^VVIX vs. VXX
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX).
VXX is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 19, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VVIX or VXX.
Key characteristics
| ^VVIX | VXX | |
|---|---|---|
| YTD Return | 17.16% | -21.41% |
| 1Y Return | 23.52% | -38.74% |
| 3Y Return (Ann) | -5.35% | -51.43% |
| 5Y Return (Ann) | 0.58% | -49.50% |
| Sharpe Ratio | 0.13 | -0.53 |
| Daily Std Dev | 94.76% | 76.53% |
| Max Drawdown | -78.10% | -99.08% |
| Current Drawdown | -50.92% | -98.90% |
Correlation
The correlation between ^VVIX and VXX is 0.73, 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.
Performance
^VVIX vs. VXX - Performance Comparison
In the year-to-date period, ^VVIX achieves a 17.16% return, which is significantly higher than VXX's -21.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^VVIX vs. VXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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. VXX - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum VXX drawdown of -99.08%. Use the drawdown chart below to compare losses from any high point for ^VVIX and VXX. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. VXX - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 43.48% compared to iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) at 25.97%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.