VIXY vs. ^VVIX
Compare and contrast key facts about ProShares VIX Short-Term Futures ETF (VIXY) and CBOE VIX Volatility Index (^VVIX).
VIXY is a passively managed fund by ProFund Advisors LLC that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 3, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VIXY or ^VVIX.
Performance
VIXY vs. ^VVIX - Performance Comparison
Returns By Period
In the year-to-date period, VIXY achieves a -24.29% return, which is significantly lower than ^VVIX's 16.49% return. Over the past 10 years, VIXY has underperformed ^VVIX with an annualized return of -47.49%, while ^VVIX has yielded a comparatively higher 2.48% annualized return.
VIXY
-24.29%
-7.03%
1.84%
-35.37%
-47.20%
-47.49%
^VVIX
16.49%
0.80%
19.71%
21.49%
1.41%
2.48%
Key characteristics
| VIXY | ^VVIX | |
|---|---|---|
| Sharpe Ratio | -0.45 | 0.19 |
| Sortino Ratio | -0.36 | 1.10 |
| Omega Ratio | 0.96 | 1.12 |
| Calmar Ratio | -0.35 | 0.28 |
| Martin Ratio | -1.04 | 0.68 |
| Ulcer Index | 33.56% | 26.44% |
| Daily Std Dev | 77.31% | 94.96% |
| Max Drawdown | -100.00% | -78.10% |
| Current Drawdown | -100.00% | -51.20% |
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Correlation
The correlation between VIXY and ^VVIX 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.
Risk-Adjusted Performance
VIXY vs. ^VVIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Short-Term Futures ETF (VIXY) and CBOE VIX Volatility Index (^VVIX). 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
VIXY vs. ^VVIX - Drawdown Comparison
The maximum VIXY drawdown since its inception was -100.00%, which is greater than ^VVIX's maximum drawdown of -78.10%. Use the drawdown chart below to compare losses from any high point for VIXY and ^VVIX. For additional features, visit the drawdowns tool.
Volatility
VIXY vs. ^VVIX - Volatility Comparison
The current volatility for ProShares VIX Short-Term Futures ETF (VIXY) is 19.63%, while CBOE VIX Volatility Index (^VVIX) has a volatility of 27.49%. This indicates that VIXY experiences smaller price fluctuations and is considered to be less risky than ^VVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.