VIXM vs. ^VIX
Compare and contrast key facts about ProShares VIX Mid-Term Futures ETF (VIXM) and CBOE Volatility Index (^VIX).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VIXM or ^VIX.
Key characteristics
| VIXM | ^VIX | |
|---|---|---|
| YTD Return | -16.24% | 12.61% |
| 1Y Return | -22.83% | -0.99% |
| 3Y Return (Ann) | -22.38% | -4.71% |
| 5Y Return (Ann) | -8.71% | 2.97% |
| 10Y Return (Ann) | -13.58% | 0.50% |
| Sharpe Ratio | -0.60 | 0.09 |
| Sortino Ratio | -0.81 | 1.16 |
| Omega Ratio | 0.89 | 1.14 |
| Calmar Ratio | -0.24 | 0.12 |
| Martin Ratio | -1.24 | 0.32 |
| Ulcer Index | 18.46% | 33.14% |
| Daily Std Dev | 37.92% | 119.90% |
| Max Drawdown | -96.20% | -88.70% |
| Current Drawdown | -96.15% | -83.05% |
Correlation
The correlation between VIXM and ^VIX is 0.77, 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. ^VIX - Performance Comparison
In the year-to-date period, VIXM achieves a -16.24% return, which is significantly lower than ^VIX's 12.61% return. Over the past 10 years, VIXM has underperformed ^VIX with an annualized return of -13.58%, while ^VIX has yielded a comparatively higher 0.50% annualized 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
VIXM vs. ^VIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Mid-Term Futures ETF (VIXM) 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
VIXM vs. ^VIX - Drawdown Comparison
The maximum VIXM drawdown since its inception was -96.20%, which is greater than ^VIX's maximum drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for VIXM and ^VIX. For additional features, visit the drawdowns tool.
Volatility
VIXM vs. ^VIX - Volatility Comparison
The current volatility for ProShares VIX Mid-Term Futures ETF (VIXM) is 8.55%, while CBOE Volatility Index (^VIX) has a volatility of 31.87%. This indicates that VIXM 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.