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 -27.31%/yr vs 3.08%/yr for ^VIX. A 0.70 correlation means they provide meaningful diversification when combined.
Performance
TWM vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, TWM achieves a -30.99% return, which is significantly lower than ^VIX's 14.78% return. Over the past 10 years, TWM has underperformed ^VIX with an annualized return of -27.31%, while ^VIX has yielded a comparatively higher 3.08% annualized return.
TWM
- 1D
- 1.83%
- 1M
- -0.49%
- 6M
- -22.26%
- YTD
- -30.99%
- 1Y
- -44.75%
- 3Y*
- -27.78%
- 5Y*
- -18.87%
- 10Y*
- -27.31%
^VIX
- 1D
- 14.17%
- 1M
- -2.94%
- 6M
- 13.49%
- YTD
- 14.78%
- 1Y
- 4.63%
- 3Y*
- 8.76%
- 5Y*
- 1.00%
- 10Y*
- 3.08%
TWM vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWM ProShares UltraShort Russell2000 | -30.99% | -24.71% | -19.35% | -26.84% | 28.43% | -35.43% | -60.01% | -38.40% | 19.15% | -26.36% |
^VIX CBOE Volatility Index | 14.78% | -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 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (10Y) Calculated over the trailing 10-year period | 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 | -1.19 | ||
| Sortino ratioReturn per unit of downside risk | -2.79 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.12 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.89 | 0.09 | -0.98 |
| Martin ratioReturn relative to average drawdown | -1.44 | 0.14 | -1.58 |
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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% | -79.25% | -20.68% |
Average DrawdownAverage peak-to-trough decline | -87.32% | -64.09% | -23.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 31.21% | 32.36% | -1.15% |
Volatility
TWM vs. ^VIX - Volatility Comparison
The current volatility for ProShares UltraShort Russell2000 (TWM) is 9.88%, while CBOE Volatility Index (^VIX) has a volatility of 34.86%. 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 | 9.88% | 34.86% | -24.98% |
Volatility (6M)Calculated over the trailing 6-month period | 28.51% | 92.44% | -63.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 39.06% | 124.55% | -85.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 45.17% | 127.59% | -82.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 45.72% | 136.48% | -90.76% |
Frequently Asked Questions
TWM and ^VIX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (34.86%) compared to TWM (9.88%). In terms of maximum drawdown, TWM dropped -99.94% vs ^VIX's -88.70%.
^VIX currently has the higher Sharpe Ratio (0.04 vs -1.15), 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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