^VIX vs. UVIX
Compare and contrast key facts about CBOE Volatility Index (^VIX) and Volatility Shares 2x Long VIX Futures ETF (UVIX).
UVIX is a passively managed fund by Volatility Shares that tracks the performance of the Long VIX Futures Index – Benchmark TR Gross (200%). It was launched on Mar 28, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VIX or UVIX.
Key characteristics
| ^VIX | UVIX | |
|---|---|---|
| YTD Return | 46.43% | -65.70% |
| 1Y Return | 29.20% | -82.75% |
| Sharpe Ratio | 0.03 | -0.53 |
| Daily Std Dev | 119.52% | 155.95% |
| Max Drawdown | -88.70% | -99.69% |
| Current Drawdown | -77.95% | -99.64% |
Correlation
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.
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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.
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.
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.