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

Key characteristics


^VIXUVIX
YTD Return79.76%-55.21%
1Y Return55.42%-80.41%
Sharpe Ratio0.40-0.52
Daily Std Dev118.88%155.55%
Max Drawdown-88.70%-99.69%
Current Drawdown-72.94%-99.53%

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 79.76% return, which is significantly higher than UVIX's -55.21% 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%AprilMayJuneJulyAugustSeptember
51.84%
-44.06%
^VIX
UVIX

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CBOE Volatility Index

Volatility Shares 2x Long VIX Futures ETF

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 0.40, compared to the broader market-0.500.000.501.001.502.000.40
Sortino ratio
The chart of Sortino ratio for ^VIX, currently valued at 1.64, compared to the broader market-1.000.001.002.001.64
Omega ratio
The chart of Omega ratio for ^VIX, currently valued at 1.20, compared to the broader market0.901.001.101.201.301.401.20
Calmar ratio
The chart of Calmar ratio for ^VIX, currently valued at 0.73, compared to the broader market0.001.002.003.004.000.73
Martin ratio
The chart of Martin ratio for ^VIX, currently valued at 1.30, compared to the broader market0.005.0010.0015.001.30
UVIX
Sharpe ratio
The chart of Sharpe ratio for UVIX, currently valued at -0.51, compared to the broader market-0.500.000.501.001.502.00-0.51
Sortino ratio
The chart of Sortino ratio for UVIX, currently valued at -0.59, compared to the broader market-1.000.001.002.00-0.59
Omega ratio
The chart of Omega ratio for UVIX, currently valued at 0.93, compared to the broader market0.901.001.101.201.301.400.93
Calmar ratio
The chart of Calmar ratio for UVIX, currently valued at -0.79, compared to the broader market0.001.002.003.004.00-0.79
Martin ratio
The chart of Martin ratio for UVIX, currently valued at -1.09, compared to the broader market0.005.0010.0015.00-1.09

^VIX vs. UVIX - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is 0.40, which is higher than the UVIX Sharpe Ratio of -0.52. 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
0.40
-0.51
^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
-41.98%
-99.53%
^VIX
UVIX

Volatility

^VIX vs. UVIX - Volatility Comparison

The current volatility for CBOE Volatility Index (^VIX) is 46.77%, while Volatility Shares 2x Long VIX Futures ETF (UVIX) has a volatility of 58.19%. 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
46.77%
58.19%
^VIX
UVIX