VXX vs. UVXY
Compare and contrast key facts about iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Ultra VIX Short-Term Futures ETF (UVXY).
VXX and UVXY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. UVXY is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX SHORT-TERM FUTURES TR (150%). It was launched on Oct 3, 2011. Both VXX and UVXY 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: VXX or UVXY.
Key characteristics
| VXX | UVXY | |
|---|---|---|
| YTD Return | -29.87% | -52.56% |
| 1Y Return | -44.36% | -66.80% |
| 3Y Return (Ann) | -48.96% | -70.37% |
| 5Y Return (Ann) | -47.82% | -69.98% |
| Sharpe Ratio | -0.60 | -0.61 |
| Sortino Ratio | -0.82 | -0.91 |
| Omega Ratio | 0.91 | 0.90 |
| Calmar Ratio | -0.45 | -0.67 |
| Martin Ratio | -1.29 | -1.38 |
| Ulcer Index | 34.82% | 48.86% |
| Daily Std Dev | 74.10% | 110.14% |
| Max Drawdown | -99.08% | -100.00% |
| Current Drawdown | -99.01% | -100.00% |
Correlation
The correlation between VXX and UVXY 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.
Performance
VXX vs. UVXY - Performance Comparison
In the year-to-date period, VXX achieves a -29.87% return, which is significantly higher than UVXY's -52.56% 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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VXX vs. UVXY - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is lower than UVXY's 0.95% expense ratio.
Risk-Adjusted Performance
VXX vs. UVXY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Ultra VIX Short-Term Futures ETF (UVXY). 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
VXX vs. UVXY - Dividend Comparison
Neither VXX nor UVXY has paid dividends to shareholders.
Drawdowns
VXX vs. UVXY - Drawdown Comparison
The maximum VXX drawdown since its inception was -99.08%, roughly equal to the maximum UVXY drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for VXX and UVXY. For additional features, visit the drawdowns tool.
Volatility
VXX vs. UVXY - Volatility Comparison
The current volatility for iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) is 17.32%, while ProShares Ultra VIX Short-Term Futures ETF (UVXY) has a volatility of 26.62%. This indicates that VXX experiences smaller price fluctuations and is considered to be less risky than UVXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.