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VIXY vs. VXX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.01.0

Performance

VIXY vs. VXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares VIX Short-Term Futures ETF (VIXY) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). The values are adjusted to include any dividend payments, if applicable.

-97.50%-97.00%-96.50%-96.00%-95.50%-95.00%JulyAugustSeptemberOctoberNovemberDecember
-97.37%
-97.24%
VIXY
VXX

Key characteristics

Sharpe Ratio

VIXY:

-0.40

VXX:

-0.40

Sortino Ratio

VIXY:

-0.20

VXX:

-0.20

Omega Ratio

VIXY:

0.98

VXX:

0.98

Calmar Ratio

VIXY:

-0.32

VXX:

-0.31

Martin Ratio

VIXY:

-0.95

VXX:

-0.93

Ulcer Index

VIXY:

34.29%

VXX:

33.49%

Daily Std Dev

VIXY:

80.73%

VXX:

78.04%

Max Drawdown

VIXY:

-100.00%

VXX:

-99.08%

Current Drawdown

VIXY:

-100.00%

VXX:

-98.91%

Returns By Period

In the year-to-date period, VIXY achieves a -24.19% return, which is significantly lower than VXX's -22.55% return.


VIXY

YTD

-24.19%

1M

0.13%

6M

5.07%

1Y

-29.09%

5Y*

-45.74%

10Y*

-47.67%

VXX

YTD

-22.55%

1M

0.90%

6M

6.47%

1Y

-27.63%

5Y*

-45.20%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VIXY vs. VXX - Expense Ratio Comparison

VIXY has a 0.85% expense ratio, which is lower than VXX's 0.89% expense ratio.


VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
Expense ratio chart for VXX: current value at 0.89% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.89%
Expense ratio chart for VIXY: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%

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.


Sharpe ratio
The chart of Sharpe ratio for VIXY, currently valued at -0.40, compared to the broader market0.002.004.00-0.40-0.40
The chart of Sortino ratio for VIXY, currently valued at -0.20, compared to the broader market-2.000.002.004.006.008.0010.00-0.20-0.20
The chart of Omega ratio for VIXY, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.980.98
The chart of Calmar ratio for VIXY, currently valued at -0.33, compared to the broader market0.005.0010.0015.00-0.33-0.31
The chart of Martin ratio for VIXY, currently valued at -0.95, compared to the broader market0.0020.0040.0060.0080.00100.00-0.95-0.93
VIXY
VXX

The current VIXY Sharpe Ratio is -0.40, which is comparable to the VXX Sharpe Ratio of -0.40. The chart below compares the historical Sharpe Ratios of VIXY and VXX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.20-1.00-0.80-0.60-0.40-0.20JulyAugustSeptemberOctoberNovemberDecember
-0.40
-0.40
VIXY
VXX

Dividends

VIXY vs. VXX - Dividend Comparison

Neither VIXY nor VXX has paid dividends to shareholders.


Tickers have no history of dividend payments

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.


-99.20%-99.00%-98.80%-98.60%-98.40%-98.20%-98.00%JulyAugustSeptemberOctoberNovemberDecember
-98.96%
-98.91%
VIXY
VXX

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 25.76% and 25.29%, 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.


10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
25.76%
25.29%
VIXY
VXX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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