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 -26.18% return, which is significantly lower than ^VVIX's 11.97% return. Over the past 10 years, VIXY has underperformed ^VVIX with an annualized return of -47.75%, while ^VVIX has yielded a comparatively higher 2.06% annualized return.
VIXY
-26.18%
-9.49%
3.15%
-37.74%
-47.80%
-47.75%
^VVIX
11.97%
-3.55%
25.44%
19.02%
0.26%
2.06%
Key characteristics
| VIXY | ^VVIX | |
|---|---|---|
| Sharpe Ratio | -0.49 | 0.11 |
| Sortino Ratio | -0.49 | 0.99 |
| Omega Ratio | 0.94 | 1.11 |
| Calmar Ratio | -0.38 | 0.17 |
| Martin Ratio | -1.13 | 0.42 |
| Ulcer Index | 33.75% | 26.18% |
| Daily Std Dev | 77.26% | 94.84% |
| Max Drawdown | -100.00% | -78.10% |
| Current Drawdown | -100.00% | -53.10% |
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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 20.00%, while CBOE VIX Volatility Index (^VVIX) has a volatility of 28.16%. 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.