^VVIX vs. VIXY
^VVIX (CBOE VIX Volatility Index) is an index, while VIXY (ProShares VIX Short-Term Futures ETF) is Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return. Over the past 10 years, ^VVIX returned 1.28%/yr vs -47.13%/yr for VIXY. A 0.78 correlation means they provide meaningful diversification when combined.
Performance
^VVIX vs. VIXY - Performance Comparison
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Returns By Period
In the year-to-date period, ^VVIX achieves a -3.10% return, which is significantly higher than VIXY's -8.27% return. Over the past 10 years, ^VVIX has outperformed VIXY with an annualized return of 1.28%, while VIXY has yielded a comparatively lower -47.13% annualized return.
^VVIX
- 1D
- -0.81%
- 1M
- -8.64%
- YTD
- -3.10%
- 6M
- -2.80%
- 1Y
- -1.20%
- 3Y*
- 1.39%
- 5Y*
- -3.65%
- 10Y*
- 1.28%
VIXY
- 1D
- 0.26%
- 1M
- -15.15%
- YTD
- -8.27%
- 6M
- -22.71%
- 1Y
- -53.80%
- 3Y*
- -42.73%
- 5Y*
- -46.70%
- 10Y*
- -47.13%
^VVIX vs. VIXY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VVIX CBOE VIX Volatility Index | -3.10% | -11.18% | 19.97% | 12.86% | -29.74% | -1.96% | 18.87% | 8.02% | -13.55% | 10.00% |
VIXY ProShares VIX Short-Term Futures ETF | -8.27% | -43.05% | -27.43% | -72.74% | -24.98% | -72.40% | 10.54% | -67.81% | 66.78% | -72.78% |
Correlation
The correlation between ^VVIX and VIXY is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2011 | 0.78 |
The correlation between ^VVIX and VIXY has been stable across timeframes, ranging from 0.78 to 0.87 - a consistent structural relationship.
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Return for Risk
^VVIX vs. VIXY — Risk / Return Rank
^VVIX
VIXY
^VVIX vs. VIXY - Risk-Adjusted Trends 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.
| ^VVIX | VIXY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.95 | ||
| Sortino ratioReturn per unit of downside risk | +2.15 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 0.82 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | -0.95 | +0.92 |
| Martin ratioReturn relative to average drawdown | -0.05 | -1.34 | +1.29 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^VVIX | VIXY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.01 | -0.97 | +0.95 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.04 | -0.67 | +0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.01 | -0.65 | +0.67 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.01 | -0.69 | +0.71 |
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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Drawdown Indicators
| ^VVIX | VIXY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.10% | -100.00% | +21.90% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -56.72% | +17.78% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -81.00% | +28.25% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -95.92% | +42.85% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -99.87% | +35.16% |
Current DrawdownCurrent decline from peak | -56.74% | -100.00% | +43.26% |
Average DrawdownAverage peak-to-trough decline | -43.41% | -92.18% | +48.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 23.07% | 40.22% | -17.15% |
Volatility
^VVIX vs. VIXY - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 12.10% compared to ProShares VIX Short-Term Futures ETF (VIXY) at 8.03%. 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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Volatility by Period
| ^VVIX | VIXY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.10% | 8.03% | +4.07% |
Volatility (6M)Calculated over the trailing 6-month period | 59.20% | 41.47% | +17.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 82.74% | 55.89% | +26.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 87.14% | 70.31% | +16.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 85.81% | 72.48% | +13.33% |
Frequently Asked Questions
^VVIX and VIXY have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (12.10%) compared to VIXY (8.03%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs VIXY's -100.00%.
^VVIX currently has the higher Sharpe Ratio (-0.01 vs -0.97), 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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