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

Correlation

The correlation between VXX and VIXY 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

VXX vs. VIXY - Performance Comparison

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

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

Key characteristics

Sharpe Ratio

VXX:

-0.40

VIXY:

-0.40

Sortino Ratio

VXX:

-0.20

VIXY:

-0.20

Omega Ratio

VXX:

0.98

VIXY:

0.98

Calmar Ratio

VXX:

-0.31

VIXY:

-0.32

Martin Ratio

VXX:

-0.93

VIXY:

-0.95

Ulcer Index

VXX:

33.49%

VIXY:

34.29%

Daily Std Dev

VXX:

78.04%

VIXY:

80.73%

Max Drawdown

VXX:

-99.08%

VIXY:

-100.00%

Current Drawdown

VXX:

-98.91%

VIXY:

-100.00%

Returns By Period

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


VXX

YTD

-22.55%

1M

0.90%

6M

6.47%

1Y

-27.63%

5Y*

-45.20%

10Y*

N/A

VIXY

YTD

-24.19%

1M

0.13%

6M

5.07%

1Y

-29.09%

5Y*

-45.74%

10Y*

-47.67%

Compare stocks, funds, or ETFs

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


VXX vs. VIXY - Expense Ratio Comparison

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

VXX vs. VIXY - 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 VIX Short-Term Futures ETF (VIXY). 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 VXX, currently valued at -0.40, compared to the broader market0.002.004.00-0.40-0.40
The chart of Sortino ratio for VXX, 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 VXX, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.980.98
The chart of Calmar ratio for VXX, currently valued at -0.31, compared to the broader market0.005.0010.0015.00-0.31-0.33
The chart of Martin ratio for VXX, currently valued at -0.93, compared to the broader market0.0020.0040.0060.0080.00100.00-0.93-0.95
VXX
VIXY

The current VXX Sharpe Ratio is -0.40, which is comparable to the VIXY Sharpe Ratio of -0.40. The chart below compares the historical Sharpe Ratios of VXX and VIXY, 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
VXX
VIXY

Dividends

VXX vs. VIXY - Dividend Comparison

Neither VXX nor VIXY has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

VXX vs. VIXY - Drawdown Comparison

The maximum VXX drawdown since its inception was -99.08%, roughly equal to the maximum VIXY drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for VXX and VIXY. For additional features, visit the drawdowns tool.


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

Volatility

VXX vs. VIXY - Volatility Comparison

iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares VIX Short-Term Futures ETF (VIXY) have volatilities of 25.29% and 25.76%, 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
25.29%
25.76%
VXX
VIXY
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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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