VXX vs. VIXY
Compare and contrast key facts about iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares VIX Short-Term Futures ETF (VIXY).
VXX and VIXY 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. 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. Both VXX and VIXY 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 VIXY.
Key characteristics
| VXX | VIXY | |
|---|---|---|
| YTD Return | -29.87% | -30.82% |
| 1Y Return | -44.36% | -45.06% |
| 3Y Return (Ann) | -48.96% | -49.61% |
| 5Y Return (Ann) | -47.82% | -48.26% |
| Sharpe Ratio | -0.60 | -0.59 |
| Sortino Ratio | -0.82 | -0.79 |
| Omega Ratio | 0.91 | 0.91 |
| Calmar Ratio | -0.45 | -0.46 |
| Martin Ratio | -1.29 | -1.28 |
| Ulcer Index | 34.82% | 35.51% |
| Daily Std Dev | 74.10% | 76.82% |
| Max Drawdown | -99.08% | -100.00% |
| Current Drawdown | -99.01% | -100.00% |
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.
Performance
VXX vs. VIXY - Performance Comparison
The year-to-date returns for both stocks are quite close, with VXX having a -29.87% return and VIXY slightly lower at -30.82%. 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. VIXY - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is higher than VIXY's 0.85% expense ratio.
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.
Dividends
VXX vs. VIXY - Dividend Comparison
Neither VXX nor VIXY has paid dividends to shareholders.
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.
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 17.32% and 17.79%, 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.