VIXY vs. VXX
Compare and contrast key facts about ProShares VIX Short-Term Futures ETF (VIXY) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX).
VIXY and VXX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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 VIXY 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: VIXY or VXX.
Performance
VIXY vs. VXX - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with VIXY having a -24.29% return and VXX slightly higher at -23.24%.
VIXY
-24.29%
-7.03%
1.84%
-35.37%
-47.20%
-47.49%
VXX
-23.24%
-6.84%
2.78%
-34.55%
-46.76%
N/A
Key characteristics
| VIXY | VXX | |
|---|---|---|
| Sharpe Ratio | -0.45 | -0.46 |
| Sortino Ratio | -0.36 | -0.38 |
| Omega Ratio | 0.96 | 0.96 |
| Calmar Ratio | -0.35 | -0.34 |
| Martin Ratio | -1.04 | -1.04 |
| Ulcer Index | 33.56% | 32.80% |
| Daily Std Dev | 77.31% | 74.62% |
| Max Drawdown | -100.00% | -99.08% |
| Current Drawdown | -100.00% | -98.92% |
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VIXY vs. VXX - Expense Ratio Comparison
VIXY has a 0.85% expense ratio, which is lower than VXX's 0.89% expense ratio.
Correlation
The correlation between VIXY and VXX is 0.97, 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. VXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Short-Term Futures ETF (VIXY) 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
VIXY vs. VXX - Dividend Comparison
Neither VIXY nor VXX has paid dividends to shareholders.
Drawdowns
VIXY vs. VXX - Drawdown Comparison
The maximum VIXY drawdown since its inception was -100.00%, roughly equal to the maximum VXX drawdown of -99.08%. Use the drawdown chart below to compare losses from any high point for VIXY and VXX. For additional features, visit the drawdowns tool.
Volatility
VIXY vs. VXX - Volatility Comparison
ProShares VIX Short-Term Futures ETF (VIXY) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) have volatilities of 19.63% and 19.22%, 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.