TWM vs. ^VIX
TWM (ProShares UltraShort Russell2000) is Leveraged Equities fund tracking the Russell 2000 (-200%), while ^VIX (CBOE Volatility Index) is an index. Over the past 10 years, TWM returned -27.19%/yr vs 1.81%/yr for ^VIX. Their 0.70 correlation means they have sometimes moved together and sometimes differently.
Performance
TWM vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, TWM achieves a -29.75% return, which is significantly lower than ^VIX's 6.96% return. Over the past 10 years, TWM has underperformed ^VIX with an annualized return of -27.19%, while ^VIX has yielded a comparatively higher 1.81% annualized return.
TWM
- 1D
- 1.14%
- 1M
- 4.83%
- 6M
- -22.08%
- YTD
- -29.75%
- 1Y
- -47.19%
- 3Y*
- -25.83%
- 5Y*
- -18.13%
- 10Y*
- -27.19%
- ALL TIME*
- -27.90%
^VIX
- 1D
- -6.44%
- 1M
- -0.99%
- 6M
- -8.31%
- YTD
- 6.96%
- 1Y
- -21.54%
- 3Y*
- 4.70%
- 5Y*
- -2.60%
- 10Y*
- 1.81%
- ALL TIME*
- -0.21%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $12.61M | $12.23M | $13.72M |
TWM vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWM ProShares UltraShort Russell2000 | -29.75% | -24.71% | -19.35% | -26.84% | 28.43% | -35.43% | -60.01% | -38.40% | 19.15% | -26.36% |
^VIX CBOE Volatility Index | 6.96% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between TWM and ^VIX is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.67 |
Correlation (3Y) Balances recent behavior with more history. | 0.65 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.67 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.66 |
Correlation (All Time) Calculated using the full available price history since Jan 25, 2007 | 0.70 |
The correlation between TWM and ^VIX has been stable across timeframes, ranging from 0.65 to 0.70 - a consistent structural relationship.
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Return for Risk
TWM vs. ^VIX — Risk / Return Rank
TWM
^VIX
TWM vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Russell2000 (TWM) and CBOE Volatility Index (^VIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TWM | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.13 | ||
| Sortino ratioReturn per unit of downside risk | -2.72 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.11 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | -0.89 | -0.08 | -0.81 |
| Martin ratioReturn relative to average drawdown | -1.36 | -0.13 | -1.23 |
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Drawdowns
TWM vs. ^VIX - Drawdown Comparison
The maximum TWM drawdown since its inception was -99.94%, which is greater than ^VIX's maximum drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for TWM and ^VIX.
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Drawdown Indicators
| TWM | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.94% | -88.70% | -11.24% |
Max Drawdown (1Y)Largest decline over 1 year | -50.65% | -51.59% | +0.94% |
Max Drawdown (3Y)Largest decline over 3 years | -74.44% | -74.26% | -0.18% |
Max Drawdown (5Y)Largest decline over 5 years | -76.78% | -74.26% | -2.52% |
Max Drawdown (10Y)Largest decline over 10 years | -96.29% | -85.66% | -10.63% |
Current DrawdownCurrent decline from peak | -99.93% | -80.66% | -19.27% |
Average DrawdownAverage peak-to-trough decline | -87.36% | -64.12% | -23.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 33.18% | 33.86% | -0.68% |
Volatility
TWM vs. ^VIX - Volatility Comparison
The current volatility for ProShares UltraShort Russell2000 (TWM) is 7.56%, while CBOE Volatility Index (^VIX) has a volatility of 37.09%. This indicates that TWM experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TWM | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.56% | 37.09% | -29.53% |
Volatility (6M)Calculated over the trailing 6-month period | 28.41% | 92.23% | -63.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 38.75% | 127.66% | -88.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 44.99% | 127.54% | -82.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 45.74% | 136.71% | -90.97% |
Frequently Asked Questions
TWM and ^VIX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (37.09%) compared to TWM (7.56%). In terms of maximum drawdown, TWM dropped -99.94% vs ^VIX's -88.70%.
^VIX currently has the higher Sharpe Ratio (-0.03 vs -1.17), 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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