VIXM vs. VXZ
Compare and contrast key facts about ProShares VIX Mid-Term Futures ETF (VIXM) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ).
VIXM is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Mid-Term Futures Index. It was launched on Jan 4, 2011. VXZ is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Mid-Term Futures Index Total Return. It was launched on Jan 17, 2018. Both VIXM and VXZ 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: VIXM or VXZ.
Key characteristics
| VIXM | VXZ | |
|---|---|---|
| YTD Return | -15.94% | -15.47% |
| 1Y Return | -22.59% | -22.04% |
| 3Y Return (Ann) | -22.31% | -21.49% |
| 5Y Return (Ann) | -8.88% | -8.10% |
| Sharpe Ratio | -0.59 | -0.73 |
| Sortino Ratio | -0.79 | -1.06 |
| Omega Ratio | 0.90 | 0.88 |
| Calmar Ratio | -0.23 | -0.31 |
| Martin Ratio | -1.22 | -1.37 |
| Ulcer Index | 18.40% | 15.85% |
| Daily Std Dev | 37.92% | 29.82% |
| Max Drawdown | -96.20% | -68.91% |
| Current Drawdown | -96.13% | -68.24% |
Correlation
The correlation between VIXM and VXZ is 0.89, 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
VIXM vs. VXZ - Performance Comparison
The year-to-date returns for both investments are quite close, with VIXM having a -15.94% return and VXZ slightly higher at -15.47%. 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
VIXM vs. VXZ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Mid-Term Futures ETF (VIXM) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). 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
VIXM vs. VXZ - Dividend Comparison
Neither VIXM nor VXZ has paid dividends to shareholders.
Drawdowns
VIXM vs. VXZ - Drawdown Comparison
The maximum VIXM drawdown since its inception was -96.20%, which is greater than VXZ's maximum drawdown of -68.91%. Use the drawdown chart below to compare losses from any high point for VIXM and VXZ. For additional features, visit the drawdowns tool.
Volatility
VIXM vs. VXZ - Volatility Comparison
ProShares VIX Mid-Term Futures ETF (VIXM) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) have volatilities of 8.59% and 8.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.