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

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.


-0.50.00.51.00.8

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.

-100.00%-50.00%0.00%50.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
33.74%
-99.99%
^VVIX
VIXY

Key characteristics

Sharpe Ratio

^VVIX:

0.29

VIXY:

-0.40

Sortino Ratio

^VVIX:

1.30

VIXY:

-0.20

Omega Ratio

^VVIX:

1.15

VIXY:

0.98

Calmar Ratio

^VVIX:

0.45

VIXY:

-0.32

Martin Ratio

^VVIX:

1.01

VIXY:

-0.95

Ulcer Index

^VVIX:

29.21%

VIXY:

34.29%

Daily Std Dev

^VVIX:

100.58%

VIXY:

80.73%

Max Drawdown

^VVIX:

-78.10%

VIXY:

-100.00%

Current Drawdown

^VVIX:

-45.08%

VIXY:

-100.00%

Returns By Period

In the year-to-date period, ^VVIX achieves a 31.11% return, which is significantly higher than VIXY's -24.19% return. Over the past 10 years, ^VVIX has outperformed VIXY with an annualized return of 1.86%, while VIXY has yielded a comparatively lower -47.67% annualized return.


^VVIX

YTD

31.11%

1M

11.56%

6M

36.85%

1Y

26.89%

5Y*

2.78%

10Y*

1.86%

VIXY

YTD

-24.19%

1M

0.13%

6M

5.07%

1Y

-29.09%

5Y*

-45.74%

10Y*

-47.67%

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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.


Sharpe ratio
The chart of Sharpe ratio for ^VVIX, currently valued at 0.29, compared to the broader market0.001.002.000.29-0.30
The chart of Sortino ratio for ^VVIX, currently valued at 1.30, compared to the broader market-1.000.001.002.003.001.300.05
The chart of Omega ratio for ^VVIX, currently valued at 1.15, compared to the broader market0.901.001.101.201.301.401.151.01
The chart of Calmar ratio for ^VVIX, currently valued at 0.45, compared to the broader market0.001.002.003.000.45-0.24
The chart of Martin ratio for ^VVIX, currently valued at 1.01, compared to the broader market0.005.0010.0015.0020.001.01-0.73
^VVIX
VIXY

The current ^VVIX Sharpe Ratio is 0.29, which is higher than the VIXY Sharpe Ratio of -0.40. 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.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.29
-0.30
^VVIX
VIXY

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.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-45.08%
-100.00%
^VVIX
VIXY

Volatility

^VVIX vs. VIXY - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 34.95% compared to ProShares VIX Short-Term Futures ETF (VIXY) at 25.76%. 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.


10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
34.95%
25.76%
^VVIX
VIXY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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