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 -28.49%/yr vs -2.75%/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 -32.09% return, which is significantly lower than ^VIX's 30.37% return. Over the past 10 years, TWM has underperformed ^VIX with an annualized return of -28.49%, while ^VIX has yielded a comparatively higher -2.75% annualized return.
TWM
- 1D
- 1.98%
- 1M
- -7.68%
- YTD
- -32.09%
- 6M
- -28.69%
- 1Y
- -50.37%
- 3Y*
- -30.94%
- 5Y*
- -17.34%
- 10Y*
- -28.49%
^VIX
- 1D
- 12.79%
- 1M
- 16.71%
- YTD
- 30.37%
- 6M
- 39.21%
- 1Y
- -1.71%
- 3Y*
- 13.19%
- 5Y*
- 4.06%
- 10Y*
- -2.75%
TWM vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWM ProShares UltraShort Russell2000 | -32.09% | -24.71% | -19.35% | -26.84% | 28.43% | -35.43% | -60.01% | -38.40% | 19.15% | -26.36% |
^VIX CBOE Volatility Index | 30.37% | -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 | -1.27 | ||
| Sortino ratioReturn per unit of downside risk | -3.03 | ||
| Omega ratioGain probability vs. loss probability | 0.78 | 1.11 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | -0.99 | -0.03 | -0.95 |
| Martin ratioReturn relative to average drawdown | -1.64 | -0.06 | -1.59 |
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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 | -51.15% | -50.66% | -0.49% |
Max Drawdown (3Y)Largest decline over 3 years | -74.07% | -74.26% | +0.19% |
Max Drawdown (5Y)Largest decline over 5 years | -76.44% | -74.26% | -2.18% |
Max Drawdown (10Y)Largest decline over 10 years | -96.79% | -85.66% | -11.13% |
Current DrawdownCurrent decline from peak | -99.93% | -76.43% | -23.50% |
Average DrawdownAverage peak-to-trough decline | -87.29% | -64.07% | -23.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.89% | 30.70% | +0.19% |
Volatility
TWM vs. ^VIX - Volatility Comparison
The current volatility for ProShares UltraShort Russell2000 (TWM) is 13.21%, while CBOE Volatility Index (^VIX) has a volatility of 49.16%. 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 | 13.21% | 49.16% | -35.95% |
Volatility (6M)Calculated over the trailing 6-month period | 28.79% | 91.13% | -62.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 39.41% | 124.01% | -84.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 45.25% | 127.78% | -82.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 45.84% | 136.67% | -90.83% |
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 (49.16%) compared to TWM (13.21%). In terms of maximum drawdown, TWM dropped -99.94% vs ^VIX's -88.70%.
^VIX currently has the higher Sharpe Ratio (-0.01 vs -1.28), 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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