UVIX vs. VXX
Compare and contrast key facts about Volatility Shares 2x Long VIX Futures ETF (UVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX).
UVIX and VXX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. UVIX is a passively managed fund by Volatility Shares that tracks the performance of the Long VIX Futures Index – Benchmark TR Gross (200%). It was launched on Mar 28, 2022. 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. Both UVIX and VXX are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: UVIX or VXX.
Key characteristics
| UVIX | VXX | |
|---|---|---|
| YTD Return | -75.16% | -29.87% |
| 1Y Return | -84.89% | -44.36% |
| Sharpe Ratio | -0.56 | -0.60 |
| Sortino Ratio | -1.05 | -0.82 |
| Omega Ratio | 0.88 | 0.91 |
| Calmar Ratio | -0.85 | -0.45 |
| Martin Ratio | -1.34 | -1.29 |
| Ulcer Index | 63.59% | 34.82% |
| Daily Std Dev | 151.36% | 74.10% |
| Max Drawdown | -99.74% | -99.08% |
| Current Drawdown | -99.74% | -99.01% |
Correlation
The correlation between UVIX and VXX is 0.95, 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
UVIX vs. VXX - Performance Comparison
In the year-to-date period, UVIX achieves a -75.16% return, which is significantly lower than VXX's -29.87% 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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UVIX vs. VXX - Expense Ratio Comparison
UVIX has a 2.78% expense ratio, which is higher than VXX's 0.89% expense ratio.
Risk-Adjusted Performance
UVIX vs. VXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Volatility Shares 2x Long VIX Futures ETF (UVIX) 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.
Dividends
UVIX vs. VXX - Dividend Comparison
Neither UVIX nor VXX has paid dividends to shareholders.
Drawdowns
UVIX vs. VXX - Drawdown Comparison
The maximum UVIX drawdown since its inception was -99.74%, roughly equal to the maximum VXX drawdown of -99.08%. Use the drawdown chart below to compare losses from any high point for UVIX and VXX. For additional features, visit the drawdowns tool.
Volatility
UVIX vs. VXX - Volatility Comparison
Volatility Shares 2x Long VIX Futures ETF (UVIX) has a higher volatility of 35.48% compared to iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) at 17.32%. This indicates that UVIX'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.