UVIX vs. ^VIX
Compare and contrast key facts about Volatility Shares 2x Long VIX Futures ETF (UVIX) and CBOE Volatility Index (^VIX).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: UVIX or ^VIX.
Key characteristics
| UVIX | ^VIX | |
|---|---|---|
| YTD Return | -75.16% | 12.61% |
| 1Y Return | -84.89% | -0.99% |
| Sharpe Ratio | -0.56 | 0.09 |
| Sortino Ratio | -1.05 | 1.16 |
| Omega Ratio | 0.88 | 1.14 |
| Calmar Ratio | -0.85 | 0.12 |
| Martin Ratio | -1.34 | 0.32 |
| Ulcer Index | 63.59% | 33.14% |
| Daily Std Dev | 151.36% | 119.90% |
| Max Drawdown | -99.74% | -88.70% |
| Current Drawdown | -99.74% | -83.05% |
Correlation
The correlation between UVIX and ^VIX is 0.87, 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. ^VIX - Performance Comparison
In the year-to-date period, UVIX achieves a -75.16% return, which is significantly lower than ^VIX's 12.61% 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
UVIX vs. ^VIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Volatility Shares 2x Long VIX Futures ETF (UVIX) 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.
Drawdowns
UVIX vs. ^VIX - Drawdown Comparison
The maximum UVIX drawdown since its inception was -99.74%, which is greater than ^VIX's maximum drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for UVIX and ^VIX. For additional features, visit the drawdowns tool.
Volatility
UVIX vs. ^VIX - Volatility Comparison
Volatility Shares 2x Long VIX Futures ETF (UVIX) has a higher volatility of 35.48% compared to CBOE Volatility Index (^VIX) at 31.87%. This indicates that UVIX's price experiences larger fluctuations and is considered to be riskier than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.