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^VVIX vs. VIXY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VVIX and VIXY is -0.66. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

^VVIX vs. VIXY - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^VVIX:

0.19

VIXY:

0.16

Sortino Ratio

^VVIX:

1.21

VIXY:

1.05

Omega Ratio

^VVIX:

1.14

VIXY:

1.13

Calmar Ratio

^VVIX:

0.32

VIXY:

0.14

Martin Ratio

^VVIX:

0.58

VIXY:

0.34

Ulcer Index

^VVIX:

35.87%

VIXY:

39.86%

Daily Std Dev

^VVIX:

116.36%

VIXY:

98.61%

Max Drawdown

^VVIX:

-78.10%

VIXY:

-100.00%

Current Drawdown

^VVIX:

-53.52%

VIXY:

-99.99%

Returns By Period

In the year-to-date period, ^VVIX achieves a -7.51% return, which is significantly lower than VIXY's 14.88% return. Over the past 10 years, ^VVIX has outperformed VIXY with an annualized return of 2.01%, while VIXY has yielded a comparatively lower -44.95% annualized return.


^VVIX

YTD

-7.51%

1M

-2.49%

6M

10.01%

1Y

22.00%

3Y*

1.00%

5Y*

-2.41%

10Y*

2.01%

VIXY

YTD

14.88%

1M

-16.46%

6M

20.25%

1Y

16.07%

3Y*

-47.42%

5Y*

-53.01%

10Y*

-44.95%

*Annualized

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CBOE VIX Volatility Index

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

^VVIX vs. VIXY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^VVIX
The Risk-Adjusted Performance Rank of ^VVIX is 5353
Overall Rank
The Sharpe Ratio Rank of ^VVIX is 3030
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VVIX is 8484
Sortino Ratio Rank
The Omega Ratio Rank of ^VVIX is 7575
Omega Ratio Rank
The Calmar Ratio Rank of ^VVIX is 4444
Calmar Ratio Rank
The Martin Ratio Rank of ^VVIX is 3333
Martin Ratio Rank

VIXY
The Risk-Adjusted Performance Rank of VIXY is 4242
Overall Rank
The Sharpe Ratio Rank of VIXY is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of VIXY is 6969
Sortino Ratio Rank
The Omega Ratio Rank of VIXY is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VIXY is 2828
Calmar Ratio Rank
The Martin Ratio Rank of VIXY is 2525
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The current ^VVIX Sharpe Ratio is 0.19, which is comparable to the VIXY Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of ^VVIX and VIXY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

^VVIX vs. VIXY - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 23.96% compared to ProShares VIX Short-Term Futures ETF (VIXY) at 21.87%. 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.


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