VXZ vs. VIXM
Compare and contrast key facts about iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and ProShares VIX Mid-Term Futures ETF (VIXM).
VXZ is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Mid-Term Futures Index Total Return. It was launched on Jan 17, 2018. VIXM is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Mid-Term Futures Index. It was launched on Jan 4, 2011. Both VXZ and VIXM 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: VXZ or VIXM.
Key characteristics
| VXZ | VIXM | |
|---|---|---|
| YTD Return | -15.88% | -16.36% |
| 1Y Return | -24.49% | -24.80% |
| 3Y Return (Ann) | -22.02% | -22.95% |
| 5Y Return (Ann) | -8.33% | -9.06% |
| Sharpe Ratio | -0.75 | -0.61 |
| Sortino Ratio | -1.10 | -0.83 |
| Omega Ratio | 0.88 | 0.89 |
| Calmar Ratio | -0.33 | -0.24 |
| Martin Ratio | -1.28 | -1.20 |
| Ulcer Index | 17.60% | 19.35% |
| Daily Std Dev | 30.07% | 38.05% |
| Max Drawdown | -68.91% | -96.20% |
| Current Drawdown | -68.40% | -96.15% |
Correlation
The correlation between VXZ and VIXM is 0.89, 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
VXZ vs. VIXM - Performance Comparison
The year-to-date returns for both stocks are quite close, with VXZ having a -15.88% return and VIXM slightly lower at -16.36%. 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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Risk-Adjusted Performance
VXZ vs. VIXM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and ProShares VIX Mid-Term Futures ETF (VIXM). 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
VXZ vs. VIXM - Dividend Comparison
Neither VXZ nor VIXM has paid dividends to shareholders.
Drawdowns
VXZ vs. VIXM - Drawdown Comparison
The maximum VXZ drawdown since its inception was -68.91%, smaller than the maximum VIXM drawdown of -96.20%. Use the drawdown chart below to compare losses from any high point for VXZ and VIXM. For additional features, visit the drawdowns tool.
Volatility
VXZ vs. VIXM - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and ProShares VIX Mid-Term Futures ETF (VIXM) have volatilities of 8.58% and 8.75%, 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.