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^VIX vs. UVIX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^VIXUVIX
YTD Return46.43%-65.70%
1Y Return29.20%-82.75%
Sharpe Ratio0.03-0.53
Daily Std Dev119.52%155.95%
Max Drawdown-88.70%-99.69%
Current Drawdown-77.95%-99.64%

Correlation

-0.50.00.51.00.9

The correlation between ^VIX and UVIX is 0.88, 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

^VIX vs. UVIX - Performance Comparison

In the year-to-date period, ^VIX achieves a 46.43% return, which is significantly higher than UVIX's -65.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-50.00%0.00%50.00%100.00%150.00%200.00%AprilMayJuneJulyAugustSeptember
39.80%
-47.86%
^VIX
UVIX

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^VIX vs. UVIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and Volatility Shares 2x Long VIX Futures ETF (UVIX). 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.


^VIX
Sharpe ratio
The chart of Sharpe ratio for ^VIX, currently valued at 0.03, compared to the broader market-1.000.001.002.000.03
Sortino ratio
The chart of Sortino ratio for ^VIX, currently valued at 1.04, compared to the broader market-1.000.001.002.003.001.04
Omega ratio
The chart of Omega ratio for ^VIX, currently valued at 1.12, compared to the broader market1.001.201.401.12
Calmar ratio
The chart of Calmar ratio for ^VIX, currently valued at 0.05, compared to the broader market0.001.002.003.004.005.000.05
Martin ratio
The chart of Martin ratio for ^VIX, currently valued at 0.09, compared to the broader market0.005.0010.0015.0020.000.09
UVIX
Sharpe ratio
The chart of Sharpe ratio for UVIX, currently valued at -0.57, compared to the broader market-1.000.001.002.00-0.57
Sortino ratio
The chart of Sortino ratio for UVIX, currently valued at -1.12, compared to the broader market-1.000.001.002.003.00-1.12
Omega ratio
The chart of Omega ratio for UVIX, currently valued at 0.87, compared to the broader market1.001.201.400.87
Calmar ratio
The chart of Calmar ratio for UVIX, currently valued at -0.87, compared to the broader market0.001.002.003.004.005.00-0.87
Martin ratio
The chart of Martin ratio for UVIX, currently valued at -1.16, compared to the broader market0.005.0010.0015.0020.00-1.16

^VIX vs. UVIX - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is 0.03, which is higher than the UVIX Sharpe Ratio of -0.53. The chart below compares the 12-month rolling Sharpe Ratio of ^VIX and UVIX.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.03
-0.57
^VIX
UVIX

Drawdowns

^VIX vs. UVIX - Drawdown Comparison

The maximum ^VIX drawdown since its inception was -88.70%, smaller than the maximum UVIX drawdown of -99.69%. Use the drawdown chart below to compare losses from any high point for ^VIX and UVIX. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AprilMayJuneJulyAugustSeptember
-52.74%
-99.64%
^VIX
UVIX

Volatility

^VIX vs. UVIX - Volatility Comparison

The current volatility for CBOE Volatility Index (^VIX) is 42.58%, while Volatility Shares 2x Long VIX Futures ETF (UVIX) has a volatility of 46.99%. This indicates that ^VIX experiences smaller price fluctuations and is considered to be less risky than UVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


20.00%40.00%60.00%80.00%100.00%AprilMayJuneJulyAugustSeptember
42.58%
46.99%
^VIX
UVIX