) at 19.63%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than VIXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.